JPMorgan Chase Financial Unveils Auto-Callable Notes Tied to MerQube US Large-Cap Volatility Index with Monthly Contingent Interest

Investment Structure and Contingent Interest Payment Details

These notes, issued by JPMorgan Chase Financial Company LLC—a wholly owned subsidiary of JPMorgan Chase & Co.—have a $1,000 minimum denomination and mature on August 12, 2032. The product integrates an automatic call feature with conditional monthly interest payments linked to the MerQube US Large-Cap Vol Advantage Index’s performance. Investors receive contingent interest payments only if the index meets designated performance thresholds on monthly review dates during the notes’ term.

The contingent interest mechanism ensures a monthly payment of at least $15.00 per $1,000 principal if the index closes at or above 70.00% of its initial value (the Interest Barrier) on any Interest Review Date. This equates to an annualized contingent interest rate of at least 18.00%, paid monthly at a minimum 1.50%. If the index closes below this barrier on a review date, no contingent interest payment is made for that period. Interest Review Dates begin September 8, 2026, and continue monthly through maturity, offering up to 72 potential interest payment opportunities.

Automatic Call Feature and Early Redemption Conditions

The notes include an automatic call provision allowing early redemption if the index performs well. On any quarterly Autocall Review Date, if the MerQube US Large-Cap Vol Advantage Index closes at or above its Initial Value (the level on pricing date), the notes will be automatically redeemed for cash. The earliest autocall date is February 8, 2027, about six months post-settlement. Upon automatic call, investors receive $1,000 per note plus the contingent interest payment for that quarter’s Interest Review Date, ending further payments.

This early redemption limits upside potential while maintaining downside exposure, creating an asymmetrical risk-return profile distinct from direct index ownership or unleveraged equities.

Maturity Payment Terms and Principal Risk

At maturity on August 12, 2032, payments depend on whether the notes have been called and the index’s Final Value relative to a 50.00% Trigger Value of the Initial Value. If outstanding at maturity and the Final Value is at least 50% of the Initial Value, investors receive $1,000 principal plus any final contingent interest payment. If the Final Value is below 50%, investors face partial or total principal loss.

When below the Trigger Value, maturity payment equals $1,000 plus ($1,000 multiplied by the Index Return), where Index Return = (Final Value – Initial Value) / Initial Value. The filing clarifies that if the Final Value is below the Trigger Value, investors could lose over 50% or all of their principal. Thus, investors bear full downside risk below the 50% threshold, while upside is capped at the Initial Value due to the autocall.

Index Characteristics and Impact of Daily Deduction

The underlying index is the MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker MQUSLVA). A key feature is a 6.0% per annum daily deduction applied continuously over the notes’ life. This deduction lowers the index level used for payments, interest reviews, and autocall triggers, offsetting any futures contract appreciation and magnifying depreciation.

This deduction significantly reduces effective index performance. An identical index without this deduction would show higher returns, meaning investors face more conservative thresholds for interest payments and autocall events. The filing describes the deduction as a performance drag that compounds over the six-year term, diminishing potential returns.

Credit and Guarantee Structure

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, issued under JPMorgan’s structured investments program. Payments are fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent company. Investors’ payments depend on the creditworthiness of both issuer and guarantor.

Despite the guarantee, these notes are not bank deposits and lack FDIC or governmental insurance. Investors are creditors of JPMorgan Financial and JPMorgan Chase & Co., with returns reliant on their ongoing credit strength throughout the six-year term.

Pricing, Distribution, and Estimated Market Value

Pricing is expected on or about August 7, 2026, with settlement near August 12, 2026. Minimum denomination is $1,000, with increments thereafter. The public offering price is $1,000 per note, with selling commissions paid by J.P. Morgan Securities LLC (JPMS) capped at $9.00 per $1,000 principal. JPMS will distribute commissions to affiliated and unaffiliated dealers, facilitating broad distribution.

The filing states that if priced on the preliminary pricing supplement date, the notes’ estimated value would be approximately $927.20 per $1,000 principal—about a 7.28% discount to the offering price. This reflects embedded features such as autocall, conditional interest, and downside risk. The final estimated value will not be less than $900.00 per $1,000 principal. The price difference covers underwriting, dealer compensation, and issuer hedging costs.

Investment Risks and Profile

Investors must accept significant risk for the contingent interest potential, including possible loss of a large portion or all principal. No contingent interest may be paid if the index closes below the Interest Barrier on review dates. Investors waive fixed interest and dividends, opting instead for conditional monthly contingent interest tied to index performance.

Principal protection applies only if the index remains above 50%. Between 70% and 100% of the Initial Value, contingent interest is paid but no principal recovery benefit exists. Below 70%, no interest is paid. Below 50%, principal is impaired by index decline. The autocall feature limits upside by redeeming notes early if the index reaches or exceeds the Initial Value. These features create a risk-return profile distinct from direct index investments or traditional fixed income, suited for investors with specific risk tolerance and income goals.

Regulatory Filings and Investor Guidance

The offering is registered with the U.S. Securities and Exchange Commission under Regulation 424(b)(2), with pricing supplement dated July 22, 2026. Notes are issued under product supplement no. 3-I and underlying supplement no. 5-I dated April 17, 2026, alongside a prospectus and prospectus supplement. The SEC disclaimer notes no approval or disapproval of the notes by the SEC or any state securities commission, with false claims being criminal offenses.

Investors should thoroughly review risk disclosures in the prospectus supplements and product documentation before investing. The filing highlights risks related to the 6.0% annual daily deduction. These structured notes are generally suitable for sophisticated investors familiar with index-linked products, conditional payments, and autocall features, requiring detailed understanding of all embedded terms over the six-year maturity.

Interest Review and Payment Schedule

Interest Review Dates occur monthly from September 8, 2026, through maturity, providing multiple contingent interest payment opportunities. These dates start one month after settlement and continue on or about the same day monthly. The filing details exact dates, including adjustments for weekends and holidays, extending through November 2031 with indications of further dates through maturity.

Each Interest Review Date aligns with an Interest Payment Date for contingent interest if the index meets the barrier. Quarterly Autocall Review Dates, a subset of these, determine early redemption triggers. The maturity date on August 12, 2032, is the final review and payment opportunity if notes remain outstanding. This schedule requires ongoing investor attention throughout the roughly six-year term.