JPM JP Morgan Chase and Co

Trade Date:		The closing level of each Underlying (Initial Value) is observed and the Downside Threshold of each Underlying is determined.  The Coupon Rate is finalized.

Quarterly (callable by JPMorgan Financial at its election after an initial six-month non-call period)

If the Notes have not been called, JPMorgan Financial will pay you a Coupon on each Coupon Payment Date.   JPMorgan Financial may, at its election and upon written notice to DTC, call the Notes on any Optional Call Notice Date (after an initial six-month non-call period), regardless of the closing level of any Underlying on that Optional Call Notice Date. If JPMorgan Financial elects to call the Notes, JPMorgan Financial will pay you a cash payment per Note equal to the principal amount plus a Coupon and no further payments will be made on the Notes.

Maturity Date		The Final Value of each Underlying is determined as of the Final Valuation Date.   If JPMorgan Financial does not elect to call the Notes and the Final Value of each Underlying is equal to or greater than its Downside Threshold , at maturity JPMorgan Financial will repay the principal amount equal to $10.00 per Note plus the final Coupon.   If JPMorgan Financial does not elect to call the Notes and the Final Value of any Underlying is less than its Downside Threshold, JPMorgan Financial will, in addition to paying the final Coupon, repay less than the principal amount, if anything, at maturity, resulting in a loss on your principal amount proportionate to the decline of the Least Performing Underlying, equal to a return of:   $10 × (1 + Least Performing Underlying Return) per Note

INVESTING IN THE NOTES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. YOU WILL BE EXPOSED TO THE MARKET RISK OF EACH UNDERLYING AND ANY DECLINE IN THE LEVEL OF ONE UNDERLYING MAY NEGATIVELY AFFECT YOUR RETURN AND WILL NOT BE OFFSET OR MITIGATED BY A LESSER DECLINE OR ANY POTENTIAL INCREASE IN THE LEVELS OF THE OTHER UNDERLYINGS. ANY PAYMENT ON THE NOTES, INCLUDING ANY REPAYMENT OF PRINCIPAL, IS SUBJECT TO THE CREDITWORTHINESS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. IF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. WERE TO DEFAULT ON THEIR PAYMENT OBLIGATIONS, YOU MAY NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.

 

*The notes are subject to an initial six-month non-call period and, accordingly, the first Optional Call Notice Date is January 18, 2018.

The Final Valuation Date, and therefore, the Maturity Date, 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 Multiple Underlyings” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.

Each of the other Coupon Payment Dates is subject to postponement as described under “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement.

What Are the Tax Consequences of the Notes?

You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. UBS-1-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of Notes.

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the Notes as units each comprising a Put Option and a debt component for U.S. federal income tax purposes. For this Note offering, we have allocated 41.71% per annum to interest on the debt component and 58.29% per annum to Put Premium By purchasing the Notes, you agree to treat the Notes for U.S. federal income tax purposes consistently with the treatment and allocation as described above. We will follow this approach in determining our information reporting responsibilities, if any.

Assuming the treatment and allocation described above are respected, (a) interest on the debt component will be taxed as ordinary income, while the Put Premium will not be taken into account prior to maturity, sale or early redemption, and (b) assuming that you are an initial purchaser of Notes purchasing the Notes at the Issue Price for cash, at maturity or upon early redemption you will recognize short-term capital gain in an amount equal to the total Put Premium received.

There are, however, other reasonable treatments that the IRS or a court may adopt for the Notes, in which case the timing and character of your income or loss 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 on a number of issues, the most relevant of which for investors in the Notes are the character of income or loss (including whether the Put Premium might be currently included as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. While it is not clear whether the Notes would be viewed as similar to the typical prepaid forward contract described in the notice, it is possible that 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.

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) 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. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the Notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the Notes.

Withholding under legislation commonly referred to as “FATCA” will apply to amounts treated as interest or other “fixed or determinable annual or periodical” income (“FDAP Income”) for U.S. federal income tax purposes paid with respect to the Notes, and (if they are treated, in whole or in part, as debt instruments) could also apply to payments of gross proceeds of a taxable disposition, including an early redemption or redemption at maturity, of a Note. 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.

