JPMorgan Chase Financial Issues $130 Million Uncapped Digital Barrier Notes Linked to S&P 500 and Russell 2000 Indices

Digital Barrier Notes Structure and JPMorgan Guarantee

JPMorgan Chase Financial Company LLC issued these notes as unsecured, unsubordinated obligations fully and unconditionally guaranteed by its parent company, JPMorgan Chase & Co. The disclosure highlights that investors bear the credit risk of both the issuer and guarantor, meaning repayment depends on the financial health of both entities. This dual-entity guarantee is typical for structured products issued through finance subsidiaries, offering an added security layer while having the parent company back all payments.

These notes are not bank deposits and lack insurance protection from the Federal Deposit Insurance Corporation or any other government agency. Despite the JPMorgan Chase guarantee, investors should understand these instruments carry issuer credit risk and differ from traditional FDIC-insured bank savings products or certificates of deposit.

Offering Pricing and Distribution Details

The $130 million offering was priced at $1,000 per note with minimum denominations of $1,000 and multiples thereof. J.P. Morgan Securities LLC served as the distribution agent, paying selling commissions of $30 per $1,000 principal to affiliated or unaffiliated dealers, plus a structuring fee of $7 per $1,000 principal. Total fees and commissions amounted to $3,900, resulting in net proceeds of $126,100 to the issuer from the $130,000 offering size.

The estimated value of the notes at pricing was $946.70 per $1,000 principal, reflecting the theoretical fair value of embedded options and derivatives within the product. This $53.30 difference from the public offering price represents the cost of optionality and structuring services included in the notes.

Index Details and Initial Pricing Values

The notes are linked to the S&P 500 Index (Bloomberg ticker: SPX) and the Russell 2000 Index (RTY). On July 17, 2026, the pricing date, the S&P 500 closed at 7,457.69 and the Russell 2000 at 2,962.217. These levels establish the Initial Values used to measure performance over the five-year term ending on July 17, 2031.

Performance is assessed individually for each index rather than as a combined basket. The "Lesser Performing Index" is identified by calculating the return of each index separately—(Final Value minus Initial Value) divided by Initial Value—and selecting the lower return. This means underperformance of either index can significantly impact investor returns regardless of the other index's performance.

Barrier Threshold and Downside Protection

The barrier for each index is set at 75% of its initial value: 5,593.2675 for the S&P 500 and 2,221.66275 for the Russell 2000. This barrier is crucial; if either index closes above this level on the observation date, principal protection applies. However, if either index closes below its barrier, investors face substantial losses. The disclosure warns that breaching the barrier can result in losses exceeding 25% of principal, potentially leading to total principal loss.

The barrier structure creates three maturity scenarios: if both indices finish above their initial values, investors receive principal plus the greater of the 52.15% contingent return or actual index return; if one index declines but both stay above barriers, investors get full principal; if either index breaches its barrier, investors receive principal adjusted by the lesser-performing index's actual return, which may be significantly negative.

Contingent Digital Return and Return Calculation

The 52.15% contingent digital return acts as a minimum return floor when the lesser-performing index appreciates but less than this threshold. If both indices close at or above initial values, investors receive $1,000 principal plus either $521.50 (52.15%) or the actual lesser index return, whichever is greater. This guarantees a 52.15% return if markets remain flat or modestly positive.

Hypothetical payout examples show that if the lesser-performing index rises only 1%, investors still receive the 52.15% return ($1,521.50 per $1,000 invested). However, a decline of even 0.01% breaching the barrier results in no contingent premium and potential loss of the entire contingent return, with principal returned but no upside.

Downside Risks and Potential Losses

Examples illustrate downside risks: declines of 5%, 10%, or 20% that do not breach the barrier still return full principal. But if either index closes at or below 75% of initial value—a 25% or more drop—the barrier is breached and principal protection is lost. For instance, a 25.01% decline results in a $749.90 payment per $1,000 invested, reflecting a $250.10 loss.

More severe declines lead to larger losses: a 50% drop results in $500 returned, and a 100% drop (index collapse) results in total loss of principal. The disclosure repeatedly emphasizes that investors must be prepared to lose a significant portion or all of their principal, highlighting this product's unsuitability for capital preservation.

Maturity and Observation Date Details

The notes mature on July 22, 2031, with a single observation date on July 17, 2031, marking a five-year investment period from the expected settlement date of July 22, 2026. The observation date is the sole point for measuring index levels to determine final returns, with no averaging over time.

Both observation and maturity dates may be postponed due to market disruption events, as detailed in the product supplement. This provision protects both issuer and investors if market conditions prevent normal index level determination, and investors should review the full supplement for definitions and implications of such events.

Credit and Risk Considerations

The pricing supplement directs investors to detailed risk disclosures in the prospectus and product supplement. Notes carry credit risk of JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor, meaning financial deterioration of either could impair payments. No interest or dividends are paid during the term; returns depend entirely on index performance and final maturity payment.

The structure also involves "behavioral risk" since returns are based on the lesser-performing index. For example, if one index rises 40% and the other 10%, investors receive only the 52.15% contingent return despite overall bullish market conditions. The notes are unsecured and unsubordinated, ranking equally with other unsecured debt but behind secured creditors in insolvency.

Registration and Regulatory Information

The offering is based on SEC registration statements 333-293684 and 333-293684-01 under Rule 424(b)(2), representing a delayed prospectus for previously registered securities. It relies on product supplement no. 3-I, underlying supplement no. 1-I, and a prospectus dated April 17, 2026. This layered disclosure approach is standard for structured products, with the base prospectus outlining general terms and supplements detailing payout mechanics and final terms.

The disclosure confirms that neither the SEC nor any state securities commission has approved or disapproved the notes or verified the pricing supplement's accuracy. Any contrary representation would be a criminal offense. The notes carry CUSIP 46661CGP5 for trading and settlement.

Investor Profile and Suitability

These notes are designed for investors seeking uncapped, unleveraged exposure to appreciation of the lesser-performing index at maturity, with a 52.15% contingent digital return floor. Suitable for bullish investors willing to accept principal loss risk, the notes forgo interest and dividends during the five-year term.

The uncapped upside differs from leveraged notes by providing full index exposure without borrowing or margin, limiting gains to actual index performance. Investors must accept single-observation-date mechanics, meaning gains depend solely on index levels at maturity with no benefit from interim index rises.