Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
13 February 2016 - 7:58AM
Edgar (US Regulatory)
IMAGE
OMITTEDNorth America Structured
Investments 4yr Uncapped Buffered Return Enhanced
Notes linked to SPX IMAGE OMITTED
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 Index: S&P 500® Index Upside
Leverage Factor*: At least 1.10 Buffer Amount: 15% Final Value: The Index closing level on the Observation
Date Initial Value: The Index closing level on the Pricing Date Pricing Date: February 24, 2016 Observation
Date: February 25, 2020 Maturity Date: February 28, 2020 CUSIP: 48128GLP3 Preliminary Pricing Supplement:
http://sp.jpmorgan.com/document/cusip/48128GLP3/doctype/Product_Termsheet/document.pdf For
information about the estimated value of the notes, which likely will be lower than the price you paid for the notes, see the
hyperlink above. Certain Product Characteristics If the Final Value is greater than the Initial Index Level, you will receive
a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by the Upside
Leverage Factor. If the Final Value is equal to or less than the Initial Index Level by up to the buffer amount, you will receive
the principal amount of your notes at maturity. If the Final Value is less than the Initial Value by more than the Buffer Amount,
you will lose 1% of the principal amount of your notes for every 1% that the Index has declined beyond the Buffer Amount. Any
payment on the notes is subject to the credit risk of JPMorgan Chase & Co. The final Upside Leverage Factor will be provided
in the Pricing Supplement and will not be less than 1.10 Reflects an Levered Uncapped Return of for illustrative purposes. The
hypothetical returns and hypothetical payments on the Notes shown above apply only at maturity. 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 payments shown above would likely be lower
Note Payoff at Maturity IMAGE
OMITTED Index Peformance IMAGE
OMITTED $1,400 Maturity $1,300 $1,200 $1,100 at $1,000
Payment $900 $800 $700 -30% -20% -10% 0% 10% 20% 30% Index Return Hypothetical Hypothetical Note Hypothetical Payment
at Index Return Return Maturity 80.00% 88.00% $1,880.00 50.00% 55.00% $1,550.00 40.00% 44.00% $1,440.00 15.00% 16.50%
$1,165.00 10.00% 11.00% $1,110.00 8.00% 8.80% $1,088.00 5.00% 5.50% $1,055.00 0.00% 0.00% $1,000.00 -10.00% 0.00% $1,000.00
-15.00% 0.00% $1,000.00 -30.00% -15.00% $850.00 -40.00% -25.00% $750.00 -100.00% -85.00% $150.00
J.P.
Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com
IMAGE
OMITTEDNorth America Structured Investments 4yr
Uncapped Buffered Return Enhanced Notes linked to SPX IMAGE OMITTED
Selected
Risks Your investment in the notes may result in a loss. Payment on the notes at maturity is subject to our credit risk. Therefore
the value of the notes prior to maturity will be subject to changes in the market’s view of our creditworthiness. If the
Final Value declines from its Initial Value by more than 15%, you could lose up to $850 for each $1,000 note. No interest payments,
dividend payments or voting rights. The tax consequences of the notes may be uncertain. You should consult your tax advisor regarding
the U.S. federal income tax consequences of an investment in the notes.
Selected Risks (continued) JPMS’s estimated value will be lower than the original issue price (price to public) of the notes.
JPMS’s estimated value is not determined by references to our credit spreads for our conventional fixed rate debt. JPMS’s
estimated value does not represent future values and may differ from others’ estimates. The value of the notes, which may
be reflected in customer account statements, may be higher than JPMS’s current estimated value for a limited time period.
Lack of liquidity: J.P. Morgan 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
and hedging our obligations under the notes, and making the assumptions used 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 J.P. Morgan
or its affiliates could result in substantial returns for J.P. Morgan and its affiliates while the value of the notes decline.
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. IMAGE
OMITTED Additional Information
SEC Legend: JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for any offerings
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 each 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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