You should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the Notes, including possible alternative treatments, the issues presented by the notice and the potential application of the withholding requirements under FATCA to the Notes. Purchasers who are not initial purchasers of Notes at the Issue Price should also consult their tax advisers with respect to the tax consequences of an investment in the Notes, including possible alternative treatments, as well as the allocation of the purchase price of the Notes between the debt component and the Put Option.

Key Risks

An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in any or all of the Underlyings. These risks are explained in more detail in the “Risk Factors” sections of the accompanying product supplement and the accompanying underlying supplement. 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

The lower the correlation between any two of the Underlyings, the greater the potential for one of those Underlyings to close below its Downside Threshold on the Final Valuation Date and with three Underlyings there is a greater potential that one pair of Underlyings will have low or negative correlation. See “Correlation of the Underlyings” below. Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Coupon Rate is determined, in part, based on the correlation of the Underlyings’ performance, as calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for loss on your investment at maturity.

positive performance by any of the other Underlyings. Accordingly, your investment is subject to the risk of decline in the value of each Underlying.

It is more likely that JPMorgan Financial will elect to call the Notes prior to maturity when the expected interest payable on the Notes is greater than the interest that would be payable on other instruments issued by JPMorgan Financial of comparable maturity, terms and credit rating trading in the market. The greater likelihood of JPMorgan Financial calling the Notes in that environment increases the risk that you will not be able to reinvest the proceeds from the called Notes in an equivalent investment with a similar interest rate. JPMorgan Financial is less likely to call the Notes prior to maturity when the expected interest payable on the Notes is less than the interest that would be payable on other comparable instruments issued by JPMorgan Financial. Therefore, the Notes are more likely to remain outstanding when the expected interest payable on the Notes is less than what would be payable on other comparable instruments.

assumptions could provide valuations for the Notes that are greater than or less than the estimated value of the Notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the Notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy Notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement.

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.

Risks Relating to the Underlyings

Hypothetical Examples

Hypothetical terms only. Actual terms may vary. See the cover page for actual offering terms.

The examples below illustrate the hypothetical payments on a Coupon Payment Date, upon an issuer-elected call or at maturity under different hypothetical scenarios for a $10.00 Note on an offering of the Notes, with the assumptions set forth below.* We cannot predict the closing level of any Underlying on any day during the term of the Notes, including on the Final Valuation Date. You should not take these examples as an indication or assurance of the expected performance of the Notes. Numbers in the examples below have been rounded for ease of analysis. In these examples, we refer to the Russell 2000 ^® Index, the S&P 500 ^® Index and the EURO STOXX 50 ^® Index as the “RTY Index,” the “SPX Index” and the “SX5E Index,” respectively.

The examples below are hypothetical. These examples are intended to illustrate (a) the effect of an issuer-elected call, (b) how the value of the payment at maturity on the Notes will depend on whether the Final Value of any Underlying is less than its Downside Threshold and (c) how the total return on the Notes may be less than the total return on a direct investment in any or all Underlyings in certain scenarios. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the total payments per $10.00 principal amount Note over the term of the Notes to the $10.00 initial issue price.

On the first Optional Call Notice Date (which is approximately six month after the Trade Date and is the first date on which the Notes are callable), JPMorgan Financial elects to call the Notes. JPMorgan Financial will pay you on the Call Settlement Date $10.2726 per $10.00 principal amount Note, which is equal to your principal amount plus the Coupon due on the Coupon Payment Date that is also the Call Settlement Date. No further amounts will be owed to you under the Notes.

In this example, the Issuer does not elect to call the Notes and the Notes remain outstanding until maturity. Because the Final Value of each Underlying is greater than or equal to its Downside Threshold, JPMorgan Financial will pay you on the Maturity Date $10.1363 per $10.00 principal amount Note, which is equal to your principal amount plus the final Coupon.

In addition, JPMorgan Financial will also pay the Coupon of $0.1363 on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $11.6356 per $10.00 principal amount Note, for a 16.356% total return over the approximately 3 year term of the Notes.

