JPMorgan Chase Financial Unveils Auto Callable Notes Offering 8.50% Contingent Interest Linked to Tech Volatility Index

Investment Structure and Contingent Interest Details

The Auto Callable Contingent Interest Notes are structured to offer enhanced income via monthly contingent interest payments instead of fixed coupons. Investors receive contingent interest payments of at least $7.0833 per $1,000 principal, or 0.70833% monthly (equating to 8.50% annualized), contingent on the MerQube US Tech+ Vol Advantage Index closing at or above 50.50% of its initial level on each monthly interest review date. This design provides monthly income opportunities that depend on specific market conditions.

Importantly, the notes feature an accumulation mechanism for missed contingent interest payments. If the index closes below the interest barrier on any review date, no payment is made for that month. However, if the index later recovers to or above the barrier, investors receive both the current and any previously unpaid contingent interest payments, allowing catch-up on missed income. Should the index fail to breach the barrier again before maturity, unpaid contingent interest is forfeited.

Automatic Call Provision and Early Redemption Terms

The notes include an automatic call feature enabling JPMorgan Chase Financial Company LLC to redeem the notes early if the index closes at or above its initial value on any quarterly autocall review date. The earliest possible call date is July 26, 2027, ensuring investors hold the notes for at least one year before early redemption may occur. Upon automatic call, investors receive $1,000 principal per note plus contingent interest for the applicable interest review date and any unpaid contingent interest.

This automatic call creates an asymmetric payoff favoring the issuer: while investors benefit from contingent interest if the index remains above the barrier, they risk early redemption if the index rises significantly, thereby forfeiting further upside participation beyond the call date. This structure is common in structured products aiming to provide income while limiting issuer exposure to unlimited upside.

Maturity Scenarios and Principal Buffer Protection

The notes mature on July 29, 2031, unless called earlier. At maturity, if the index’s final value is at or above 85% of its initial level, investors receive full principal ($1,000 per note) plus the final contingent interest and any unpaid prior contingent interest, representing the best-case scenario.

If the index closes below the 85% buffer threshold at maturity, investors face principal loss calculated as $1,000 plus $1,000 multiplied by the index return minus the 15% buffer. This means losses occur dollar-for-dollar beyond the 15% buffer, with the disclosure warning investors may lose up to 85% of principal if the index declines drastically by maturity.

Index Composition and Embedded Cost Factors

The notes are linked to the MerQube US Tech+ Vol Advantage Index (Bloomberg ticker MQUSTVA), which offers exposure to technology stocks with volatility management. The index includes the Invesco QQQ Trust Series 1 (QQQ Fund), tracking the Nasdaq-100 Index. Its methodology balances growth exposure with volatility control, targeting investors seeking tech sector participation with moderated volatility.

The index incorporates a daily deduction of 6.0% per annum accruing continuously over the notes’ term, alongside a notional financing cost on the QQQ Fund component. These embedded costs reduce index performance, creating a performance drag that offsets appreciation and amplifies depreciation, making it more challenging for investors to realize positive returns over the five-year maturity.

Credit Risk and Issuer Guarantee

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co. JPMorgan Chase & Co. fully and unconditionally guarantees all payment obligations on the notes. While this guarantee enhances credit support, the notes are not bank deposits, are not FDIC insured, and do not constitute traditional bank obligations.

Investor repayment depends on the creditworthiness of both JPMorgan Chase Financial and JPMorgan Chase & Co. Investors assume counterparty risk, meaning that financial distress at either entity could impair payment of principal and interest regardless of index performance.

Pricing, Valuation, and Distribution Details

The notes are expected to price on or about July 24, 2026, with settlement around July 29, 2026. The public offering price is $1,000 per $1,000 principal amount. However, the preliminary estimated value at pricing is approximately $915.40 per $1,000 principal, reflecting embedded costs, financing charges, and the issuer’s automatic call option. The final valuation will be disclosed in the pricing supplement and will not be less than $900 per $1,000 principal.

J.P. Morgan Securities LLC acts as agent for JPMorgan Chase Financial in distributing the notes. Selling commissions are capped at $39.00 per $1,000 principal and may be paid to affiliated or unaffiliated dealers. The minimum investment is $1,000 and integral multiples thereof. The notes carry CUSIP number 46661KS82 for secondary market identification.

Risk Considerations and Investor Suitability

Investors must be prepared to accept significant risks, including potential loss of up to 85% of principal if the index declines sharply before maturity. Contingent interest payments are not guaranteed and may be missed if the index closes below the interest barrier on review dates. The notes do not pay fixed interest or dividends, requiring investors to accept market-dependent income.

This product suits investors seeking enhanced monthly income who are willing to accept substantial downside risk and capital loss potential. The automatic call feature introduces timing uncertainty, possibly ending the investment at inopportune moments. Additionally, embedded daily deductions impose a considerable performance drag, requiring strong index appreciation to achieve positive returns. Investors should fully understand that these structured notes transfer significant risks from issuer to investor, with returns contingent on specific market conditions throughout the five-year term.

Market Context and Strategic Positioning

This JPMorgan Chase Financial offering addresses investor demand for structured products that enhance income amid low interest rates and market uncertainty. The technology-focused index with volatility management appeals to investors seeking growth exposure combined with income features. The contingent interest structure offers yields well above traditional fixed-income instruments but requires acceptance of market-dependent returns.

The structured product market continues to expand as investors seek tailored risk-return profiles unavailable through conventional securities. By combining technology index participation with monthly income opportunities, JPMorgan Chase Financial targets multiple investor objectives. While the 15% principal buffer and automatic call feature provide some downside mitigation and marketing appeal, the buffer offers limited protection during severe downturns, and the 6% annual index deduction significantly reduces the likelihood of returns comparable to direct index investment.

Regulatory Status and Disclosure Information

The preliminary pricing supplement states the notes are offered under Registration Statement Nos. 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2) of the Securities Act of 1933. This registration ensures disclosure and investor protection under federal securities laws. The supplement notes that information is preliminary and subject to completion, with pricing expected shortly after the supplement date. The SEC has neither approved nor disapproved the notes nor verified the accuracy of disclosure documents, consistent with standard practice for structured products.

The notes are supported by a comprehensive disclosure package including a prospectus, prospectus supplement, product supplement number 3-I, and underlying supplement number 5-I, all dated April 17, 2026. These documents provide detailed information on terms, risks, and features. Investors are urged to review all risk factors detailed within these materials before investing, reflecting the complexity and regulatory requirements of structured product offerings.