Indicative Terms

 

Trade Date		The closing price of one share of the applicable Underlying (Initial Value) is observed, and the applicable Downside Threshold and the applicable Coupon Barrier are determined.
Monthly (callable after an initial one-year non-call period)		If the closing price of one share of the applicable Underlying is equal to or greater than the applicable Coupon Barrier on any Observation Date, JPMorgan Chase will pay you a Contingent Coupon on the applicable Coupon Payment Date. The Notes will also be called if the closing price of one share of the applicable Underlying on any Observation Date (after an initial one-year non-call period) is equal to or greater than the applicable Initial Value. If the Notes are called, JPMorgan Chase will pay you a cash payment per Note equal to the principal amount plus the applicable Contingent Coupon otherwise due for the applicable Observation Date, and no further payments will be made on the Notes.
Maturity Date		The applicable Final Value is determined as of the Final Valuation Date. If the Notes have not been called and the applicable Final Value is equal to or greater than the applicable Downside Threshold and the applicable Coupon Barrier, at maturity JPMorgan Chase will repay the principal amount equal to $10.00 per Note plus the applicable Contingent Coupon otherwise due on the Maturity Date. If the Notes have not been called and the applicable Final Value is less than the applicable Downside Threshold and the applicable Coupon Barrier, JPMorgan Chase will repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the applicable Underlying, equal to a return of: $10 × (1 + Underlying Return) per Note
INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT.  ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN CHASE.  IF JPMORGAN CHASE WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.

^†The Notes are not callable until the twelfth Coupon Observation Date, April 10, 2017.

Each of the Coupon Observation Dates, and therefore the Coupon Payment Dates, is subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement no. UBS-1a-I.

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1a-I. In determining our reporting responsibilities we intend to treat (i) the Notes for U.S. federal income tax purposes as prepaid forward contracts with associated contingent coupons and (ii) any Contingent Coupons as ordinary income, as described in the section entitled “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Prepaid Forward Contracts with Associated Contingent Coupons” in the accompanying product supplement no. UBS-1a-I. Based on the advice of Davis Polk & Wardwell LLP, our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a court may adopt.

Sale, Exchange or Redemption of a Note. Assuming the treatment described above is respected, upon a sale or exchange of the Notes (including redemption upon an automatic call or at maturity), you should recognize capital gain or loss equal to the difference between the amount realized on the sale or exchange and your tax basis in the Notes, which should equal the amount you paid to acquire the Notes (assuming Contingent Coupons are properly treated as ordinary income, consistent with the position referred to above). This gain or loss should be short-term capital gain or loss unless you hold the Notes for more than one year, in which case the gain or loss should be long-term capital gain or loss, whether or not you are an initial purchaser of the Notes at the issue price. The deductibility of capital losses is subject to limitations. If you sell your Notes between the time your right to a Contingent Coupon is fixed and the time it is paid, it is likely that you will be treated as receiving ordinary income equal to the Contingent Coupon. Although uncertain, it is possible that proceeds received from the sale or exchange of your Notes prior to an Observation Date but that can be attributed to an expected Contingent Coupon payment could be treated as ordinary income. You should consult your tax adviser regarding this issue.

As described above, there are other reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the Notes could be materially affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments and the issues presented by this notice.

Non-U.S. Holders — Tax Considerations. The U.S. federal income tax treatment of Contingent Coupons is uncertain, and although we believe it is reasonable to take a position that Contingent Coupons are not subject to U.S. withholding tax (at least if an applicable Form W-8 is provided), a withholding agent may nonetheless withhold on these payments (generally at a rate of 30%, subject to the possible reduction of that rate under an applicable income tax treaty), unless income from your Notes is effectively connected with your conduct of a trade or business in the United States (and, if an applicable treaty so requires, attributable to a permanent establishment in the United States). If you are not a United States person, you are urged to consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the Notes in light of your particular circumstances.

Non-U.S. holders should also note that, notwithstanding anything to the contrary in the accompanying product supplement no. UBS-1a-I, recently promulgated Treasury regulations imposing a withholding tax on certain “dividend equivalents” under certain “equity linked instruments” will not apply to the Notes.

