JPMorgan Chase Financial Prices Structured Notes Linked to EURO STOXX 50, S&P 500, and Russell 2000 Indices

Multi-Index Linked Structured Note Design

The securities issued by JPMorgan Chase Financial link quarterly payments and maturity redemption to three major equity indices rather than a single benchmark. The EURO STOXX 50, S&P 500, and Russell 2000 indices serve as underlying references, with all payment calculations based on the worst-performing index among them. Even if two indices perform well, a decline in the third below the 70% downside threshold impacts both contingent quarterly payments and the final maturity amount.

Each security has a stated principal amount of $1,000 and an issue price of $1,000. Pricing was expected on or about July 24, 2026, with settlement three business days later. The maturity date is fixed at July 27, 2028, offering a two-year investment horizon. JPMorgan Chase & Co. fully and unconditionally guarantees all payments, covering credit risk but not the structural risks tied to index performance.

Contingent Quarterly Payments and Income Potential

Investors receive contingent quarterly payments only if all three indices maintain closing levels at or above 70% of their initial values during each quarterly monitoring period. When this condition is met, the issuer pays at least $26.50 per $1,000 principal, representing a minimum quarterly return of 2.65%. The final contingent quarterly payment rate will be specified in the final pricing supplement, indicating 2.65% is a minimum threshold.

The "any day, any index" trigger limits income: if any index closes below its threshold on any day within a quarter, no payment is made for that quarter. The filing warns that indices could remain below thresholds during most or all quarters, resulting in few or no payments over the two-year term. This feature means investors cannot rely on consistent quarterly income unless all indices stay above thresholds.

Maturity Payment and Principal Risk

At maturity on July 27, 2028, redemption depends on whether all three indices close at or above their 70% downside thresholds. If so, investors receive the full $1,000 principal plus any final contingent quarterly payment. If any index closes below its threshold, principal repayment is reduced proportionally to the worst-performing index's performance factor.

In such cases, payment will be less than 70% of principal and could be zero. Investors holding securities to maturity during a market decline risk losing a substantial portion or all of their initial $1,000 principal. This makes the securities principal-at-risk rather than traditional fixed-income products.

Issuer’s Early Redemption Rights

JPMorgan Chase Financial may redeem the securities early on any contingent payment date except the first and last. The issuer must notify The Depository Trust Company at least three business days prior. Early redemption payments equal the stated principal plus any contingent payment due that period. Early redemption is at the issuer’s discretion and not automatic based on index performance.

This feature introduces reinvestment risk, as investors may receive principal back before maturity and must reinvest in potentially different market conditions. The discretionary nature means investors cannot predict holding periods or cash flows despite the initial two-year term.

Fees, Pricing, and Cost Breakdown

Each note is priced at $1,000, but embedded fees reduce net proceeds. J.P. Morgan Securities LLC receives $15.00 selling commissions per note, paid to Morgan Stanley Wealth Management. Additionally, Morgan Stanley Wealth Management receives a $4.286 structuring fee per $1,000 principal from the agent or affiliates. Total fees of $19.286 reduce net proceeds to approximately $980.714 per note.

Investors pay the full $1,000 purchase price including fees. While calculations use the $1,000 principal, returns must consider the fee impact. Additional details on use of proceeds and hedging are available in accompanying documents, though specific hedging strategies are not disclosed in the preliminary supplement.

Index Downside Thresholds and Initial Values

Each index has a downside threshold at 70% of its initial value. The preliminary supplement dated July 22, 2026, leaves specific threshold values for the SX5E (EURO STOXX 50), SPX (S&P 500), and RTY (Russell 2000) indices blank, to be determined at pricing and disclosed in the final supplement. Thresholds equal the closing price at pricing multiplied by 0.70, setting barrier levels for monitoring.

The worst-performing index approach creates asymmetric risk: even if two indices rise, a decline of the third below 70% triggers loss of payments and reduces maturity proceeds. This exposes investors to volatility across different markets, currencies, and sectors.

Guarantee and Credit Risk

The securities are unsecured obligations of JPMorgan Chase Financial Company LLC, a wholly-owned subsidiary of JPMorgan Chase & Co., which fully and unconditionally guarantees payments. This guarantee covers credit risk of the issuer and guarantor but does not protect against index performance risks or principal loss at maturity.

Investors face dual credit risk: primary obligation with JPMorgan Chase Financial and guarantee from JPMorgan Chase & Co. Financial distress at either entity could jeopardize payments. The guarantee does not eliminate market and structural risks inherent in the securities.

Distribution and Agent Roles

J.P. Morgan Securities LLC acts as agent, distributing the securities and managing sales. The agent receives $15.00 per $1,000 principal in selling commissions, passed to Morgan Stanley Wealth Management, which also earns a $4.286 structuring fee. This partnership reflects multiple parties involved in distribution and structuring, with embedded costs included in the offering price.

The agent also manages early redemption notices and operational aspects throughout the securities’ life.

Investor Risk and Loss Scenarios

These principal-at-risk securities differ from principal-protected debt. An investor purchasing a $1,000 note and holding to maturity could receive substantially less if any index falls below 70% of its initial value. For example, a 35% decline in Russell 2000 while other indices remain above thresholds would result in approximately $650 repayment (65% of principal). A 40% decline would yield about $600, a 40% loss.

The filing warns that total loss of principal is possible if the worst-performing index falls 100%. Investors do not benefit from index appreciation beyond contingent payments, trading unlimited downside for capped upside, creating an asymmetric risk-return profile favoring the issuer in strong markets and penalizing investors during downturns.

Timeline and Settlement Details

The preliminary pricing supplement is dated July 22, 2026, with pricing expected on or about July 24, 2026. Settlement occurs three business days later, around July 29, 2026. The fixed maturity date is July 27, 2028, providing a two-year holding period if held to maturity. Maturity dates may be postponed due to market disruptions or accelerated under certain conditions, as detailed in accompanying documents.

Investors should review the final pricing supplement with confirmed initial index values and thresholds before investing, as terms may change from the preliminary document.