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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: Euro Stoxx 50 Index Upside
Leverage Factor*: At least 1.15 Buffer Amount: 20% 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: 48128GLQ1 Preliminary Pricing
Supplement: http://sp.jpmorgan.com/document/cusip/48128GLQ1/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 1.15 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
Hypothetical Returns on the Notes at Maturity** IMAGE
OMITTED Note Payoff at Maturity Index Peformance $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% 92.00% $1,920.00 50.00% 57.50% $1,575.00 40.00%
46.00% $1,460.00 15.00% 17.25% $1,172.50 10.00% 11.50% $1,115.00 8.00% 9.20% $1,092.00 5.00% 5.75% $1,057.50 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
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Selected Risks Selected Risks (continued) • Your investment in the notes may result in a loss. • JPMS’s
estimated value will be lower than the original issue price (price to public) of the • Payment on the notes at maturity is
subject to our credit risk. Therefore the value of notes. the notes prior to maturity will be subject to changes in the market’s
view of our • You are exposed to the risks associated with non-U.S. companies. creditworthiness. • No direct exposure
to fluctuations in foreign exchange rates • If the Final Value declines from its Initial Value by more than 20%, you could
lose up • JPMS’s estimated value is not determined by references to our credit spreads for our to $800 for each $1,000
note. conventional fixed rate debt. • No interest payments, dividend payments or voting rights. • JPMS’s
estimated value does not represent future values and may differ from others’ • The tax consequences of the notes may
be uncertain. You should consult your tax estimates. advisor regarding the U.S. federal income tax consequences of an investment
in the • The value of the notes, which may be reflected in customer account statements, may be notes. 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