FATCA. Withholding under legislation commonly referred to as “FATCA” could apply to payments with respect to the Notes that are treated as U.S.-source “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes (such as interest, if the Notes are recharacterized, in whole or in part, as debt instruments, or Contingent Coupons if they are otherwise treated as FDAP Income). If the Notes are recharacterized, in whole or in part, as debt instruments, withholding could also apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as FDAP Income) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the Notes.

In the event of any withholding on the Notes, we will not be required to pay any additional amounts with respect to amounts so withheld.

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the applicable Underlying. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. UBS-1a-I. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.

Risks Relating to the Notes Generally

securities. Accordingly, a higher applicable Contingent Coupon Rate will generally be indicative of a greater risk of loss while a lower applicable Coupon Barrier or applicable Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent Coupon payments or returning your principal at maturity. You should be willing to accept the downside market risk of the applicable Underlying and the potential loss of some or all of your principal at maturity.

The Notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity. See “— Lack of Liquidity” below.

Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the Notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the Notes, if any, at which JPMS may be willing to purchase your Notes in the secondary market.

The examples below illustrate the hypothetical payments on a Coupon Payment Date, upon an automatic call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes linked to a hypothetical Underlying and assume an Initial Value of $100, a Downside Threshold and Coupon Barrier of $70.00* (which is 70.00%* of the hypothetical Initial Value) and a Contingent Coupon Rate of 7.00% per annum. The hypothetical Initial Value has been chosen for illustrative purposes only and does not represent a likely actual Initial Value for any Underlying. For historical data regarding the actual closing prices of one share of each Underlying, please see the historical information set forth under “The Underlyings” in this pricing supplement.

The examples below are purely hypothetical and are not based on any specific offering of Notes linked to any specific Underlying. These examples are intended to illustrate how the value of any payment on the Notes will depend on the closing price on the Observation Dates.

Example 1 — Notes Are Automatically Called on the Twelfth Observation Date

Although the closing price is above the Initial Value on the first Observation Date, the Notes are not called because the Notes cannot be called before the twelfth Observation Date. Because the Notes are automatically called on the twelfth Observation Date, we will pay you on the applicable Call Settlement Date a total of $10.0583 per Note, reflecting your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payment of $0.0583 received in respect of prior Observation Dates, we will have paid you a total of $10.1166 per Note for a 1.167% total return on the Notes. No further amounts will be owed on the Notes.

Example 2 — Notes Are Automatically Called on the Fifty-Ninth Observation Date

Because the Notes are automatically called on the fifty-ninth Observation Date, we will pay you on the applicable Call Settlement Date a total of $10.0583 per Note, reflecting your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.6413 received in respect of prior Observation Dates, we will have paid you a total of $10.6996 per Note for a 6.996% total return on the Notes. No further amounts will be owed on the Notes.

Example 3 — Notes Are NOT Called and the Final Value Is at or above the Downside Threshold and the Coupon Barrier

At maturity, we will pay you a total of $10.0583 per Note, reflecting your principal amount plus the applicable Contingent Coupon. When that amount is added to the Contingent Coupon payments of $0.1166 received in respect of prior Observation Dates, we will have paid you a total of $10.1749 per Note for a 1.749% total return on the Notes.

Example 4 — Notes Are NOT Automatically Called and the Final Value Is below the Downside Threshold and the Coupon Barrier

Although the closing price is at or above the Initial Value on the third through eleventh Observation Dates, the Notes are not called because the Notes cannot be called before the twelfth Observation Date. Because the Notes are not called and the Final Value of $60.00 is below the Downside Threshold and the Coupon Barrier, at maturity we will pay you $6.00 per Note. When that amount is added to the Contingent Coupon payments of $3.4397 received in respect of prior Observation Dates, we will have paid you $9.4397 per Note for a loss on the Notes of 5.603%.

Example 5 — Notes Are NOT Automatically Called and the Final Value is below the Downside Threshold and the Coupon Barrier

Because the Notes are not called and the Final Value is below the Downside Threshold and the Coupon Barrier, at maturity we will pay you $5.00 per Note for a loss on the Notes of 50.00%. Because there is no Contingent Coupon paid during the term of the Notes, that represents the total payment on the Notes.

