JPM JP Morgan Chase and Co

Key Terms

Investing in the notes involves a number of risks.  See “Risk Factors” beginning on page PS-10 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-3 of this pricing supplement.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement and prospectus.  Any representation to the contrary is a criminal offense.

If the notes priced today, the estimated value of the notes would be approximately $977.10 per $1,000 principal amount note.  The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement and will not be less than $965.00 per $1,000 principal amount note.   See “The Estimated Value of the Notes” in this pricing supplement for additional information.

The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank. 

Additional Terms Specific to the Notes

You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent.  We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance.  In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase.  You may also choose to reject such changes, in which case we may reject your offer to purchase.

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which these notes are a part, and the more detailed information contained in the accompanying product supplement.   This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours.   You should carefully consider, among other things, the matters set forth in the “Risk Factors” section of the accompanying product supplement, as the notes involve risks not associated with conventional debt securities.  We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.  As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Financial.

* The Initial Stock Price of each Reference Stock will be provided in the pricing supplement.

What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Basket?

The following table and examples illustrate the hypothetical total return or payment at maturity on the notes.  The “total return” as used in this pricing supplement 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 reflects the Basket Adjustment Factor of 99.65% and the Starting Basket Level of 100.    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.

Hypothetical Examples of Amount Payable at Maturity

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1: The level of the Basket increases from the Starting Basket Level of 100 to an Ending Basket Level of 105.   Because the Ending Basket Level of 105 is greater than the Starting Basket Level of 100 and the Basket Return is 5%, the investor receives a payment at maturity of $1,046.325 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + 5%) × 99.65% = $1,046.325

Example 2: The level of the Basket decreases from the Starting Basket Level of 100 to an Ending Basket Level of 99.85.   Although the Ending Basket Level of 99.85 is less than the Starting Basket Level of 100 and the Basket Return is
-0.15%, because of the positive effect of the Basket Adjustment Factor, the investor receives a payment at maturity of $995.0053 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + -0.15%) × 99.65% = $995.0053

Example 3: The level of the Basket decreases from the Starting Basket Level of 100 to an Ending Basket Level of 50.   Because the Ending Basket Level of 50 is less than the Starting Basket Level of 100 and the Basket Return is -50%, the investor receives a payment at maturity of $498.25 per $1,000 principal amount note, calculated as follows:

$1,000 × (1 + -50%) × 99.65% = $498.25

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.   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.

Selected Purchase Considerations

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely 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; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. 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 and adversely 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.

As discussed in the accompanying product supplement, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Section 871(m) generally applies to notes that substantially replicate the economic performance of one or more Underlying Securities, as determined upon issuance, based on tests set forth in the applicable Treasury regulations (a “Specified Security”). We intend to treat the notes as Specified Securities and therefore as being subject to Section 871(m). Under the applicable Treasury regulations, the dividend equivalent amount is calculated using a formula that is based on the actual dividends paid with respect to the Underlying Securities, even if these dividends are not reflected in determining any payment on the note. We will not be required to pay any additional amounts in respect of amounts withheld under Section 871(m). Upon request, we are required to provide further information relevant to the application of Section 871(m) to the notes, including a schedule of the dividend equivalent amounts and associated withholding. You may submit any such request for information to your custodian.

Our determinations (including with respect to the dividend equivalent amount) are generally binding on you, but are not binding on the IRS, and the IRS may disagree with our determinations. Section 871(m) is complex and its application may depend on your particular circumstances. You should consult your tax adviser regarding the application of Section 871(m) to the notes.

Based on certain factual assumptions and representations received from us, our special tax counsel is of the opinion that withholding under Sections 897 and 1445 of the Code and the regulations thereunder should not be imposed on proceeds paid to non-U.S. investors with respect to the notes, although it is possible that we may decide (or that the IRS could argue) that we are required to withhold.

Withholding under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes. Under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) of a taxable disposition, including redemption at maturity, of the notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.

Selected Risk Considerations

An investment in the notes involves significant risks.  Investing in the notes is not equivalent to investing directly in the Basket or any of the Reference Stocks.  These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement.

subject to a reduction by the Basket Adjustment Factor.  Because the Basket Adjustment Factor reduces the Basket Return, if the Ending Basket Level does not exceed the Starting Basket Level by at least approximately 0.35123%, you will lose some or all of your principal amount at maturity.

