EFTA01459326.pdf

HOW the Notes Work Upside Scenario: If the Final Value is greater than the Initial Value, investors will receive at maturity the $1,000 principal amount plus a return equal to the Index Return times the Upside Leverage Factor of 2.00, subject to the Maximum Return of at least 40.00%. • If the closing level of the Index increases 5.00%, investors will receive at maturity a 10.00% return, or S1,100.00 per $1,000 principal amount note. • Assuming a hypothetical Maximum Return of 40.00%, if the closing level of the Index increases by 40.00%, investors will receive at maturity a return equal to the 40.00% Maximum Return, or $1,400.00 per $1,000 principal amount note, which is the maximum payment at maturity. Par Scenario: If the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent Buffer Amount of 25 00%, investors will receive at maturity the principal amount of their notes. Downside Scenario: If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount of 25.00%, investors will lose 1% of the principal amount of their notes for every 1% that the Final Value is less than the Initial Value. • For example, if the closing level of the Index declines 60.00%, investors will lose 60.00% of their pnnopal amount and receive only $400.00 per $1,000 principal amount note at matunty. The hypothetical retums and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect the 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. Selected Risk Considerations An investment in the notes involves significant risks These risks are explained in more detail in the 'Risk Factors' sections of the accompanying product supplement and underlying supplement • YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal If the Final Value is less than the Initial Value by more than 25.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial Value by more than 25.00% Accordingly, you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity. • YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE MAXIMUM RETURN, regardless of the appreciation in the level of the Index, which may be significant. • CREDIT RISK OF JPMORGAN CHASE & CO. — Investors are dependent on JPMorgan Chase & Co 's ability to pay all amounts due on the notes. My actual or potential change in our creditworthiness or credit spreads, as determined by the market for taking our credit risk, is likely to adversely affect the value of the notes. If we were to default on our payment obligations. you may not receive any amounts owed to you under the notes and you could lose your entire investment. • POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the notes. In performing these duties, our economic interests are potentially adverse to your interests as an investor in the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value of the notes declines. Please refer to *Risk Factors — Risks Relating to Conflicts of Interest- in the accompanying product supplement. • THE NOTES DO NOT PAY INTEREST. PS-3 j Structured Investments Capped Continent Buffered Return Enhanced Notes Linked to the EURO STOXX 50' Index J.P.Morgan CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0119663 CONFIDENTIAL SDNY_GM_00265847 EFTA01459326