EFTA Document EFTA01459325

Key Terms Index: The EURO STOXX 5e Index (Bloomberg ticker: SX5E) Maximum Return: At least 40.00% (corresponding to a maximum payment at maturity of $1,400.00 per $1,000 principal amount note) (to be provided in the pricing supplement) Upside Leverage Factor: 2.00 Contingent Buffer Amount: 25.00% Pricing Date: On or about January 15, 2016 Original Issue Date (Settlement Date): On or about January 21, 2016 Observation Date: July 16, 2018 Maturity Date•: July 19, 2018 • 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. 4a•I Payment at Maturity: If the Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Index Return x Upside Leverage Factor), subject to the Maximum Return If the Final Value is equal to the Initial Value or is less than the Initial Value by up to the Contingent 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 Contingent Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + (51,000 x Index Return) If the Final Value is less than the Initial Value by more than the Contingent Buffer Amount, you will lose more than 25.00% of your principal amount at maturity and could lose all of your principal amount at maturity. Index Return: (Final Value — Initial Value) Initial Value Initial Value: The dosing level of the Index on the Pricing Date Final Value: The closing level of the Index on the Observation Date PS-1 j Structured Investments Capped Contingent Buffered Return Enhanced Notes Linked to the EURO STOXX 50' Index J.P.Morgan CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00265845 DB-SDNY-0 119661 EFTA01459325