North
America Structured Investments 3yr Capped Digital Buffered 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 Coupon: [20.50%-25.50%]
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: April 26, 2016 Observation Date: April 25, 2019 Maturity
Date: April 30, 2019 CUSIP: 48128GSF8 Preliminary Pricing Supplement:
http://sp.jpmorgan.com/document/cusip/48128GSF8/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 or equal to the Initial Value, your payment
at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Digital Return) If the Final
Value is less than the Initial Value 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, your payment at maturity per $1,000 principal
amount note will be calculated as follows: $1,000 + [$1,000 × (Index Return + Buffer Amount)] If the Final Value is less
than the Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity. Any payment
on the notes is subject to the credit risk of JPMorgan Chase & Co. The final Coupon will be provided in the Pricing Supplement
and will not be less than 20.50%. 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
OMITTEDIMAGE OMITTED Note Payoff at Maturity Index Peformance
$1,400 $1,300 Maturity $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% 20.50%
$1,205.00 50.00% 20.50% $1,205.00 22.01% 20.50% $1,205.00 22.00% 20.50% $1,205.00 10.00% 20.50% $1,205.00 8.00% 20.50%
$1,205.00 5.00% 20.50% $1,205.00 0.00% 20.50% $1,205.00 -10.00% 0.00% $1,000.00 -15.00% 0.00% $1,000.00 -15.01% -0.01%
$999.90 -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 3yr
Capped Digital Buffered 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