In this example, the Issuer does not elect to call the Notes and the Notes remain outstanding until maturity. Because the Final Value of at least one Underlying is less than its Downside Threshold on the Final Valuation Date and the Least Performing Underlying Return is -55%, at maturity, JPMorgan Financial will pay you $4.6363 per $10.00 principal amount Note, which is equal to your principal amount plus the final Coupon, calculated as follows:

$10.00 × (1 + Least Performing Underlying Return) + the final Coupon

Step 1 : Determine the Underlying Return of each Underlying :

Underlying Return of the RTY Index:

Underlying Return of the SPX Index:

Underlying Return of the SX5E Index:

Step 2 : Determine the Least Performing Underlying . The RTY Index is the Underlying with the lowest Underlying Return.

Step 3 : Calculate the Payment at Maturity :

$10.00 × (1 + Least Performing Underlying Return) + final Coupon = $10.00 × (1 + -55.00%) + $0.1363 = $4.6363

In addition, JPMorgan Financial will also pay the Coupon of $0.1313 on each of the first to eleventh Coupon Payment Dates. Accordingly, JPMorgan Financial will have paid a total of $6.1356 per $10.00 principal amount Note, for a -38.644% total return over the approximately 3 year term of 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.

The Underlyings

Included on the following pages is a brief description 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 levels of each Underlying. This information given below is for the four calendar quarters in each of 2012, 2013, 2014, 2015 and 2016 and the first and second calendar quarters of 2017. Partial data is provided for the third calendar quarter of 2017. We obtained the closing levels information set forth below from the Bloomberg Professional ^® service (“Bloomberg”), without independent verification. You should not take the historical levels of any Underlying as an indication of future performance.

The Russell 2000 ^® Index

The Russell 2000 ^® Index consists of the middle 2,000 companies included in the Russell 3000E™ Index and, as a result of the index calculation methodology, consists of the smallest 2,000 companies included in the Russell 3000 ^® Index. The Russell 2000 ^® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000 ^® Index, see the information set forth under “Equity Index Descriptions — The Russell Indices” in the accompanying underlying supplement.

Historical Information Regarding the Russell 2000 ^® Index

The following table sets forth the quarterly high and low closing levels of the Russell 2000 ^® Index, based on daily closing levels of the Russell 2000 ^® Index as reported by Bloomberg, without independent verification. The closing level of the Russell 2000 ^® Index on July 18, 2017 was 1,427.614. We obtained the closing levels of the Russell 2000 ^® Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the Russell 2000 ^® Index as an indication of future performance.

The graph below illustrates the daily performance of the Russell 2000 ^® Index from January 3, 2007 through July 18, 2017, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold of 856.568, equal to 60% of the closing level of the Russell 2000 ^® Index on July 18, 2017.

Past performance of the Russell 2000 ^® Index is not indicative of the future performance of the Russell 2000 ^® Index.

The S&P 500 ^® Index

The S&P 500 ^® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity markets. For additional information about the S&P 500 ^® Index, see the information set forth under “Equity Index Descriptions — The S&P U.S. Indices” in the accompanying underlying supplement.

Historical Information Regarding the S&P 500 ^® Index

The following table sets forth the quarterly high and low closing levels of the S&P 500 ^® Index, based on daily closing levels of the S&P 500 ^® Index as reported by Bloomberg, without independent verification. The closing level of the S&P 500 ^® Index on July 18, 2017 was 2,460.61. We obtained the closing levels of the S&P 500 ^® Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the S&P 500 ^® Index as an indication of future performance.

The graph below illustrates the daily performance of the S&P 500 ^® Index from January 3, 2007 through July 18, 2017, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold of 1,476.37, equal to 60% of the closing level of the S&P 500 ^® Index on July 18, 2017.

Past performance of the S&P 500 ^® Index is not indicative of the future performance of the S&P 500 ^® Index .

