JPMorgan Chase Financial Introduces Auto Callable Gold Volatility Notes Linked to MerQube Index with Maturity in 2029

Note Structure and Contingent Interest Payments

The notes feature contingent interest payments that reward investors when the MerQube US Gold Vol Advantage Index remains strong relative to its initial value on designated review dates. Investors receive at least $11.6667 per $1,000 principal—equivalent to 1.16667% monthly or 14.00% annually—if the index closes at or above 65.00% of its initial level, known as the interest barrier, provided the notes have not been automatically called.

If the index closes below the interest barrier on any review date, no contingent interest payment is made for that period. This introduces timing risk, as payments may be skipped during weaker index performance. The notes do not offer fixed interest; instead, investors trade conventional coupons for the potential of higher contingent payments, accepting the risk of missing payments during the term.

Automatic Call and Early Redemption Feature

An automatic call provision allows JPMorgan Chase Financial to redeem the notes early if the index performs well. The notes will be called if, on any review date (excluding the first eleven and final review dates), the index closes at or above 90.00% of its initial value. The earliest automatic call date is August 2, 2027, protecting early review dates from redemption.

Upon automatic call, investors receive $1,000 principal plus the contingent interest payment for that review date, with settlement on the call date. No further payments follow after the call. While this limits issuer obligations during strong index performance, it caps investors’ upside by ending participation after the call.

MerQube Index Features and Daily Deduction Impact

The MerQube US Gold Vol Advantage Index (Bloomberg ticker MQUSGVA) includes a 6.0% per annum deduction accrued daily, which reduces investor returns. This deduction offsets futures contract gains and amplifies losses, creating a performance drag in both positive and negative market conditions.

This daily deduction means the index underperforms a comparable index without such a charge, reducing effective returns over the note’s term. The pricing supplement highlights this as a key risk factor, emphasizing that this structural drag operates independently of market movements and should be considered by investors evaluating potential returns.

Maturity Terms and Principal Risk Exposure

Maturity occurs on August 3, 2029, when investors receive either full principal plus a final contingent interest payment if the index closes at or above 65.00% of its initial value, or a reduced payment reflecting index losses if below this threshold. If uncalled and the final index value is under 65.00%, investors face principal losses exceeding 35.00%, with the possibility of total principal loss if the index declines sufficiently.

Pricing, Settlement, and Fees

The notes have a minimum denomination of $1,000 and are expected to price around July 31, 2026, with settlement near August 5, 2026. If priced on the announcement date, the estimated value is approximately $950 per $1,000 principal, reflecting issuer hedging costs and profit margins.

The final pricing supplement will set a minimum estimated value of $930 per $1,000 principal. Selling commissions paid to dealers by J.P. Morgan Securities LLC will not exceed $7.50 per $1,000 principal. The supplement references "Supplemental Use of Proceeds" for pricing components, though detailed fee breakdowns were not included in this preliminary filing.

Review Dates and Interest Payment Schedule

The notes include 37 review dates from August 31, 2026, through July 31, 2029, occurring roughly monthly with some variation. Interest payments follow several business days after each review date, beginning September 3, 2026. This schedule allows monthly contingent interest payments if index conditions are met, but also increases exposure to missed payments if the index falls below the barrier.

Review and payment dates may be adjusted due to market disruptions, introducing some uncertainty into the payment timeline.

Credit Support and Guarantee Details

JPMorgan Chase Financial Company LLC issues the notes, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are unsecured and unsubordinated obligations of JPMorgan Financial, without specific collateral backing. Investors rely on the creditworthiness of both entities, with JPMorgan Chase & Co.’s guarantee providing significant credit support.

The notes are not bank deposits, are not FDIC insured, and are not traditional bank obligations, distinguishing them from deposit products. The disclosure clarifies these distinctions to ensure investor understanding of the structured investment nature.

Risks for Investors to Consider

Principal loss is a primary risk, as investors may lose a substantial portion or all principal if the index falls below 65.00% at maturity. The 6.0% annual daily deduction also reduces gains and amplifies losses, adding complexity and risk. The notes lack fixed income features and do not protect principal, making them unsuitable for conservative investors.

Investors must monitor review dates and index levels closely, as missed contingent interest payments can accumulate. The automatic call feature limits upside potential by ending participation after early redemption.

Regulatory Filings and Compliance

The pricing supplement is filed under Registration Statement Nos. 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2) of the Securities Act of 1933. Dated July 17, 2026, this preliminary document is subject to change and is not an offer to sell where prohibited. Neither the SEC nor state securities regulators have approved or disapproved the notes or verified the disclosure accuracy.

The notes’ CUSIP is 46661KSJ8, facilitating identification and trading. The supplement references product supplement no. 3-I, underlying supplement no. 5-I, and prospectus documents all dated April 17, 2026, providing additional details on risks, terms, and issuer credit quality to inform investor decisions.