JPMorgan Chase Financial Launches $4.8 Million Callable Contingent Interest Notes Linked to Nasdaq-100 Tech, Russell 2000, and S&P 500 Indices

Structured Notes Design and Index Selection

These structured notes, issued by JPMorgan Chase Financial Company LLC—a wholly owned finance subsidiary of JPMorgan Chase & Co.—link returns to the combined performance of the Nasdaq-100 Technology Sector Index (NDXT), Russell 2000 Index (RTY), and S&P 500 Index (SPX). The structure mandates that all three indices maintain minimum performance thresholds to trigger contingent interest payments, employing a multi-barrier observation approach that increases the likelihood of at least one index breaching its trigger during the five-year term.

Initial index values set on the pricing date, July 21, 2026, were 16,934.43 for Nasdaq-100 Technology, 2,987.395 for Russell 2000, and 7,509.20 for S&P 500. Interest barriers are fixed at 70% of these initial values. Contingent interest payments depend on each index individually meeting its threshold simultaneously on review dates, rather than a combined basket calculation.

Contingent Interest Payment Structure

The notes offer a 10.60% annual contingent interest rate, equating to monthly payments of $8.8333 per $1,000 principal if all three indices remain at or above their respective 70% barriers on each review date. Specific trigger levels are 11,854.101 for Nasdaq-100 Technology, 2,091.1765 for Russell 2000, and 5,256.44 for S&P 500. Should any index close below its barrier on a review date, no interest is paid for that period, resulting in a full loss of that month’s interest income.

Investors accept foregoing fixed interest and dividends for the chance to earn contingent interest, creating an asymmetric payoff where downside risk is fully borne by investors while upside participation is capped. Monthly review dates start August 21, 2026, and continue through July 21, 2031, totaling 59 observation points, with interest payments typically made five business days after each review.

Principal Repayment and Maturity Risks

At maturity on July 24, 2031, principal repayment depends on the final closing levels of all three indices relative to their 70% trigger thresholds. If all indices close at or above triggers, investors receive full $1,000 principal plus the final contingent interest payment. However, if any index falls below its trigger, principal repayment is reduced proportionally to the worst-performing index’s return, calculated as $1,000 plus $1,000 multiplied by the Least Performing Index Return.

This means investors risk losing more than 30% of principal if any index declines beyond its trigger, and potentially all principal if declines are severe. Even a single index’s 30%+ drop triggers significant principal erosion for all note holders, regardless of other indices’ performance.

Issuer’s Early Redemption Rights

Starting January 26, 2027—the sixth interest payment date—JPMorgan Chase Financial Company LLC may redeem the notes early in full, but not partially, on any subsequent interest payment date except the first five and the final maturity date. The issuer must notify The Depository Trust Company (DTC) at least three business days prior to redemption. Early redemption price equals $1,000 plus any contingent interest from the immediately preceding review date, incentivizing calls when index volatility subsides and contingent interest payments remain consistent.

This early call feature poses a risk to investors, as the issuer is likely to exercise it during favorable market conditions or if future contingent interest payments become unlikely. Between July 24, 2026, and June 23, 2031, there are 54 possible redemption dates. Investors should expect that holding beyond two years involves uncertainty due to the issuer’s call option, which benefits from stable or declining indices while investors benefit only from consistent strength across all three indices.

Credit Risk and Guarantee Structure

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, fully and unconditionally guaranteed by JPMorgan Chase & Co. Repayment depends on the creditworthiness of both entities. While JPMorgan Chase & Co. holds investment-grade ratings and significant market capitalization, these notes carry subordinated risk compared to senior bank deposits and secured debt.

Importantly, these notes are not bank deposits, are not insured by the FDIC or any government agency, and are not bank obligations. Investor protection relies solely on contractual obligations of JPMorgan Chase Financial and its parent, emphasizing the importance of credit risk evaluation before investing.

Pricing Details and Valuation Analysis

Priced at $1,000 per note, the issuance of 4,798 notes generated gross proceeds of $4.798 million. JPMorgan Securities LLC, acting as agent, charged $28.00 per $1,000 note in fees and commissions, totaling $134,344. Net proceeds to the issuer were approximately $4.664 million after commissions.

The estimated value at pricing was $945.90 per $1,000 note, reflecting a $54.10 discount to the offering price. This valuation gap accounts for product complexity, contingent payments, and downside risks. It factors in probabilities of interest payments, early redemption, and principal loss scenarios, considering volatility of the Nasdaq-100 Technology, Russell 2000, and S&P 500 indices. Investors pay a premium above estimated fair value as compensation for structuring, distribution, and hedging costs.

Multi-Barrier Risk and Index Performance Challenges

The requirement that all three indices simultaneously remain above 70% of their initial values imposes compounded risk of interest interruption. The 70% barriers correspond to a 30% decline threshold: 11,854.101 for Nasdaq-100 Technology, 2,091.1765 for Russell 2000, and 5,256.44 for S&P 500. A sharp drop in any single index can eliminate interest payments for all note holders.

Volatility and correlation differences among indices increase risk. Nasdaq-100 Technology, dominated by large-cap tech stocks, tends to be more volatile than the broad S&P 500, while the Russell 2000 small-cap index is sensitive to economic cycles and credit conditions. Market stress often impacts these indices unevenly, increasing the likelihood that at least one breaches its barrier during the five-year term, reducing the probability of full contingent interest receipt.

Distribution, Settlement, and Regulatory Filings

Pricing occurred on July 21, 2026, with settlement expected July 24, 2026. JPMorgan Securities LLC serves as primary distributor, compensating affiliated and unaffiliated dealers. The notes trade under CUSIP 46661C2X3 and settle through The Depository Trust Company (DTC). The offering was filed via Form 424(b)(2) under SEC registration numbers 333-293684 and 333-293684-01, utilizing a shelf registration to facilitate periodic structured product issuances.

These notes form part of JPMorgan Chase’s Structured Investments program, offering derivative-linked securities tailored to investors seeking customized equity, commodity, currency, or index return profiles. DTC book-entry settlement supports institutional and retail investor holdings and secondary market liquidity. Review and payment dates may be postponed due to market disruptions, preserving issuer rights during index calculation suspensions or market closures.

Risk Disclosures and Investor Suitability

The disclosure stresses that investors must accept the risk of losing a significant portion or all principal and the possibility of receiving no contingent interest during some or all review periods. This product suits investors with high risk tolerance and investment horizons aligned with potential zero interest payments over five years. It is unsuitable for those seeking steady income or capital preservation.

Investors trade fixed interest and dividends for contingent interest opportunities, creating a fundamentally different risk-return profile than traditional fixed-income or dividend-paying equity investments. Prospective buyers should possess financial sophistication to understand multi-barrier contingent payments, index correlations, and early redemption risks. Comprehensive risk factors are detailed on page S-2 of the prospectus supplement, page PS-12 of the product supplement, and page PS-7 of the pricing supplement, all of which investors must review before investing.