North
America Structured Investments 10yNC1y Auto Callable Contingent Interest Notes Linked to SPX/RTY The following is a summary
of the terms of the notes offered by the preliminary pricing supplement highlighted below. Summary of Terms Issuer: JPMorgan
Chase & Co. Minimum Denomination: $1,000.00 Indices: S&P 500® Index and Russell 2000®
Index Pricing Date: February 24, 2016 Final Review Date: February 24, 2026 Maturity Date: February
27, 2026 Review Dates: Quarterly Contingent Interest Rate: At least 9.35%* per annum, payable at a rate of at least 2.3375%*
per quarter Interest Barrier: With respect to each Index, an amount that represents 75% of its Initial Value Trigger Value: With
respect to each Index, an amount that represents 60% of its Initial Value Initial Value: With respect to each Index, the closing
level of that Index on the Pricing Date Final Value: With respect to each Index, the closing level of that Index on the final
Review Date CUSIP: 48128GMK3 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/48128GMK3/doctype/Product_Termsheet/document.pdf
For more information about the estimated value of the notes, which likely will be lower than the price you paid for the notes,
please see the hyperlink above. Certain Product Characteristics Automatic Call If on any Review Date (other than the first, second,
third and final Review Dates) the closing level of each Index is greater than or equal to its closing level on the Pricing Date,
the Notes will be automatically called and you will receive a cash payment, for each $1,000 principal amount note, equal to (a)
$1,000 plus (b) the contingent interest payment applicable to that Review Date. No further payments will be made on the notes.
Payment at Maturity If the notes have not been automatically called and the Final Value of each Index is greater than or equal
to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000
plus (b) the contingent interest payment, if any, applicable to the final Review Date. If the notes have not been automatically
called and the Final Value of either Index is less than its Trigger Value, at maturity you will lose 1% of the principal
amount of your notes for every 1% that the Final Value of the Lesser Performing Index is less than its Initial Value. Under these
circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 ×
Lesser Performing Index Return). Capitalized terms used but not defined herein shall have the meanings set forth in the preliminary
pricing supplement Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
Hypothetical
Payments at Maturity**Least Performing Index Payment at Maturity (9.35% per annum Contingent Return Interest
Rate) 60.00% $1,023.375 40.00% $1,023.375 20.00% $1,023.375 5.00% $1,023.375 0.00% $1,023.375 -5.00% $1,023.375 -25.00% $1,023.375 -25.01% $1,000.00 -40.00% $1,000.00 -40.01% $599.90 -60.00% $400.00 -80.00% $200.00 Contingent
Interest
* If the
notes have not been automatically called and the closing level of each Index on any Review Date is greater than or equal to its
Interest Barrier, you will receive on each Interest Payment Date for each $1,000 principal amount note an Interest Payment equal
to at least $23.375 (equivalent to a Contingent Interest Rate of at least 9.35% per annum, payable at a rate of at least 2.3375%
per quarter).
**Represents the
hypothetical payment you will receive on the Maturity Date for each $1,000 principal amount note. The hypothetical payments on
the notes shown above apply only if you hold the notes for their entire term and do not include any contingent interest payments
you may receive during the term of your notes, other than the contingent interest payment you may receive on the Maturity Date.
These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees
and expenses were included, the hypothetical payments shown above would likely be lower.
J.P.
Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com
North America Structured
Investments 10yNC1y Auto Callable Contingent Interest Notes Linked to SPX/RTY Selected Risks
• Your investment
in the notes may result in a loss. The Notes do not guarantee any return of principal.
• The notes
do not guarantee the payment of interest and may not pay interest at all.
• Any payment
on the notes is subject to our credit risk. Therefore the value of the notes prior to maturity are subject to changes in the market’s
view of our creditworthiness.
• You are
exposed to the risks of the decline in value of each Index.
• Your payment
at maturity may be determined by the lesser performing Index.
• Your return
is limited to the principal amount plus the sum of any contingent interest payments paid over the term of the notes, regardless
of any appreciation of the Index, which may be significant.
• If the
notes have not been automatically called and the Final Value of either Index is less than its Trigger Selected Risks (continued)
• JPMS’s
estimated value will be lower than the original issue price (price to public) of the notes.
• JPMS’
estimated value does not represent future values and may differ from others’ estimates.
• The notes’
value which may be reflected in customer account statements may be higher than JPMS’ then current estimated value.
• JPMS’
estimated value is not determined by reference to our credit spreads for our conventional fixed rate debt.
• Lack of
liquidity: JPMorgan Securities, LLC, acting as agent for the Issuer (and who we refer to as JPMS), intends to offer to purchase
the notes in the secondary market but is not required to do so. The price, if any, at which JPMS will be willing to purchase notes
from you in the secondary market, if at all, may result
Value, you will lose
1% of your principal for every 1% that the Final Value of the lesser performing Index is less than its Initial Level.
• The automatic
call feature may force a potential early exit. There is no guarantee you will be able to reinvest the proceeds at a comparable
interest rate for a similar level of risk.
• No dividend
payments, voting rights, or ownership rights with the equity securities included in each Index.
• You are
exposed to the risks associated with small capitalization companies. in a significant loss of your principal.
• Potential
conflicts: we and our affiliates play a variety of roles in connection with the issuance of notes, including acting as calculation
agent, hedging our obligations under the notes and making the assumptions to determine the pricing of the notes and the estimated
value of the notes when the terms of the notes are set. It is possible that such hedging or other trading activities of JPMorgan
or its affiliates could result in substantial returns for JPMorgan and its affiliates while the value of the notes decline.
• The tax
consequences of the notes may be uncertain. You should consult your tax adviser regarding the U.S. federal income tax consequences
of an investment in the notes.
The risks identified
above are not exhaustive. Please see “Risk Factors” in the applicable product supplement and “Selected Risk
Considerations” in the applicable preliminary pricing supplement for additional information. Additional Information SEC
Legend: JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for any offering to
which these materials relate. Before you invest, you should read the prospectus in that registration statement and the other documents
relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase
& Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively,
JPMorgan Chase & Co., any agent or any dealer participating in the this offering will arrange to send you the prospectus and
the prospectus supplement as well as any product supplement and preliminary pricing supplement if you so request by calling toll-free
1-866-535-9248. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly,
any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot
be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of
any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined
individually for each investor, and the financial instruments described herein may not be suitable for all investors. This information
is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should
consult with their own advisors as to these matters. This material is not a product of J.P. Morgan Research Departments.Free Writing
Prospectus Filed Pursuant to Rule 433, Registration Statement No. 333-199966 J.P. Morgan Structured Investments | 1 800 576 3529
| jpm_structured_investments@jpmorgan.com
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