SEC Form FWP filed by JP Morgan Chase & Co.

If a Make-Whole Event (as defined under “Annex A — Make-Whole Payment” in the accompanying preliminary pricing supplement) occurs prior to the 6^th scheduled trading day immediately preceding the Maturity Date:

·          Investors who have not converted their notes (for cash) will receive after the Effective Date of the Make-Whole Event a Make-Whole Payment (if any) in cash calculated as described under “Additional Key Terms” on page PS-1 of the accompanying preliminary pricing supplement based on the Final Stock Prices on the five relevant Valuation Dates and a number of Additional Shares that is designed to approximate some of the lost value of the notes as a result of such event. Investors will not receive any Make-Whole Payment if the average of the Final Stock Prices on the five relevant Valuation Dates with respect to the Make-Whole Event is equal to or less than the Threshold Price and the number of Additional Shares is zero.

Following the occurrence of such Make-Whole Event, investors will no longer have the option to convert their notes (for cash) prior to or at maturity.

·          On the Maturity Date, investors will receive, for each $1,000 principal amount note, a cash payment equal to $1,000, plus any accrued but unpaid interest.

If a Make-Whole Event has not occurred prior to the 6^th scheduled trading day immediately preceding the Maturity Date:

·          The notes may be converted (for cash) at the option of investors on any business day prior to the 6^th scheduled trading day immediately preceding the Maturity Date only if specified conditions are met as set forth under “Additional Key Terms” on page PS-1 of the accompanying preliminary pricing supplement. Investors who convert their notes (for cash) prior to the Maturity Date will not receive any additional payment for any accrued and unpaid interest, or any future interest payments. In addition, investors will not receive their payment, if any, upon any optional early cash conversion until the Optional Early Cash Conversion Payment Date, which is the second business day immediately following the final Valuation Date of the period of five Valuation Dates following the relevant Early Cash Conversion Date (as defined below). Furthermore, upon any optional early cash conversion of the notes, an investor may receive less cash than expected because the VWAP of the Reference Stock may decline after an investor exercises its early cash conversion right but before we settle our cash conversion obligation.

·          If the notes have not been previously converted (for cash), on the Maturity Date, investors will receive, for each $1,000 principal amount note, a cash payment equal to the sum of the Daily Values for each of the five relevant Valuation Dates, plus any accrued but unpaid interest.

For the avoidance of doubt, no Make-Whole Payment will be made if a Make-Whole Event occurs on or after the 6^th scheduled trading day immediately preceding the Maturity Date, and only one Make-Whole Payment upon the first occurrence of a Make-Whole Event will be made during the term of the notes.

Because the notes are initially offered at a premium, you will lose some of your initial investment if the total amount paid on your notes is less than $1,050.

For each Valuation Date, the greater of:

·    $200; and

·    the Alternative Settlement Amount for that Valuation Date

For each Valuation Date, an amount calculated as follows:

$200 × (Final Stock Price on that Valuation Date / Threshold Price)

·          For purposes of the payment at maturity assuming no Make-Whole Event has occurred, each of the five consecutive trading days beginning on, and including, the 6^th scheduled trading day immediately preceding the Maturity Date;

·          For purposes of any payment upon optional early cash conversion, each of the five consecutive trading days beginning on, and including, the trading day immediately following the relevant Early Cash Conversion Date; and

·          For purposes of the Make-Whole Payment, each of the five consecutive trading days beginning on, and including, the trading day immediately following the Effective Date of the relevant Make-Whole Event.

100%

110%

120%

130%

140%

150%

160%

175%

If the exact Applicable Price (as a percentage of the Initial Strike Price) and/or Effective Date are not set forth in the table above, then:

·         if the actual Applicable Price (as a percentage of the Initial Strike Price) is between two Applicable Prices (as a percentage of the Initial Strike Price) in the table above, or if the Effective Date is between two Effective Dates in the table above, the number of Additional Shares (as a percentage of the Deemed Conversion Rate) shall be determined by a straight-line interpolation between the number of Additional Shares (as a percentage of the Deemed Conversion Rate) set forth for the higher and lower Applicable Prices (each as a percentage of the Initial Strike Price) and/or the earlier and later Effective Dates in the table above, as applicable, based on a 365-day year; and

·         if the actual Applicable Price (as a percentage of the Initial Strike Price) is in excess of 175% of the Initial Strike Price per share or less than 100% of the Initial Strike Price, the Additional Shares shall be zero in connection with the relevant Make-Whole Event.

Notwithstanding the foregoing, in no event will the Additional Shares exceed a number of shares of the Reference Stock equal to 8.79% of the Deemed Conversion Rate.