J.P. Morgan U.S. Sector Rotator 8 Index

Performance Update - July 2014

OVERVIEW
The J.P. Morgan US Sector Rotator 8 Index is a notional rules-based proprietary
index that, on a monthly basis, tracks the excess return of a synthetic
portfolio of (i) up to five U.S. Sector Constituents, which are U.S. sector
exchange-traded funds, that are selected according to their past month return
with a volatility feature, and, (ii) if fewer than 5 out of the 10 possible
U.S. Sector Constituents are selected, the Bond Constituent, which is the PIMCO
Total Return

Hypothetical and Actual Historical Performance -June 30, 2004 to June 30, 2014

Hypothetical and Actual Historical Volatility --
December 31, 2004 to June 30, 2014

* See "Notes" on following page

Key Features of the Index n The strategy is based on a universe of 11
investible underlyings (10 ETFs across U.S. sectors and an ETF representing
fixed income exposure) n Monthly rebalancing of portfolio allocation, with all
positions financed by short term borrowing of cash. n Targets a volatility of
8% n Levels published on Bloomberg under the ticker JPUSSC8E.

Recent Index Performance

                                                                        June 2014                    May 2014
 April 2014                     YTD
Historical Return                                                         1.34%                        1.06%
 2.01%                       2.46%

Recent Index Composition

                          Consumer      Consumer

                         Discretionary Staples Select Energy Select  Financial    Health Care   Industrial    Utilities Select
 Materials    Technology    iShares US
                         Select Sector Sector SPDR    Sector SPDR   Select Sector Select Sector Select Sector Sector SPDR
 Select Sector Select Sector Real Estate Pimco Total
                         SPDR Fund        Fund           Fund       SPDR Fund     SPDR Fund     SPDR Fund        Fund          SPDR
 Fund     SPDR Fund       ETF       Return ETF
                 July 14 21.31%         0.00%         14.49%        20.92%        22.64%         0.00%        14.29%
 0.00%         0.00%        0.00%       0.00%

                June 14  14.34%         0.00%          0.00%         0.00%        16.59%         0.00%         0.00%
 15.46%        16.52%        21.36%      0.00%


July 01, 2014

Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- June 30, 2014
                                                                                              Ten Year
                                           Three Year Five Year Ten Year                      Annualized  Ten Year Sharpe Ten Year
                                        Annualized Return Annualized Return Annualized Return  Volatility      Ratio
 Correlation
--------------------------------------- ----------------------------------------------------- ----------- ---------------
 -----------
J.P. Morgan U.S. Sector Rotator 8 Index       8.4%      9.2%     6.1%                           6.9%          89.1%        100.0%
--------------------------------------- ------------- --------- ----------------------------- ----------- ---------------
 -----------
S&P 500 Index (Excess Return)                16.0%     18.2%     5.4%                           20.4%         26.3%         56.2%
--------------------------------------- ------------- --------- ----------------------------- ----------- ---------------
 -----------
JPM US Gov Bond Index (Excess Return)         2.5%      3.2%     2.3%                           4.7%          48.8%        -15.3%


Notes

Hypothetical, historical performance measures: Represent the performance of the
U.S. Sector Rotator 8 Index based on, as applicable to the relevant measurement
period, the hypothetical backtested daily closing levels through June 28, 2013,
and the actual historical performance of the Index based on the daily closing
levels from
July 1, 2013 through June 30, 2014, as well as the performance of the S&P 500
Index (Excess Return), and the JPMorgan US Government Bond Index (Excess
Return) over the same periods. For purposes of these examples, each index was
set equal to 100 at the beginning of the relevant measurement period and
returns are calculated arithmetically (not compounded). There is no guarantee
the U.S. Sector Rotator 8 Index will outperform the S&P 500 Index (Excess
Return), the JPMorgan US Government Bond Index (Excess Return) or any
alternative investment strategy. Sources: Bloomberg and JPMorgan.

S&P 500 Index (Excess Return) represents a hypothetical index constructed from
the total returns of the S&P 500 Index with the returns of the Cash Index
deducted. JPMorgan US Government Bond Index (Excess Return) represents a
hypothetical index constructed from the returns of the JPMorgan US Government
Bond Index with the returns of the Cash Index deducted.
Volatility: hypothetical, historical six-month annualized volatility levels are
presented for informational purposes only. Volatility levels are calculated
from the historical returns, as applicable to the relevant measurement period,
of the U.S. Sector Rotator 8 Index, S&P 500 Index (Excess Return), and the
JPMorgan US Government Bond Index (Excess Return).

Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since June 30, 2004. The Sharpe Ratio, which is a
measure of risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
The back-tested, hypothetical, historical annualized volatility and index
returns may use substitutes for any ETF that was not in existence or did not
meet the liquidity standards at that particular time.
The back-tested, hypothetical, historical annualized volatility and index
returns have inherent limitations. These volatility and return results were
achieved by means of a retroactive application of a back-tested volatility
model designed with the benefit of hindsight. No representation is made that in
the future the relevant indices will have the volatility shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual annualized volatilities
and returns may vary materially from this analysis. Source: Bloomberg and
JPMorgan.

Key Risks
n The payment on any investments linked to the Index that we may issue is
exposed to the credit risk of JPMorgan Chase & Co. n The levels of the Index
will include the deduction of a fee of 0.50% per annum.

n There are risks associated with a momentum-based investment strategy--The
Strategy seeks to capitalize on positive market price trends based on the
supposition that positive market price trends may continue. This Strategy is
different from a strategy that seeks long-term exposure to a portfolio
consisting of constant components with fixed weights. The Strategy may fail to
realize gains that could occur from holding assets that have experienced price
declines, but experience a sudden price spike thereafter.

n Correlation of performances among the basket constituents may reduce the
performance of strategy--Performances among the Basket Constituents may become
highly correlated from time to time during the term of your investment. High
correlation during periods of negative returns among Basket Constituents
representing any one sector or asset type that have a substantial weighting in
the Strategy could have a material adverse effect on the performance of the
Strategy. n Our affiliate, JPMS plc, is the Index Sponsor and Calculation Agent
and may adjust the Index in a way that affects its level--The policies and
judgments for which JPMS plc is responsible could have an impact, positive or
negative, on the level of the Index and the value of your investment. JPMS plc
is under no obligation to consider your interest as an investor with returns
linked to the Index. n The Index may not be successful, may not outperform any
alternative strategy related to the Basket Constituents, or may not achieve its
target volatility of 8%. n The investment strategy involves monthly rebalancing
and maximum weighting caps applied to the Basket Constituents by asset type and
sector. n Changes in the value of the Basket Constituents may offset each
other. n The Index was established on July 1, 2013 and has a limited operating
history
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and
underlying supplement and the "Selected Risk Considerations" in the relevant
term sheet or pricing supplement.
For more information on the Index and for additional key risk information see
Page 9 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010313006180/crt_dp41471-fwp
..pdf

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calling toll-free (800) 576-3529.
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333-177923

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