JPMorgan Chase Financial Introduces $27 Million Step Down Trigger Autocallable Notes Tied to Nasdaq-100 and Russell 2000 Indices

Details of Structured Product Terms and Call Return Mechanism

The Step Down Trigger Autocallable Notes are unsecured, unsubordinated debt securities issued by JPMorgan Financial and fully guaranteed by JPMorgan Chase & Co. The notes utilize a dual-index framework, with payment obligations dependent on the performance of both the Nasdaq-100 and Russell 2000 indices. Investors receive call returns only if automatic call conditions are met, resulting in a time-sensitive return structure where the call return rate increases the longer the notes remain outstanding before being called.

The automatic call feature activates under two conditions: first, if both indices close at or above their initial values on any quarterly observation date after the one-year non-call period (beginning July 23, 2027), JPMorgan Financial will automatically call the notes, paying principal plus accrued call return. Second, if both indices close at or above their respective downside thresholds on the final valuation date, July 16, 2029, the notes will be called at principal plus call return. The 11.40% annual call return rate accrues daily throughout the holding period regardless of when a call event occurs.

Downside Risk and Principal Repayment Contingency

These notes carry notable downside risk that differentiates them from traditional fixed-income securities. If neither index closes above its 75% downside threshold on the final valuation date and the notes have not been previously called, investors face a proportional principal loss. The downside thresholds are 21,769.33 for Nasdaq-100 and 2,230.925 for Russell 2000. Thus, if either index declines more than 25% from its initial value at maturity, investors will incur principal losses corresponding to the performance of the weaker index.

The filing highlights that contingent principal repayment applies only if investors hold the notes to maturity. Selling before maturity exposes investors to market pricing risks, potentially reflecting declines in underlying indices or credit spread changes. All payments, including principal, depend on the creditworthiness of JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor. In case of default by either party, investors could lose their entire investment.

Exposure to Lesser Performing Index and Cross-Index Risk

A key feature is the linkage to the "lesser performing" index, meaning the index with the poorer performance dictates investor returns. This exposes investors to the risk that a decline in one index is not offset by stability or gains in the other. For example, if Nasdaq-100 rises while Russell 2000 falls sharply, the return will be determined solely by Russell 2000’s performance, negating any benefit from Nasdaq-100’s strength.

The filing explicitly states investors "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 level of the other Underlying." This creates an asymmetrical structure where upside potential is limited by the weaker index, while downside risk is fully borne. The higher call return rate reflects the embedded credit and market risks priced into the notes.

Offering, Pricing, and Distribution Details

The offering totals $27,000,000 in principal, priced at $10 per note, with a minimum investment of $1,000 in $10 increments. The public offering price is $27,000,000, including fees and commissions of $675,000 ($0.25 per $10 principal note), resulting in net proceeds of $26,325,000 ($9.75 per $10 principal note) to the issuer. The trade date was July 17, 2026, with settlement on July 22, 2026. UBS Financial Services Inc. receives selling commissions of $0.25 per $10 principal note from JPMorgan Financial.

The estimated note value at pricing was $9.552 per $10 principal note, reflecting a discount from the $10 public price due to costs, distribution margins, and embedded derivative expenses. The notes are not exchange-listed and are offered directly through UBS underwriters. Secondary market pricing may vary significantly, and liquidity could be limited.

Initial Valuation Levels and Reference Dates

Initial index values were established based on closing levels on July 16, 2026, not the trade date of July 17, 2026. Nasdaq-100’s initial value is 29,025.77, and Russell 2000’s is 2,974.567. These serve as baselines for call decisions and downside calculations. The filing clarifies the initial value is the closing level on July 16, 2026, distinct from the trade execution date.

This distinction is important for investors assessing cost basis and expected returns, as market movements between July 16 and July 22 (settlement) affect the relative positioning of the indices against initial values. Investors should review the July 16 closing levels to understand baseline measurements for call probability and downside risk during the note term.

Guarantee and Credit Risk Considerations

The notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., one of the largest U.S. banks. This guarantee provides recourse to JPMorgan Chase & Co. if JPMorgan Financial defaults. However, credit risk remains, as obligations shift to the guarantor. Investors remain exposed to creditworthiness risks of both issuer and guarantor, and deteriorations in either could impact valuations and repayment.

The filing stresses that all payments, including principal, depend on the credit quality of JPMorgan Financial and JPMorgan Chase & Co. While the guarantee offers stronger protection than an unguaranteed issuer, these notes rank equally with other unsecured debt. In bankruptcy or default, noteholders compete with other creditors for assets.

Risks Compared to Traditional Debt Instruments

The filing warns that these notes carry significantly higher risk than conventional debt, with no guarantee of full principal repayment at maturity. Instead of traditional interest, returns depend on call events or positive performance of the lesser performing index. If both indices decline substantially, investors may receive no call return and face major principal loss.

Investors may lose "a significant portion or all of your principal amount" and are exposed to market risk of each underlying, with downside losses tied to the weaker index’s decline. These notes are not bank deposits and are not FDIC insured. This represents a fundamental departure from traditional fixed-income products, requiring investors to have adequate sophistication and risk tolerance to evaluate embedded market risks.

Observation Dates and Maturity Timeline

Quarterly observation dates commence on July 23, 2027, after the initial one-year non-call period. Observations continue quarterly to assess call conditions. The final valuation date is July 16, 2029, three years after the initial reference date. The maturity date is July 19, 2029, three days later, allowing JPMorgan Financial to determine closing levels and calculate any contingent principal repayment.

Observation and maturity dates may be postponed due to market disruptions such as exchange closures or trading halts affecting either index. The filing references provisions governing postponements under "General Terms of Notes — Postponement of a Determination Date" and "Postponement of a Payment Date." Investors should understand the timeline is subject to change under such circumstances.

Regulatory Registration and Compliance

The notes are issued under Registration Statement Nos. 333-293684 and 333-293684-01, with the pricing supplement filed under Rule 424(b)(2) of the Securities Act of 1933. Complete offering documents include the prospectus and supplement dated April 17, 2026, product supplement no. 3-I, and underlying supplement no. 1-I, all dated April 17, 2026, establishing the legal and commercial terms.

The filing states neither the SEC nor any state securities commission has approved or disapproved the notes or passed on the accuracy of the pricing supplement or related documents. Any contrary representation is a criminal offense. Investors should consult all prospectus materials available on the SEC website at www.sec.gov for comprehensive details on risks, terms, and conditions.