JPMorgan Chase Financial Unveils Auto-Callable Notes Tied to MerQube Volatility Index Offering 12% Conditional Interest

Contingent Interest Payment Structure and Threshold Mechanics

The notes are designed to deliver contingent interest payments to investors provided the index performance remains above a defined threshold. For each $1,000 principal note, investors receive at least $10.00 monthly (equivalent to 12% annually) on interest payment dates if the MerQube US Large-Cap Vol Advantage Index closes at or above 70% of its Initial Value on the corresponding review date. This interest barrier offers meaningful protection, allowing payments even if the index declines moderately from its initial level.

Unpaid contingent interest accumulates if the index falls below the interest barrier on payment dates. Investors will receive any previously unpaid interest on future dates when the index recovers to or above the 70% barrier. However, if the index fails to rebound above this level on all remaining review dates, accumulated unpaid interest is forfeited. This cascading payment structure exposes investors to downside risk during prolonged index weakness.

Automatic Call Feature and Early Redemption Conditions

The notes include an automatic call mechanism allowing early redemption before the five-year maturity if performance conditions are met. If the index closes at or above its Initial Value (100% of the pricing date level) on any review date between July 23, 2027, and the penultimate review date, JPMorgan Chase Financial will redeem the notes on the next interest payment date. Upon automatic call, investors receive $1,000 principal plus applicable contingent interest and any unpaid interest. The earliest automatic call date is July 23, 2027, ensuring a minimum one-year holding period before early redemption.

This call feature limits investor upside if the index rises sharply above its initial level, as the issuer redeems notes before further appreciation can generate additional returns beyond fixed contingent interest. The call applies to all review dates except the first through eleventh and the final maturity review date, restricting benefits from index gains beyond the initial value in most cases.

Index Details and Impact of 6% Annual Deduction

The underlying index, MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA), is subject to a continuous 6.0% per annum daily deduction throughout the notes' life. This deduction acts as a structural drag, offsetting gains from underlying futures contracts and magnifying declines, thereby reducing the likelihood of meeting contingent interest payment triggers. The deduction is incorporated directly into index closing levels used for assessing interest barriers and call thresholds.

This 6.0% annual drag significantly affects investor returns. An identical index without this deduction would outperform the MerQube index by approximately 6% annually, all else equal. To maintain its level before deduction, the index must generate roughly 6% net positive performance annually. Investors should weigh the offered 12% contingent interest rate against this structural headwind.

Principal Risk and Potential Loss at Maturity

If the notes are not called early and the index's Final Value falls below 60% of the Initial Value (Trigger Value) at maturity, investors face substantial principal losses. The maturity payment equals $1,000 plus $1,000 multiplied by the Index Return, defined as (Final Value minus Initial Value) divided by Initial Value. For example, a 50% index decline results in a $500 payment per $1,000 principal, a 50% capital loss. Disclosures warn that if the Final Value is below the Trigger Value, investors could lose more than 40% or potentially all principal.

This significant downside risk is inherent in exchange for contingent interest opportunities. There is no principal protection floor; notes carry full credit and market risk. Investors unwilling to risk substantial or total principal loss should avoid these notes. The payoff is asymmetric, offering modest contingent interest if the index remains stable but exposing investors to major losses if the index drops sharply or fails to recover.

Pricing and Settlement Schedule

Pricing is expected around July 23, 2026, with settlement near July 28, 2026. The pricing date sets the Initial Value of the MerQube index, serving as the reference for index comparisons, call triggers, and maturity calculations. The preliminary pricing supplement specifies minimum denominations of $1,000 and multiples thereof, with CUSIP 46661KV70 for trading and clearing.

If priced on the announcement date, the estimated note value is approximately $898.50 per $1,000 principal. The final pricing supplement will provide the exact value, guaranteed not to fall below $880 per $1,000 principal. The difference between the $1,000 public price and estimated intrinsic value reflects the embedded call option and uncertainty over future contingent interest payments.

Issuer Credit Support and Guarantees

Issued by JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co., the notes carry a full and unconditional guarantee from JPMorgan Chase & Co. This dual credit support provides recourse to both issuer and guarantor creditworthiness. Nonetheless, payments depend on the financial health of both entities; financial difficulties could delay payments or reduce recoveries.

The notes are unsecured, unsubordinated obligations ranking equally with other unsecured debt. They are not bank deposits and lack FDIC or government insurance. Investors should conduct credit analysis of JPMorgan Chase & Co. before investing. The guarantee does not protect principal from market risk tied to index performance.

Distribution and Commission Details

J.P. Morgan Securities LLC acts as agent for JPMorgan Financial, receiving selling commissions from the issuer. Commissions payable to affiliated and unaffiliated dealers will not exceed $42.75 per $1,000 principal note. These costs are embedded in the $1,000 public price. The final pricing supplement will disclose exact commission amounts and issuer proceeds.

Affiliated and unaffiliated dealer involvement may present conflicts of interest. JPMorgan entities have incentives to distribute these notes, and affiliated dealers may benefit from secondary market trading. Investors should inquire about dealer commissions and broker compensation from JPMorgan entities.

Review Dates and Interest Payment Timeline

Monthly review and interest payment dates span the five-year term from July 28, 2026, to July 28, 2031. Reviews begin August 24, 2026, continuing monthly through 2027 and 2028, with specific dates including September 23, October 23, November 23, and December 23, 2026. Each review determines if the index closing level meets the 70% threshold for contingent interest payments. The preliminary supplement lists review dates through March 2028, with the full schedule extending to final maturity.

This frequent schedule offers multiple opportunities for the index to fall below the interest barrier, causing missed payments. With roughly 60 review dates over five years, cumulative missed payments could be significant if the index weakens repeatedly. Investors should model index scenarios to gauge potential contingent interest received.

Regulatory Filing and Investor Suitability

The preliminary pricing supplement is filed under Registration Statement Nos. 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2). These notes suit investors seeking contingent interest and willing to accept principal loss risk. Disclosures emphasize the possibility of losing significant or all principal and the chance of no contingent interest payments on some or all review dates. Investors must be prepared to forgo fixed interest and dividends for contingent payments.

These complex structured notes are unsuitable for conservative or low-risk investors. Understanding the 6% annual index deduction, 70% interest barrier, and automatic call feature is essential before investing. Designed for sophisticated investors with specific views on index volatility and performance, these notes should form only a limited part of a diversified portfolio. Investors uncertain about any aspect should consult a qualified financial advisor before purchase.