


The SandP 500�  Daily RC2 8% Excess Return Index

Performance Update - December 2014

OVERVIEW

The SandP 500� Daily 8% RC2 Excess Return Index (the �Index� or "SandP 500 Daily RC2") is intended to provide
investors with exposure to broad  equities with the potential for greater stability and lower overall risk when
compared to the SandP 500� Total Return Index.



Hypothetical and Actual Historical Performance
(November 30, 2004 to November 28, 2014)�
190
170 SandP 500 Daily RC2  SandP 500� Index

150       Hypothetical Index Volatility and Leverage

130       (November 30, 2004 to November 28, 2014)�

110        Equity exposure (right) SandP 500� Index
90       80% Target Volatility   100%


70
50       60%     80%

Nov-04 Nov-06 Nov-08 Nov-10 Nov-12 Nov-14        Exposure
            60%
Key Features of the Index    Volatility 40%
Exposure to the SandP 500� Total Return Index with the overlay of a risk 40%
        Equity

control mechanism that targets an annualized volatility of 8%   20%
Ability to dynamically allocate exposure between the SandP 500� Total 20%


Return Index and US government bond futures
Exposure adjusted on a daily basis based on the historical volatilities and  0%  0%
correlations between the SandP 500� Total Return Index (the "Underlying Equity
  Nov-04 Nov-06 Nov-08 Nov-10 Nov-12 Nov-14
Index") and the SandP 10 Year Treasury Note Futures Index Total Return (the

"Underlying Bond Index")
Potential for enhanced returns compared with the first generation Risk
Control Indices via an allocation in US government bond futures
Levels published daily by Standard and Poor�s on Bloomberg under the
ticker SPX8UE2


Recent Index Performance

  November 2014 October 2014 September 2014
Historical Return2  2.00%  0.69%  -1.41%
Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation � November 28, 2014
     Ten Year
  Three Year Annualized Five Year Annualized Ten Year Annualized Ten Year
 One Year Return1 Return1 Return1 Annualized Return1 Volatility4 Sharpe Ratio5 Correlation4
SandP 500� RC2 8% Excess Return Index 9.9% 11.5% 9.5% 5.8% 8.1% 71.5% 100.0%

SandP 500� Index 14.5% 18.4% 13.5% 5.8% 20.4% 28.5% 78.6%



December 1, 2014

Notes

1 Represents the performance of the Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from November 30, 2004 through June 2, 2011, and the
actual historical performance of the Index based on the daily Index closing level from June 3, 2011 through
November 28, 2014, as well as the performance of the SandP 500� Index over the same period. For purposes of
these examples, each index was set equal to 100 at the

beginning of the relevant measurement period and returns calculated arithmetically (not compounded). There
is no guarantee the Index will outperform the SandP 500� Index or any alternative investment strategy.
Source: Bloomberg and JPMorgan.

� Calculated based on the annualized standard deviation for the ten year period prior to November 28, 2014.
Past performance is not indicative of future returns.

3 The historical volatility levels of the SandP 500� Index are presented for informational purposes only
and have inherent limitations. For the purpose of this graph, volatility is calculated in accordance with
Standard and Poor's official methodology used in the calculation of the SandP 500� RC2 Index. No representation
is made that in the future the SandP 500� Index will have the volatility shown above. Alternative modeling
techniques or assumptions might produce significantly different results and may prove to be more appropriate.
The hypothetical equity exposure obtained from such back-testing should not be considered indicative of the
actual exposure that would be assigned during your investment in the Index. No representation is made that the
actual performance of the Index would result in exposure consistent with the hypothetical exposure displayed in
the preceding graph. Actual annualized volatilities and exposures will vary, perhaps materially, from this
analysis. Source: Bloomberg and JPMorgan.

4 Correlation is calculated from the historical returns, as applicable to the relevant measurement period,
of the SandP 500� Index (the �Underlying Index�) over a six-month observation period. Correlation refers to
the degree that the SandP 500 RC2 8% Excess Return Index has changed relative to daily changes in the SandP
500 Index Index for the ten year period prior to November 28, 2014.

5 For the above analysis, 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.

Key Risks

The Index has a limited operating history and may perform in unexpected ways � the Index began publishing on
June 3, 2011 and, therefore, has a limited history. SandP has calculated the returns that hypothetically might
have been generated had the Index existed in the past, but those calculations are subject to many limitations
and do not reflect actual trading, liquidity constraints, fees and other costs.