The EURO STOXX 50 ^® Index

The EURO STOXX 50 ^® Index consists of 50 component stocks of market sector leaders from within the Eurozone. The EURO STOXX 50 ^® Index and STOXX ^® are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland and/or its licensors (the “Licensors”), which are used under license. The Securities based on the EURO STOXX 50 ^® Index are in no way sponsored, endorsed, sold or promoted by STOXX Limited and its Licensors and neither Stoxx Limited nor any of its Licensors shall have any liability with respect thereto. For additional information about the EURO STOXX 50 ^® Index, see the information set forth under “Equity Index Descriptions — The EURO STOXX 50 ^® Index” in the accompanying underlying supplement.

Historical Information Regarding the EURO STOXX 50 ^® Index

The following table sets forth the quarterly high and low closing levels of the EURO STOXX 50 ^® Index, based on daily closing levels of the EURO STOXX 50 ^® Index as reported by Bloomberg, without independent verification. The closing level of the EURO STOXX 50 ^® Index on July 18, 2017 was 3,478.68. We obtained the closing levels of the EURO STOXX 50 ^® Index above and below from Bloomberg, without independent verification. You should not take the historical levels of the EURO STOXX 50 ^® Index as an indication of future performance.

The graph below illustrates the daily performance of the EURO STOXX 50 ^® Index from January 2, 2007 through July 18, 2017, based on information from Bloomberg, without independent verification. The dotted line represents the Downside Threshold of 2,087.21, equal to 60% of the closing level of the EURO STOXX 50 ^® Index on July 18, 2017.

Past performance of the EURO STOXX 50 ^® Index is not indicative of the future performance of the EURO STOXX 50 ^® Index.

Correlation of the Underlyings

The graph below illustrates the daily performance of the Russell 2000 ^® Index, the S&P 500 ^® Index and the EURO STOXX 50 ^® Index from January 3, 2007 through July 18, 2017. For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 3, 2007 by dividing the closing level of that Underlying on each day by the closing level of that Underlying on January 3, 2007 and multiplying by 100.00. We obtained the closing levels used to determine the normalized closing levels set forth below from Bloomberg, without independent verification.

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

The correlation of a pair of Underlyings represents a statistical measurement of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction ( i . e ., positive or negative). Set forth below is a table that provides the correlation of each pair of Underlyings, calculated based on the daily returns of the Underlyings from July 18, 2007 through July 18, 2017, based on information from Bloomberg, without independent verification. You should not take the historical correlations of the Underlyings as an indication of future correlation.

A correlation of 1.000 for a pair of Underlyings represents a perfect positive correlation. This means that the closing levels of that pair of Underlyings have moved in the same direction and the ratio of their daily returns has been constant. A correlation of -1.000 for a pair of Underlyings represents a perfect negative correlation. This means that the closing levels of that pair of Underlyings have moved in the opposite direction and the ratio of their daily returns has been constant. A correlation of 0.000 for a pair of Underlyings means that the Underlyings are uncorrelated. This means that there is no statistical relationship between the daily returns of that pair of Underlyings. The closer the correlation of a pair of Underlyings is to 1.000, the more positively correlated those Underlyings are. The closer the correlation of a pair of Underlyings is to -1.000, the more negatively correlated those Underlyings. The closer the correlation of a pair of Underlyings is to 0.000, the less correlated those Underlyings are. The lower the correlation between two Underlyings, the greater the potential for one of those Underlyings to close below its Downside Threshold on the Final Valuation Date.

The correlations set forth above are based on the historical performance of the Underlyings, and you should not take those historical correlations as an indication of future correlation. In addition, the correlations set forth above are not the same as the correlations referenced in setting the terms of the Notes. The correlations referenced in setting the terms of the Notes are calculated using internal models of our affiliates and are not derived from the daily returns of the Underlyings over the period set forth above. Although the correlation of the Underlyings’ performance may change over the term of the Notes, the Coupon Rate is determined, in part, based on the correlations of the Underlyings’ performance calculated using internal models of our affiliates at the time when the terms of the Notes are finalized. A higher Coupon Rate is generally associated with lower correlation of the Underlyings, which reflects a greater potential for a loss on your investment at maturity.