We and/or our affiliates may also currently or from time to time engage in business with the Reference Stock issuers, including extending loans to, or making equity investments in, the Reference Stock issuers or providing advisory services to the Reference Stock issuers.  In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to the Reference Stock issuers, and these reports may or may not recommend that investors buy or hold the Reference Stocks.  As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuers that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.

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.

Each of the Reference Stocks has been issued by a company whose business is associated with the industrials sector.  Because the value of the notes is determined by the performance of the Basket, an investment in the notes will be concentrated in this sector.  As a result, the value of the notes may be subject to greater volatility

and be more adversely affected by a single positive or negative economic, political or regulatory occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.

The Basket and the Reference Stocks

Public Information

All information contained herein on the Reference Stocks and on the Reference Stock issuers is derived from publicly available sources, without independent verification.  Companies with securities registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, are required to periodically file certain financial and other information specified by the SEC.  Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided below and can be accessed through www.sec.gov.  We do not make any representation that these publicly available documents are accurate or complete.

Historical Information Regarding the Basket and the Reference Stocks

The following graphs show the historical weekly performance of the Basket as a whole from July 8, 2016 through September 15, 2017, as well as the Reference Stocks (other than the common stock of Fortive Corporation) from January 6, 2012 through September 15, 2017 and the common stock of Fortive Corporation from July 8, 2016 through September 15, 2017.  The graph of the historical Basket performance assumes the closing level of the Basket on July 8, 2016 was 100 and the Stock Weights were as specified under “The Basket” in this pricing supplement.  

We obtained the various closing prices below from the Bloomberg Professional ^® service (“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 the commencement of trading of each Reference Stock, the price of that Reference Stock has experienced significant fluctuations.  The historical performance of each Reference Stock and the historical performance of the Basket should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of each Reference Stock or the levels of the Basket on the Pricing Date or any Ending Averaging Date.  There can be no assurance that the performance of the Basket will result in the return of any of your principal amount.

Historical Information Regarding the Basket

The following graph sets forth the historical performance of the Basket based on the weekly Basket Closing Level from July 8, 2016 through September 15, 2017.  The following graph assumes the closing level of the Basket on July 8, 2016 was 100 and the Stock Weights were as specified under “The Basket” in this pricing supplement.

Honeywell International Inc. (“Honeywell”)

According to its publicly available filings with the SEC, Honeywell International Inc. is a technology and manufacturing company that invents and commercializes technologies that address challenges around energy, safety, security, productivity and global urbanization.  The common stock of Honeywell, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Honeywell in the accompanying product supplement.  Honeywell’s SEC file number is 001-08974.

Historical Information Regarding the Common Stock of Honeywell

The following graph sets forth the historical performance of the common stock of Honeywell based on the weekly historical closing prices of one share of the common stock of Honeywell from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Honeywell on September 19, 2017 was $137.75.

Raytheon Company (“Raytheon”)

According to its publicly available filings with the SEC, Raytheon is a technology company specializing in defense and other government markets throughout the world.  Raytheon develops products, services and solutions in its core markets of sensing; effects; command, control, communications, computers, cyber and intelligence; mission support; and cybersecurity.   The common stock of Raytheon, par value $0.01 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Raytheon  in the accompanying product supplement.  Raytheon’s SEC file number is 001-13699.

Historical Information Regarding the Common Stock of Raytheon

The following graph sets forth the historical performance of the common stock of Raytheon based on the weekly historical closing prices of one share of the common stock of Raytheon from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Raytheon on September 19, 2017 was $183.25.

Southwest Airlines Co. (“Southwest”)

According to its publicly available filings with the SEC, Southwest is a passenger airline that provides scheduled air transportation in the United States and near-international markets.  The common stock of Southwest, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Southwest in the accompanying product supplement.  Southwest’s SEC file number is 001-07259.

Historical Information Regarding the Common Stock of Southwest

The following graph sets forth the historical performance of the common stock of Southwest based on the weekly historical closing prices of one share of the common stock of Southwest from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Southwest on September 19, 2017 was $53.54.

Fortive Corporation (“Fortive”)

According to its publicly available filings with the FDIC, Fortive is an industrial growth company encompassing businesses in field solutions, transportation technology, sensing, product realization, automation and specialty, and franchise distribution markets.  The common stock of Fortive, par value $0.01 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Fortive in the accompanying product supplement.  Fortive’s SEC file number is 001-37654.

