Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated October 2, 2015
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J.P. Morgan TargetTracker: European Equities 20/8 (EUR) Index
Performance Update - October 2015
OVERVIEW
The J.P. Morgan TargetTracker: European Equities 20/8 (EUR) Index (ticker:
EQJPTE20) (the "Index") is an investable index intended to provide capped
exposure to the performance of the Euro STOXX 50 Index. The European Equities
20/8 (EUR) Index targets an annualized volatility of 20% on a daily basis by
dynamically adjusting its exposure between the Euro STOXX 50 Index and the cash
component based on the historical volatility of the Index's exposure to the
Euro STOXX 50 Index subject to an exposure cap to the Euro STOXX 50 Index of
200%.
Hypothetical Back-Tested Data and Actual Historical Performance
- September 30, 2005 to September 30, 2015
[GRAPHIC OMITTED]
Hypothetical and Actual Historical Volatility -
through September 30, 2015
[GRAPHIC OMITTED]
Key Features of the Index
o The J.P. Morgan TargetTracker: European Equities 20/8 (EUR) Index is intended
to provide capped exposure to the performance of the Euro STOXX 50 Index while
seeking to maintain a 20% annualized volatility target level.
o Volatility control mechanism continuously adjusts the exposure to the Euro
STOXX 50 Index with the aim of achieving a constant realized volatility of 20%.
The systematic monthly cap mechanism caps 21-day rolling period gains at 8%.
o Index levels published on Bloomberg under the ticker EQJPTE20.
Recent Index Performance
Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
2015 4.26% 6.71% 2.92% -2.76% -1.24% -3.47% 3.58% -9.19% -3.28% -3.45%
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
2014 -5.15% 5.82% 0.52% 1.32% 2.15% -1.08% -5.54% 2.51% 1.62% -6.63% 4.59% -4.10% -4.80%
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
2013 1.94% -4.03% -0.76% 3.78% 1.43% -7.58% 6.02% -2.52% 7.54% 8.54% 1.07% -0.66% 14.40%
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
2012 2.80% 2.93% -1.71% -6.68% -6.94% 6.26% 1.74% 3.11% 0.31% 1.89% 2.99% 3.85% 10.05%
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
2011 5.90% 1.87% -6.31% 3.40% -5.93% -1.15% -6.70% -12.63% -3.45% 4.87% -0.86% -0.13% -20.59%
------------ ------ ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ---------
*Represents the monthly and full calendar year performance of the Index based
on, as applicable to the relevant monthly or annual measurement period, the
hypothetical backtested daily Index closing levels from December 31, 2009 to
July 30, 2014, and the actual historical performance as based on the daily
Index closing levels from July 31, 2014 to September 30, 2015.
See the last paragraph under ""Notes"" on page 2 for important information
about the limitations of using hypothetical historical performance measures."
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JPM_Structured_Investments@jpmorgan.com October 01, 2015
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%),
Correlation (%), and Leverage (%) -- September 30, 2015
5 Year 10 Year 10 Year 1 Year 5 Year 10 Year
1 Year Annualized Annualized Annualized 10 Year 10 Year Average Average Average
Return Return Return Volatility Sharpe Ratio Correlation Leverage Leverage Leverage
---------------------- ------ ---------- ---------- ----------- ------------ ----------- -------- -------- --------
Euro Series 20/8 Index -9.58% -1.48% -2.44% 20.05% -0.12 - 92.63% 104.82% 104.69%
---------------------- ------ ---------- ---------- ----------- ------------ ----------- -------- -------- --------
Euro Stoxx Index -3.88% 2.45% -1.00% 23.74% -0.04 90.87%
-------- -------- --------
Hypothetical and Historical Capped Return Percentages -- September 30, 2015
1 Year Percentage of 5 Year Percentage of 10 Year Percentage of
Capped Returns Capped Returns Capped Returns
---------------------- -------------------- -------------------- ---------------------
Euro Series 20/8 Index 1.56% 2.75% 3.03%
Notes
Hypothetical, historical performance measures: Represents the performance of
the J.P. Morgan TargetTracker: European Equities 20/8 (EUR) Index based on, as
applicable to the relevant measurement period, the hypothetical backtested
daily closing levels through July 30, 2014, and the actual historical
performance from July 31, 2014 through September 30, 2015 and the actual
historical performance of the Euro STOXX 50 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 J.P.Morgan
TargetTracker: European Equities 20/8 (EUR) Index will outperform the Euro
STOXX 50 Index, or any other alternative investment strategy. Sources:
Bloomberg and JPMorgan.
Volatility: 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
J.P. Morgan TargetTracker: European Equities 20/8 (EUR) Index, and the Euro
STOXX 50 Index. Volatility represents the annualized standard deviation of the
relevant index's arithmetic daily returns. 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.
Index Live Date: 07/31/2014
Key Risks
o The Index may not be successful. It may not outperform an alternative strategy
related to the Equity Component or achieve its target volatility.
o Our affiliate, JPMS plc, is the index calculation agent and Index Sponsor and
may adjust the index in a way that affects its level and has no obligation to
consider your interests.
o The Index has a limited operating history and may perform in unanticipated
ways.
o The Index is subject to short-term borrowing costs when exposure to Equity
Component is greater than 100%.
o The Index may underperform its Equity Component or a direct investment in the
component equity securities of its Equity Component.
o The daily adjustment of the exposure of the Index to its Equity Component will
vary, and the Index may be partially uninvested in its Equity Component or may
have leveraged exposure to its Equity Component.
o The Index is subject to monthly (21- day rolling periods) performance return
caps of 8% (96% per annum).
o If the value of the Equity Component changes, the level of the Index and the
market value of your CDs may not change in the same manner.
o The Index comprises notional assets and liabilities. The Index is subject to
market risks.
o The investment strategy used to construct the Index involves daily adjustments
to its synthetic exposure to its Equity Component.
o The Equity Component of the Index may be replaced by a substitute index in
certain extraordinary events.
o The risks identified above are not exhaustive. You should review carefully the
related "Risk Factors" section in the relevent product supplement and underlying
supplement and the "Selected Risk Considerations" in the relevant term sheet or
pricing supplement.
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offerings to which these materials relate. Before you invest in
any offering of securities by J.P. Morgan, you should read the prospectus in
that registration statement, the prospectus supplement, as well as the
particular product supplement, the relevant term sheet or pricing supplement,
and any other documents that J.P. Morgan will file with the SEC relating to
such offering for more complete information about J.P. Morgan and the offering
of any securities. You may get these documents without cost by visiting EDGAR
on the SEC Website at www.sec.gov. Alternatively, J.P. Morgan, any agent, or
any dealer participating in the particular offering will arrange to send you
the prospectus and the prospectus supplement, as well as any product supplement
and term sheet or pricing supplement, if you so request by calling toll-free
(866) 535-9248.Free Writing Prospectus filed pursuant to Rule 433; Registration
Statement No. 333-199966
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com October 01, 2015
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