JPMorgan Chase Financial Unveils Uncapped Dual Directional Buffered Notes Linked to Dow, Nasdaq-100, and Russell 2000

Product Structure and Investment Goals

The notes are structured for investors seeking uncapped returns of at least 1.422 times the appreciation of the least performing of the three indices, combined with capped, unleveraged returns equal to the absolute value of depreciation up to a 20% buffer. This dual directional payoff allows investors to benefit from leveraged market gains while limiting downside losses. The notes offer exposure to broad market indices with loss mitigation via the buffer mechanism.

Investors must be willing to forgo interest and dividend payments and accept the risk of losing up to 80% of principal at maturity. These unsecured, unsubordinated obligations of JPMorgan Financial are fully guaranteed by JPMorgan Chase & Co., leveraging the credit strength of the parent company.

Underlying Indices and Performance Methodology

The notes track the Dow Jones Industrial Average (Bloomberg: INDU), Nasdaq-100 Index (Bloomberg: NDX), and Russell 2000 Index (Bloomberg: RTY). Payments are linked to each index’s individual performance, with returns based on the least performing index over the observation period, exposing investors to the weakest among these three market segments.

The Initial Value for each index will be the closing price on the Pricing Date (around July 28, 2026), and the Final Value will be the closing price on the Observation Date (July 30, 2029). The Index Return is calculated as the percentage change from initial to final value, covering a three-year period to capture long-term market movements with defined payoff boundaries.

Leverage and Upside Return Features

When the least performing index posts positive returns, the notes apply an upside leverage factor of at least 1.422, so a 1% gain in the weakest index translates to at least a 1.422% gain in the notes’ value. Hypothetical payouts show that an 80% gain in the least performing index would yield a 113.76% total return, equating to $2,137.60 per $1,000 principal note, while a 10% gain would produce a 14.22% return or $1,142.20 payment. This uncapped leverage amplifies positive market performance.

The leverage applies solely when the least performing index is positive, with no cap on potential gains. However, this upside comes with concentrated downside risk, as returns depend on the poorest performing index among the three.

Downside Buffer and Loss Protection Details

The 20% buffer cushions investors against moderate declines. If the least performing index falls by up to 20%, the notes pay back $1,000 plus the absolute value of the negative return—for example, a 10% decline results in a $1,100 payment, and a 20% decline results in $1,200. This structure converts small losses into gains, capping returns at 20% during modest declines.

However, losses begin once the index declines exceed 20%. A 30% drop results in a $900 payment, a 10% principal loss, while a 100% drop yields $200, representing an 80% loss. Investors must be prepared to accept losses up to 80% of principal at maturity, as significant market downturns can surpass the buffer’s protection.

Pricing, Valuation, and Distribution Information

Notes are sold in minimum denominations of $1,000 at a public price of $1,000 per note. If priced on the filing date, the estimated value would be approximately $960.90 per $1,000 note, with a guaranteed floor of $900.00 when final terms are set. This difference reflects costs such as issuer compensation, hedging, and distribution fees, representing the investor’s immediate economic cost.

J.P. Morgan Securities LLC will distribute the notes and pay selling commissions up to $29.50 per $1,000 note to affiliated or unaffiliated dealers. Pricing is expected on or about July 28, 2026, with settlement around July 31, 2026. The notes will trade under CUSIP 46661KSE9. These terms are preliminary and subject to finalization.

Maturity and Payment Schedule

The notes mature on August 2, 2029, after a three-year investment period starting from the expected settlement date. The observation date for index values is July 30, 2029, subject to postponement due to market disruptions, as outlined in the product supplement and general terms.

Investors receive a single payment at maturity and will not receive interest or dividends during the holding period. The notes are not bank deposits, are not FDIC insured, and are not bank obligations. JPMorgan Chase & Co.’s guarantee does not provide deposit insurance or protect against investment losses.

Credit Risk and Guarantor Information

Payments depend on the creditworthiness of JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor. While the guarantee adds protection compared to unguaranteed notes, investors remain exposed to issuer credit risk. JPMorgan Chase & Co., a major U.S. financial institution, backs the notes, but credit risk remains inherent.

The notes are unsecured and rank equally with other unsecured debt. They are not collateralized and bear risk of issuer credit deterioration over three years. The guarantee applies only if the guarantor’s credit profile remains sound, especially during financial stress.

Regulatory Status and Investor Risk Disclosures

The Securities and Exchange Commission and state regulators have neither approved nor disapproved the notes nor verified the disclosure accuracy. The pricing supplement is preliminary and subject to completion, with final terms provided before pricing. The offering is registered under SEC registration numbers 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2).

Investors should review detailed risk factors in the prospectus, product supplement, and pricing supplement. Risks include market fluctuations, structural leverage and buffer risks, issuer credit risk, and the three-year holding period during which market conditions may vary significantly.

Historical Index Data and Context

Historical closing levels for the Dow Jones Industrial Average, Nasdaq-100, and Russell 2000 are available in the pricing supplement’s "The Indices" section. These indices represent large-cap blue-chip stocks, technology and growth large caps, and small-cap equities, respectively. Linking notes to the least performing index creates unique exposure based on relative segment performance.

Hypothetical examples use an illustrative initial value of 100.00 for the least performing index for calculation convenience. Actual initial values will be the closing levels on July 28, 2026. Past index performance does not predict future results, and the three-year term may include significant market and economic changes affecting returns.

Comparison with Other Investment Strategies

This structured product offers leveraged gains with buffered loss protection, creating a distinct payoff profile versus direct index investments or options strategies. The 1.422x leverage amplifies positive returns, while the 20% buffer mitigates small losses. For instance, a 5% gain in the least performing index yields a 7.11% note return, while a 5% loss results in a 5% gain, capped at 20% for a 20% index decline. This appeals to moderately bullish investors seeking downside protection but concentrates risk on the weakest index.

The structure differs from direct index investing, which captures all indices’ performance, whereas these notes reflect only the weakest index. The embedded costs, reflected in the price-to-value gap, reduce effective leverage. Investors should weigh these costs against alternative approaches like direct index exposure combined with put options for downside protection.