Historical Information Regarding the Common Stock of Fortive

The following graph sets forth the historical performance of the common stock of Fortive based on the weekly historical closing prices of one share of the common stock of Fortive from July 8, 2016 through September 15, 2017.  The common stock of Fortive commenced trading on July 5, 2016 and therefore has a limited performance history.  The closing price of one share of the common stock of Fortive on September 19, 2017 was $70.08.

Textron Inc. (“Textron”)

According to its publicly available filings with the SEC, Textron is a multi-industry company with a global network of aircraft, defense, industrial and finance businesses.  The common stock of Textron, par value $0.125 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Textron in the accompanying product supplement.  Textron’s SEC file number is 001-05480.

Historical Information Regarding the Common Shares of Textron

The following graph sets forth the historical performance of the common stock of Textron based on the weekly historical closing prices of one share of Textron from January 6, 2012 through September 15, 2017.  The closing price of one common share of Textron on September 19, 2017 was $52.74.

United Rentals, Inc. (“United Rentals”)

According to its publicly available filings with the SEC, United Rentals is an equipment rental company that operates throughout the United States and Canada.  The common stock of United Rentals, par value $0.01 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of PNC in the accompanying product supplement.  United Rentals’s SEC file number is 001-14387.

Historical Information Regarding the Common Stock of United Rentals

The following graph sets forth the historical performance of the common stock of United Rentals based on the historical weekly closing prices of one share of the common stock of United Rentals from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of United Rentals on September 19, 2017 was $129.89.

The Boeing Company (“Boeing”)

According to its publicly available filings with the SEC, Boeing is an aerospace firm that operates in five principal segments: commercial airplanes; defense, space & security (which comprises three segments: Boeing military aircraft; network & space systems; and global services & support); and Boeing Capital.  The common stock of Boeing, par value $5.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Boeing in the accompanying product supplement.  Boeing’s SEC file number is 001-00442.

Historical Information Regarding the Common Stock of Boeing

The following graph sets forth the historical performance of the common stock of Boeing based on the weekly historical closing prices of one share of the common stock of Boeing from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Boeing on September 19, 2017 was $252.46.

Caterpillar Inc. (“Caterpillar”)

According to its publicly available filings with the SEC, Caterpillar Inc. is a manufacturer of construction and mining equipment, diesel and natural gas engines, industrial gas turbines and diesel-electric locomotives.  The common stock of Caterpillar, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Caterpillar in the accompanying product supplement.  Caterpillar’s SEC file number is 001-00768.

Historical Information Regarding the Common Stock of Caterpillar

The following graph sets forth the historical performance of the common stock of Caterpillar based on the weekly historical closing prices of one share of the common stock of Caterpillar from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Caterpillar on September 19, 2017 was $124.74.

Norfolk Southern Corporation (“Norfolk Southern”)

According to its publicly available filings with the SEC, Norfolk Southern Corporation is primarily engaged in the rail transportation of raw materials, intermediate products, and finished goods primarily in the Southeast, East, and Midwest and, via interchange with rail carriers, to and from the rest of the United Stated and also transports overseas freight through several Atlantic and Gulf Coast ports.  The common stock of Norfolk Southern, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Norfolk Southern in the accompanying product supplement.  Norfolk Southern’s SEC file number is 001-08339.

Historical Information Regarding the Common Stock of Norfolk Southern

The following graph sets forth the historical performance of the common stock of Norfolk Southern based on the weekly historical closing prices of one share of the common stock of Norfolk Southern from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Norfolk Southern on September 19, 2017 was $127.80.

Rockwell Automation, Inc. (“Rockwell Automation”)

According to its publicly available filings with the SEC, Rockwell Automation is an industrial automation and information company that operates two segments: architecture & software; and control products and solutions.  The common stock of Rockwell Automation, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Rockwell Automation in the accompanying product supplement.  Rockwell Automation’s SEC file number is 001-12383.

Historical Information Regarding the Common Stock of Rockwell Automation

The following graph sets forth the historical performance of the common stock of Rockwell Automation based on the weekly historical closing prices of one share of the common stock of Rockwell Automation from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Rockwell Automation on September 19, 2017 was $177.13.

