JPMorgan Chase Financial Introduces Auto Callable Notes Linked to S&P 500 and VanEck Semiconductor ETF Performance

Investment Structure and Contingent Interest Features

JPMorgan Chase Financial structured these notes to offer monthly income opportunities for investors comfortable with exposure to two underlying assets. According to the filing, investors will receive contingent interest payments of at least $15.0833 per $1,000 principal on each applicable interest payment date, provided both the S&P 500 Index and the VanEck Semiconductor ETF close at or above 70% of their initial values on scheduled review dates. This interest barrier mandates that both underlyings meet the threshold independently; if either falls below 70% on any review date, no contingent interest is paid for that period.

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, with payments fully and unconditionally guaranteed by JPMorgan Chase & Co. The contingent interest rate is structured to pay at least 1.50833% monthly, equivalent to a minimum annual rate of 18.10%, contingent on satisfying the interest barrier at each review date. This replaces traditional fixed interest and dividend payments with performance-dependent contingent payments.

Automatic Call Feature and Early Redemption Conditions

An automatic call provision activates if both underlyings close at or above their initial values on any review date, excluding the first five and the final review date. The earliest automatic call date is January 28, 2027. Upon triggering, notes are redeemed at $1,000 principal plus the contingent interest for that review date, with settlement on the subsequent interest payment date.

This call feature limits upside potential; investors receive principal and contingent interest upon call but do not benefit from further appreciation beyond the call date. The filing notes approximately 23 monthly review dates from August 2026 through June 2028, with the initial five review dates excluded from call triggers to ensure a minimum holding period.

Downside Risk Thresholds and Potential Loss Scenarios

The notes specify two critical price levels: a 70% interest barrier for contingent interest eligibility and a 50% trigger value determining principal risk. If either underlying falls below 50% of its initial value at maturity and the notes are not called early, investors face principal loss calculated based on the lower-performing underlying.

If both underlyings close at or above their trigger values at maturity, investors receive full principal plus any final contingent interest. However, if either closes below 50%, the maturity payment is reduced proportionally to the decline of the worst-performing underlying. Investors may lose more than 50% or even all principal if the underlying assets decline sufficiently, reflecting the "worst-of" exposure between the S&P 500 and VanEck Semiconductor ETF.

Underlying Assets and Index Details

The notes are linked to the S&P 500 Index (Bloomberg ticker SPX), representing large-cap U.S. equities across sectors, and the VanEck Semiconductor ETF (Bloomberg ticker SMH), which provides concentrated exposure to semiconductor companies subject to cyclical demand, technological disruption, and supply chain risks. Specific holdings and sector weightings of the ETF are not disclosed in this filing.

Initial values for both underlyings are set at closing prices on the pricing date, approximately July 28, 2026. A share adjustment factor for the VanEck Semiconductor ETF is set at 1.0 on the pricing date and may be adjusted for corporate events as outlined in the product supplement. The dual-underlying structure introduces correlation dynamics that may affect note performance over the two-year term.

Pricing, Distribution, and Investment Terms

Priced at $1,000 per note with minimum investments of $1,000 and multiples thereof, these notes are accessible to institutional and qualified retail investors. Selling commissions will not exceed $22.25 per $1,000 principal amount, paid by J.P. Morgan Securities LLC to affiliated or unaffiliated dealers. The estimated value at filing is approximately $956.90 per $1,000 principal, with a commitment that the final estimated value will not be below $930.00.

Pricing is expected on July 28, 2026, with settlement around July 31, 2026. The CUSIP is 46661KWK0. The pricing supplement details the price components in a "Supplemental Use of Proceeds" section. These notes are not bank deposits, are not FDIC insured, and are not bank obligations, as noted in the risk disclaimers.

Review and Interest Payment Schedule

There are 23 scheduled monthly review dates from August 28, 2026, through June 28, 2028, with maturity and final review on July 3, 2028. The filing provides the full list of review dates, enabling investors to monitor contingent interest eligibility and automatic call triggers. Interest payments occur approximately one to five business days after each review date.

Review and payment dates may be postponed due to market disruption events or accelerated due to acceleration events, as described in the product and prospectus supplements. Investors should review the full documentation for details on potential schedule modifications.

Risk Factors and Principal Exposure

The filing highlights significant risks: investors must accept the possibility of losing a substantial portion or all principal. The "worst-of" structure requires both assets to remain above the interest barrier for payments, but principal loss occurs if either falls below the trigger value. Downside exposure applies to the poorer performing underlying, whether the broad equity market or semiconductor sector.

Investors forgo fixed interest and dividend payments in favor of contingent interest, which may be skipped if either underlying falls below 70% on any review date. Extended underperformance could lead to zero interest payments over the 23-month term despite principal risk. The notes are unsecured obligations subject to JPMorgan Chase Financial and JPMorgan Chase & Co. credit risk, adding counterparty risk.

Estimated Value and Pricing Discount Analysis

The estimated value at filing is $956.90 per $1,000 principal, reflecting a 4.31% discount to par. This discount accounts for the embedded options, contingent payment features, issuer and guarantor credit risk, dual-underlying correlation, upside limits via automatic call, and downside risk via trigger values. Investors purchasing at $1,000 accept an immediate theoretical loss relative to estimated value, representing the cost of embedded features and distribution fees.

Regulatory Filing and Documentation Overview

The preliminary pricing supplement, dated July 23, 2026, is filed under SEC Registration Statements 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2). It is preliminary and subject to change, not constituting an offer or solicitation where prohibited.

The supplement references a product supplement 3-I, underlying supplement 1-I, and prospectus documents all dated April 17, 2026, which provide additional disclosures on risks, terms, underlyings, and distribution. The SEC and state regulators have neither approved nor disapproved the notes or verified the accuracy of these documents, as stated in the filing.