The hypothetical returns and hypothetical 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 payments shown above would likely be lower.

Included on the following pages is a brief description of the issuers of the Underlyings. This information has been obtained from publicly available sources, without independent verification. Set forth below is a table that provides the quarterly high and low closing prices of one share of each Underlying. The information given below is for the four calendar quarters in each of 2011, 2012, 2013, 2014 and 2015 and the first calendar quarter of 2016. Partial data is provided for the second calendar quarter of 2016. We obtained the closing price information set forth below from the Bloomberg Professional^® service (“Bloomberg”), without independent verification. You should not take the historical prices of any Underlying as an indication of future performance.

Each of the Underlyings is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Companies with securities registered under the Exchange Act are required to file financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying with the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is http://www.sec.gov. Information filed with the SEC by the issuer of each Underlying under the Exchange Act can be located by reference to its SEC file number provided below. In addition, information filed with the SEC can be inspected and copied at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public Reference Section, at prescribed rates. We do not make any representation that these publicly available documents are accurate or complete.

According to its publicly available filings with the SEC, Delta Air Lines, Inc., which we refer to as Delta, provides scheduled air transportation for passengers and cargo throughout the United States and around the world. The common stock of Delta, par value $0.0001 per share (Bloomberg ticker: DAL), is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Delta in the accompanying product supplement no. UBS-1a-I. Delta’s SEC file number is 001-05424.

Historical Information Regarding the Common Stock of Delta

The following table sets forth the quarterly high and low closing prices of one share of the common stock of Delta, based on daily closing prices on the primary exchange for Delta, as reported by Bloomberg. The closing price of one share of the common stock of Delta on April 8, 2016 was $46.29. We obtained the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

Since its inception, the price of the common stock of Delta has experienced significant fluctuations. The historical performance of the common stock of Delta should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Delta during the term of the Notes. We cannot give you assurance that the performance of the common stock of Delta will result in the return of any of your principal amount.

The graph below illustrates the daily performance of the common stock of Delta from April 30, 2007 through April 8, 2016, based on information from Bloomberg, without independent verification. The common stock of Delta began trading on the New York Stock Exchange on April 30, 2007. The dotted line represents the Downside Threshold and Coupon Barrier of $26.94, equal to 58.20% of the closing price on April 8, 2016.

Past performance of the Underlying is not indicative of the future performance of the Underlying.

According to its publicly available filings with the SEC, Eli Lilly and Company, which we refer to as Lilly, discovers, develops, manufactures and markets products in two business segments, human pharmaceutical products and animal health products. The common stock of Lilly, no par value (Bloomberg ticker: LLY), is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Lilly in the accompanying product supplement no. UBS-1a-I. Lilly’s SEC file number is 001-06351.

Historical Information Regarding the Common Stock of Lilly

The following table sets forth the quarterly high and low closing prices of one share of the common stock of Lilly, based on daily closing prices on the primary exchange for Lilly, as reported by Bloomberg. The closing price of one share of the common stock of Lilly on April 8, 2016 was $74.39. We obtained the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

Since its inception, the price of the common stock of Lilly has experienced significant fluctuations. The historical performance of the common stock of Lilly should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of Lilly during the term of the Notes. We cannot give you assurance that the performance of the common stock of Lilly will result in the return of any of your principal amount.

The graph below illustrates the daily performance of the common stock of Lilly from January 3, 2006 through April 8, 2016, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of $48.91, equal to 65.75% of the closing price on April 8, 2016.

Past performance of the Underlying is not indicative of the future performance of the Underlying.

According to its publicly available filings with the SEC, MetLife, Inc., which we refer to as MetLife, is a provider of life insurance, annuities, employee benefits and asset management. The common stock of MetLife, par value $0.01 per share (Bloomberg ticker: MET), is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of MetLife in the accompanying product supplement no. UBS-1a-I. MetLife’s SEC file number is 001-15787.