The Index may not be successful, may not outperform either underlying index and may not achieve its target
volatility �no assurance can be given that the volatility strategy will be successful or that the Index will
outperform the Underlying Equity Index or the Underlying Bond Index or any alternative strategy that might be
employed to reduce the level of risk of the Underlying Equity Index. We also can give you no assurance that
the Index will achieve its target volatility of 8%.

The Index may significantly underperform the Underlying Equity Index �the Index is designed to allocate its
exposure between the Underlying Equity Index and the Underlying Bond Index in a manner that results in the
Index targeting a volatility of 8%.It is not possible to predict the level of exposure that the Index will
have to either the Underlying Equity Index or Underlying Bond Index over a given period of time. However the
Index will likely have less, and possibly significantly less, than 100% exposure to the Underlying Equity
Index over a period of time. Consequently, if the Underlying Equity Index increases in value over the applicable
period, the Index will likely underperform the Underlying Equity Index, possibly significantly, over the same
period if the Underlying Bond Index declines or does not increase in value to the same extent over that period.
If the Underlying Equity Index and the Underlying Bond Index are negatively correlated and the Index has relatively
high exposure to the Underlying Bond Index and relatively low exposure to the Underlying Equity Index, the Index
may experience a significant negative performance even as the Underlying Equity Index rises.

In certain circumstances, the Index will be notionally invested, in part, in cash, on which no interest or other
return will accrue �in certain circumstances the Index will be solely allocated to the Underlying Equity Index with
a weight less than 100% and with the balance notionally allocated to cash. No net return or interest will accrue on
any such portion of the Index exposure that is notionally allocated to cash, and such portion may be significant.
Such portion is effectively uninvested.

The Index is subject to the negative impact of an interest deduction--because the Index is an excess return index, the
level of the Index reflects the weighted returns of the Underlying Indices less an interest deduction, which is generally
based on the return from a synthetic daily roling 3-month bond, with reference to the 2-month and 3-month . LIBOR rates.
As a result, the performance of the Index will be subject to the negative impact of those interest rates.

Key Risks Continued

The returns of the Underlying Indicies may offset each other or may become correlated in decline �at a time when the value
of one Underlying Index increases, the value of the other Underlying Index may not increase as much or may even decline,
offsetting the potentially positive effect of the performance of the former Underlying Index on the performance of the Index.
Historically, the performance of the Underlying Equity Index has often been negatively correlated with the performance of the
futures contracts underlying the Underlying Bond Index. It is also possible that the returns of the Underlying Indices may be
positively correlated with each other. In this case, a decline in one Underlying Index would not moderate the effect of a
decline in the other Underlying Index on the performance of the Index, but would rather exacerbate it. As a result, the Index
may not perform as well as an alternative index that tracks only one Underlying Index.

Our affiliate, J.P. Morgan Securities LLC ("JPMS") helped develop the SandP 500� Daily RC2 8% Excess Return Index. JPMS worked
with SandP in developing the guidelines and policies governing the composition and calculation of the SandP 500� Daily RC2 8%
Excess Return Index. Although judgments, policies and determinations concerning the SandP 500� Daily RC2 8% Excess Return Index
were made by JPMS, JPMorgan Chase and Co., as the parent company of JPMS, ultimately controls JPMS. In addition, the policies
and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the SandP 500� Daily
RC2 8% Excess Return Index. JPMS is under no obligation to consider your interests as an investor.

The risks identified above are not exhaustive. You should also review carefully the related �Risk Factors� section in the relevant
product supplement and the �Selected Risk Considerations� in the relevant term sheet or pricing supplement.

Index Disclaimers

�Standard and Poor�s�,� �SandP�,� �SandP 500�� and �SandP 500� Daily RC2 8% Excess Return� are trademarks of the McGraw-Hill
Companies, Inc. and have been licensed for use by J.P. Morgan Securities LLC. This transaction is not sponsored, endorsed,
sold or promoted by SandP, and SandP makes no representation regarding the advisability of purchasing CDs issued by
JPMorgan Chase Bank, N.A. SandP has no obligation or liability in connection with the administration, marketing, or trading
of products linked to the SandP 500� Daily RC2 8% Excess Return Index.

For more information on the Index and for additional key risk information see Page 4 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010312003744/dp31800_fwp-rc2.htm

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