$1,000 + ($1,000 × Index Return)

If the Ending Index Level is equal to or less than the Initial Index Level by up to the Contingent Buffer Amount, you will be entitled to receive the full repayment of your principal at maturity.

If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Ending Index Level is less than the Initial Index Level, and your payment at maturity per $1,000 principal amount note will be calculated as follows:

$1,000 + ($1,000 × Index Return)

If the Ending Index Level is less than the Initial Index Level by more than the Contingent Buffer Amount, you will lose more than 16.10% of your principal amount and may lose all of your principal amount at maturity. 

The risks identified below are not exhaustive. Please see the term sheet hyperlinked above for more information.

• Your investment in the notes may result in a loss of some or all of your principal, and is subject to the credit risk of JPMorgan Chase & Co.
• JP Morgan Chase & Co. and its affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging JPMorgan Chase & Co.’s obligations under the notes. Their interests may be adverse to your interests.
• JPMS's estimated value does not represent the future value of the notes and may differ from others' estimates.
• JPMS's estimated value will be lower than the issue price (price to the public) of the notes.
• JPMS's estimated value is not determined by reference to credit spreads for our conventional fixed rate debt.
• Secondary market prices of the notes will likely be lower than the price you paid for the notes and will be impacted by many economic and market factors.
• Risks related to non-U.S. issuers of equity securities.
• The value of the notes as published by JPMS may be higher than JPMS's then-current estimated value of the notes for a limited time.
• The benefit of the Contingent Buffer Amount may terminate on the Final Ending Averaging Date.
• No interest payments and no ownership or dividend rights in stocks comprising the Index.
• No direct exposure to fluctuations in foreign exchange rates.
• Lack of liquidity - J.P. Morgan Securities LLC intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to sell or trade the notes easily. 

The graphs above collectively demonstrate the hypothetical total return on the notes at maturity for a subset of Index Returns detailed in the table below. Your investment may result in a loss of all of your principal at maturity.

The table above illustrates the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000.

Each hypothetical total return or payment at maturity set forth below assumes an Initial Index Level of 3200 and reflects the Contingent Buffer Amount of 16.10%. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes.

The numbers appearing in the following table and examples have been rounded for ease of analysis.