Historical Information Regarding the Common Stock of MetLife

The following table sets forth the quarterly high and low closing prices of one share of the common stock of MetLife, based on daily closing prices on the primary exchange for MetLife, as reported by Bloomberg. The closing price of one share of the common stock of MetLife on April 8, 2016 was $41.89. We obtained the closing prices above and below from Bloomberg, without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

Since its inception, the price of the common stock of MetLife has experienced significant fluctuations. The historical performance of the common stock of MetLife should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of one share of the common stock of MetLife during the term of the Notes. We cannot give you assurance that the performance of the common stock of MetLife will result in the return of any of your principal amount.

The graph below illustrates the daily performance of the common stock of MetLife from January 2, 2006 through April 8, 2016, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold and Coupon Barrier of $27.69, equal to 66.10% of the closing price on April 8, 2016.

Past performance of the Underlying is not indicative of the future performance of the Underlying.

We have agreed to indemnify UBS and JPMS against liabilities under the Securities Act of 1933, as amended, or to contribute to payments that UBS may be required to make relating to these liabilities as described in the prospectus supplement and the prospectus. We have agreed that UBS may sell all or a part of the Notes that it purchases from us to the public or its affiliates at the price to public indicated on the cover hereof.

Subject to regulatory constraints, JPMS intends to offer to purchase the Notes in the secondary market, but it is not required to do so.

We or our affiliates may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the Notes, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Supplemental Use of Proceeds” in this pricing supplement and “Use of Proceeds and Hedging” beginning on page PS-43 of the accompanying product supplement no. UBS-1a-I.

For each offering of the Notes, JPMS’s estimated value of the Notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the Notes, valued using our internal funding rate for structured debt described below, and (2) the derivative or derivatives underlying the economic terms of the Notes. JPMS’s estimated value does not represent a minimum price at which JPMS would be willing to buy your Notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of JPMS’s estimated value generally represents a discount from the credit spreads for our conventional fixed-rate debt. For additional information, see “Key Risks — Risks Relating to the Notes Generally — JPMS’s Estimated Value Is Not Determined by Reference to Credit Spreads for Our Conventional Fixed-Rate Debt.” The value of the derivative or derivatives underlying the economic terms of the Notes is derived from JPMS’s internal pricing models. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, JPMS’s estimated value of the Notes is determined when the terms of the Notes are set based on market conditions and other relevant factors and assumptions existing at that time. See “Key Risks — Risks Relating to the Notes Generally — JPMS’s Estimated Value Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates.”

JPMS’s estimated value of the Notes is lower than the original issue price of the Notes because costs associated with selling, structuring and hedging the Notes are included in the original issue price of the Notes. These costs include the selling commissions paid to UBS, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes and the estimated cost of hedging our obligations under the Notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the Notes. See “Key Risks — Risks Relating to the Notes Generally — JPMS’s Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.

For information about factors that will impact any secondary market prices of the Notes, see “Key Risks — Risks Relating to the Notes Generally — Secondary Market Prices of the Notes Will Be Impacted by Many Economic and Market Factors” in this pricing supplement. In addition, we generally expect that some of the costs included in the original issue price of the Notes will be partially paid back to you in connection with any repurchases of your Notes by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be up to nine months. The length of any such initial period reflects secondary market volumes for the Notes, the structure of the Notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the Notes and when these costs are incurred, as determined by JPMS. See “Key Risks — Risks Relating to the Notes Generally — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than JPMS’s Then-Current Estimated Value of the Notes for a Limited Time Period.”

The Notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the Notes. See “Hypothetical Examples” in this pricing supplement for an illustration of the risk-return profile of the Notes and the section for the applicable Underlying set forth under “The Underlyings” in this pricing supplement for a description of the market exposure provided by the Notes.

The original issue price of the Notes is equal to JPMS’s estimated value of the Notes plus the selling commissions paid to UBS, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the Notes, plus the estimated cost of hedging our obligations under the Notes.

In the opinion of Davis Polk & Wardwell LLP, as our special products counsel, when the Notes offered by this pricing supplement have been executed and issued by us and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such Notes will be our valid and binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the federal laws of the United States of America, the laws of the State of New York and the General Corporation Law of the State of Delaware. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the Notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated November 7, 2014, which was filed as an exhibit to the Registration Statement on Form S-3 by us on November 7, 2014.