Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
February 12 2016 - 6:04AM
Edgar (US Regulatory)
North America
Structured Investments 12m Issuer Callable Yield 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 Underlyings : S&P 500 Index
and Russell 2000 Index Pricing Date: February 24, 2016 Final Review Date: February 24, 2017 Maturity Date: March
03, 2017 Monitoring Period: The period from, but excluding, the Pricing Date to and including the final Review Date
Review Dates: Quarterly Interest Rate: [9.00% - 11.00%]* per annum, payable at a rate of between 0.75% and
0.917% per month Trigger Level: With respect to each Underlying, an amount that represents 70% of its Initial Underlying
Level. Trigger Event A Trigger Event occurs if, on any day during the Monitoring Period, the Underlying closing level
of either Underlying is less than its Trigger Level. CUSIP: 48128GLR9 Preliminary Pricing Supplement:
http://sp.jpmorgan.com/document/cusip/48128GLR9/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 We, at our election, may redeem the notes early, in whole but not in part, on any of the Call Dates, for
each $1,000 principal amount note, equal to $1,000 plus any accrued and unpaid Interest Payment. If the notes have not been called
and (i) the Ending Underlying Value of each Underlying is greater than or equal to its Initial Underlying Value or (ii)
a Trigger Event has not occurred, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal
to (a) $1,000 plus (b) the Interest Payment applicable to the final Review Date. If the notes have not been called and
(i) the Ending Underlying Value of either Underlying is less than its Initial Underlying Value and (ii) a
Trigger Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Underlying
Value of the Lesser Performing Underlying is less than its Initial Underlying Value, in addition to the Interest Payment payable
at maturity. Under these circumstances, your payment at maturity per $1,000 principal amount note, in addition to the Interest
Payment , will be calculated as follows: $1,000 + ($1,000 × Lesser Performing Underlying 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 Returns** Payment at Maturity Payment at (9.00%
per annum Maturity Interest Rate)
Least Performing If a Trigger Event If a Trigger Event Underlying Return Has Not Occurred Has
Occurred 60.00% $1,007.50 $1,007.50 40.00% $1,007.50 $1,007.50
20.00% $1,007.50 $1,007.50 5.00% $1,007.50 $1,007.50 0.00% $1,007.50 $1,007.50
-5.00% $1,007.50 $957.50 -20.00% $1,007.50 $807.50 -30.00% $1,007.50 $707.50
-30.01% N/A $707.49 -60.00% N/A $407.50 -80.00% N/A $207.50
Interest Payments * If the notes have not been called, you will receive on each Interest Payment Date for each $1,000 principal
amount note an Interest Payment equal to between $7.5 and $9.17 per month (equivalent to an Interest Rate of between 9.00% and
11.00% per annum, payable at a rate of between 0.75% and 0.917% per month) **The hypothetical returns and hypothetical interest
payments on the notes shown above apply only if you hold the notes for their entire term or until called. 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 returns and hypothetical interest 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 12m Issuer Callable Yield 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 Underlying. Your payment at maturity may be determined by the lesser performing Underlying.
Return is limited to the principal amount plus accrued interest regardless of any appreciation of the Underlyings, which may be
significant. If the notes have not been called and a Trigger Event has occurred, you will lose 1% of your principal for every
1% the final level of the lesser performing Underlying is less than its Initial Level. The benefit provided by the Trigger Level
may terminate on any day during the Monitoring Period. The 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 Underlying. You are exposed to the risks associated with
small capitalization companies.
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 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” to 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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