Lockheed Martin Corporation (“Lockheed Martin”)

According to its publicly available filings with the SEC, Lockheed Martin is a security and aerospace company principally engaged in the research, design, development, manufacture, integration and sustainment of advanced technology systems, products and services. Lockheed also provide a range of management, engineering, technical, scientific, logistics, system integration and cybersecurity services.  The common stock of Lockheed Martin, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Lockheed Martin in the accompanying product supplement.  Lockheed Martin’s SEC file number is 001-11437.

Historical Information Regarding the Common Stock of Lockheed Martin

The following graph sets forth the historical performance of the common stock of Lockheed Martin based on the weekly historical closing prices of one share of the common stock of Lockheed Martin from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Lockheed Martin on September 19, 2017 was $305.65.

FedEx Corporation (“FedEx”)

According to its publicly available filings with the SEC, FedEx provides a portfolio of transportation, e-commerce and business services through companies competing collectively, operating independently and managed collaboratively, under the FedEx brand.  The common stock of FedEx, par value $0.10 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of FedEx in the accompanying product supplement.  FedEx’s SEC file number is 001-15829.

Historical Information Regarding the Common Stock of FedEx

The following graph sets forth the historical performance of the common stock of FedEx based on the weekly historical closing prices of one share of the common stock of FedEx from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of FedEx on September 19, 2017 was $216.00.

CSX Corporation (“CSX”)

According to its publicly available filings with the SEC, CSX is a transportation company that provides rail-based transportation services, including traditional rail service and the transport of intermodal containers and trailers.  The common stock of CSX, par value $1.00 per share, is listed on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of CSX in the accompanying product supplement.  CSX’s SEC file number is 001-08022.

Historical Information Regarding the Common Stock of CSX

The following graph sets forth the historical performance of the common stock of CSX based on the weekly historical closing prices of one share of the common stock of CSX from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of CSX on September 19, 2017 was $51.78.

Stanley Black & Decker, Inc. (“Stanley Black & Decker”)

According to its publicly available filings with the SEC, Stanley Black & Decker is a global provider of hand tools, power tools and related accessories, mechanical access solutions (i.e., automatic doors and commercial locking systems), electronic security and monitoring systems, healthcare solutions, engineered fastening systems and products and services for various industrial applications.  The common stock of Stanley Black & Decker, par value $2.50 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Stanley Black & Decker in the accompanying product supplement.  Stanley Black & Decker’s SEC file number is 001-05224.

Historical Information Regarding the Common Stock of Stanley Black & Decker

The following graph sets forth the historical performance of the common stock of Stanley Black & Decker based on the weekly historical closing prices of one share of the common stock of Stanley Black & Decker from January 6, 2012 through September 15, 2017.  The closing price of one share of the common stock of Stanley Black & Decker on September 19, 2017 was $151.25.

Parker-Hannifin Corporation (“Parker-Hannifin”)

According to its publicly available filings with the SEC, Parker-Hannifin is a manufacturer of motion and control technologies and systems, providing precision engineered solutions for a variety of mobile, industrial and aerospace markets.  The common shares of Parker-Hannifin, par value $0.50 per share, is listed on the New York Stock Exchange, which we refer to as the relevant exchange for purposes of Parker-Hannifin in the accompanying product supplement.  Parker-Hannifin’s SEC file number is 001-04982.

Historical Information Regarding the Common Shares of Parker-Hannifin

The following graph sets forth the historical performance of the common shares of Parker-Hannifin based on the weekly historical closing prices of one common share of Parker-Hannifin from January 6, 2012 through September 15, 2017.  The closing price of one common share of Parker-Hannifin on September 19, 2017 was $176.09.

The Estimated Value of the Notes

The 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 the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes.  The estimated value of the notes 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 the estimated value of the notes is based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co.  For additional information, see “Selected Risk Considerations — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement.  The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our affiliates.  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, the 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 “Selected Risk Considerations — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.

The estimated value of the notes will be 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 JPMS and other affiliated or unaffiliated dealers, 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 “Selected Risk Considerations — The Estimated Value of the Notes Will Be Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.

Secondary Market Prices of the Notes

For information about factors that will impact any secondary market prices of the notes, see “Selected Risk Considerations — 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 the shorter of six months and one-half of the stated term of the notes.  The length of any such initial period reflects 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 our affiliates.  See “Selected Risk Considerations — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period.”

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