JPMorgan Chase Financial Launches $11.5 Million Leveraged Structured Investment Linked to EURO STOXX 50 Index Through 2032

Structure and Leverage Details of the Investment

The Trigger PLUS securities offer leveraged exposure to the EURO STOXX 50 Index, a premier European large-cap equity benchmark. According to the pricing supplement filed on July 21, 2026, each unit has a stated principal amount of $1,000 and was issued at par. The 192.25% leverage factor enhances returns when the index appreciates over the approximate six-year term.

At maturity, if the final index value surpasses the initial level, investors receive their principal plus a leveraged upside payment calculated as $1,000 multiplied by the 192.25% leverage factor and the index's percentage gain. This structure enables investors to gain amplified exposure to index growth with less capital than direct investment, but it carries asymmetric downside risk that must be carefully considered.

Trigger Level and Principal Protection Mechanism

The securities include a trigger level set at 4,673.1525, which is 75% of the initial index value of 6,230.87 recorded on July 17, 2026. This trigger defines investor outcomes at maturity on July 30, 2032 (valuation date), with payment settlement on August 4, 2032. If the final index value remains at or above this trigger, investors receive full principal despite any interim declines.

If the final index falls below the trigger, investors face significant losses. Payment in this case equals $1,000 multiplied by the ratio of the final index value to the initial index value, potentially resulting in loss exceeding 25% or total principal loss. This worst-case scenario means investors could lose their entire investment if the EURO STOXX 50 Index declines substantially over six years.

Offering Size and Fee Structure

The total principal amount issued is $11.461 million. Each Trigger PLUS unit is priced at $1,000, with total fees and commissions of $401,135, approximately 3.5% of the aggregate principal. Selling commissions of $30 per $1,000 principal were paid by J.P. Morgan Securities LLC to Morgan Stanley Wealth Management, alongside a structuring fee of $5 per $1,000 principal payable to Morgan Stanley Wealth Management.

After fees, proceeds to the issuer totaled approximately $11.06 million. The estimated value per unit on pricing date was $947.30, indicating a valuation discount relative to issue price reflecting embedded costs.

Credit Support and Guarantee Details

These unsecured and unsubordinated obligations are issued by JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co. All payments are fully and unconditionally guaranteed by JPMorgan Chase & Co., one of the largest U.S. financial institutions, providing credit protection against issuer default.

However, investors bear credit risk from both the issuer and guarantor. The guarantee protects against insolvency but does not shield against losses from index performance below trigger levels, meaning principal loss remains possible.

Underlying Index and Valuation Methodology

The EURO STOXX 50 Index (Bloomberg: SX5E) is the sole underlying index. At pricing on July 17, 2026, the index closed at 6,230.87. The final index value used for payment calculations will be the closing level on July 30, 2032. Investment returns depend wholly on index performance between these dates.

The index percent increase is calculated as (final index value - initial index value) divided by initial index value, which is then multiplied by the 192.25% leverage factor to determine upside payments. The trigger level at 4,673.1525 sets a 25% decline floor, below which losses accelerate due to the payment formula.

Investment Characteristics and Risk Profile

Trigger PLUS securities are designed for investors seeking leveraged equity returns who accept principal risk. They do not pay interest and do not guarantee principal return at maturity. Enhanced upside is paired with asymmetric downside risk, including possible total principal loss if the index falls below the trigger.

The securities are classified as "principal at risk" with a minimum maturity payment of zero. Investors must understand the speculative nature and risks associated with leverage and index volatility before investing.

Distribution and Conflict of Interest Disclosures

J.P. Morgan Securities LLC acts as agent for distribution, paying selling commissions of $30 per $1,000 principal to Morgan Stanley Wealth Management, which also receives a $5 per unit structuring fee. This creates a distribution partnership with potential conflicts of interest, as Morgan Stanley Wealth Management benefits financially from sales.

The pricing supplement references a "Plan of Distribution (Conflicts of Interest)" section for further details. Investors should review these disclosures carefully to understand potential influences on sales recommendations.

Maturity and Settlement Schedule

The securities were priced on July 17, 2026, with an original issue (settlement) date of July 22, 2026. The valuation date is July 30, 2032, and maturity is August 4, 2032, allowing time for final calculations and payments.

Both valuation and maturity dates may be postponed due to market disruption events. Early acceleration provisions may apply under certain conditions as outlined in the product documentation.

Pricing and Valuation Insights

The estimated value of each Trigger PLUS unit at pricing was $947.30 versus the $1,000 issue price, reflecting a $52.70 per unit embedded cost including leverage, fees, and issuer margins. This 5.27% discount represents the immediate cost to investors, requiring sufficient index appreciation over six years to realize net gains.

Investors should consider this valuation gap when assessing the investment's cost-benefit profile.

Regulatory Status and Important Investment Notes

Issued under JPMorgan Chase Financial Company LLC's Medium-Term Notes, Series A program (registration Nos. 333-293684 and 333-293684-01), the pricing supplement was filed under Rule 424(b)(2) of the Securities Act of 1933. The SEC and state regulators have neither approved nor disapproved the securities or their disclosures.

Trigger PLUS securities are not bank deposits, are not FDIC insured, and are not bank obligations. Although JPMorgan Chase & Co. operates banking subsidiaries, these securities lack government insurance and should not be treated as bank savings products. Prospective investors must review all related offering documents for comprehensive risk and investment information before investing.