JPMorgan Chase Introduces Auto-Callable Structured Notes Tied to MerQube Volatility Index Maturing July 2033

Product Design and Monthly Income Structure

The Auto Callable Contingent Interest Notes offer monthly income payments dependent on the index's performance. Investors will receive contingent interest on each interest payment date if the MerQube US Large-Cap Vol Advantage Index closes at or above the interest barrier of 2,878.827 (70% of the strike value 4,112.61) on the monthly review date. The contingent interest payment is at least $15.2083 per $1,000 principal, equating to 1.52083% monthly or 18.25% annually.

There are 84 potential monthly interest review dates over the notes’ seven-year life, beginning August 20, 2026. However, investors should be prepared for months without contingent interest payments if the index closes below the interest barrier. The offering stresses that investors must accept the possibility of foregoing fixed interest and dividends in exchange for the chance to receive contingent interest payments, with no guaranteed monthly income regardless of market conditions.

Automatic Redemption and Early Call Provisions

The notes feature an automatic call mechanism activated by strong index performance. If the index closes at or above the strike value of 4,112.61 on any quarterly Autocall Review Date, the notes will be redeemed early. Investors will receive $1,000 principal plus the contingent interest payment corresponding to that review date. The earliest possible call date is January 20, 2027, allowing for potential early redemption roughly six months post-settlement.

Call settlement occurs on the first interest payment date following a qualifying autocall review date. Upon automatic call, no further payments will be made. This structure limits upside potential if the index rallies significantly early, as investors receive principal plus limited interest but forgo additional gains.

Risk of Principal Loss at Maturity

The pricing supplement warns of substantial risks. If the notes are not called before maturity on July 25, 2033, and the index closes below 50% of the strike value (2,056.305), investors face significant principal losses. The supplement states investors could lose more than 50% or potentially all principal. The final payment equals $1,000 plus $1,000 multiplied by the Index Return, where Index Return is the change in index level divided by the strike value.

Investors must be willing to accept the risk of losing a large portion or all of their principal and the possibility of receiving no contingent interest payments on some or all review dates. Even moderate index declines near maturity could result in losses exceeding 50%, especially if the index falls below the 50% threshold in the final months.

Index Details and Annual Deduction Impact

The underlying index is the MerQube US Large-Cap Vol Advantage Index (Bloomberg: MQUSLVA). It features a continuous 6.0% annual daily deduction, which offsets any gains and amplifies losses on the futures contracts within the index. This structural drag significantly impacts performance over the seven-year term.

This deduction causes the index to underperform an identical index without such a charge, reducing the likelihood of the index remaining above the strike value at maturity. Investors should consider this persistent cost as a key factor in the investment’s risk-return profile.

Strike Value and Pricing Details

The strike value is set at 4,112.61, based on the index closing on July 20, 2026, which precedes the expected pricing date of July 24, 2026. This timing gap may cause pricing variations depending on index movements between these dates.

The preliminary pricing supplement estimates the notes’ value at approximately $930 per $1,000 principal if priced on the disclosure date, with a guaranteed minimum value of $900 per $1,000 principal at final pricing. This implies an issuance discount of roughly 7% to 10%, reflecting issuer costs, hedging, and profit margins. Investors effectively start with a negative return that must be offset by contingent interest payments.

Issuer Guarantee and Credit Risk

JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co., issues the notes, which are fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are unsecured and unsubordinated obligations backed by one of the world’s largest financial institutions.

However, payments depend on the creditworthiness of both the issuer and guarantor. The notes are not bank deposits, lack FDIC or any governmental insurance, and are not obligations of a bank, leaving investors without governmental protection.

Distribution, Fees, and Minimum Investment

J.P. Morgan Securities LLC will distribute the notes and pay selling commissions up to $8.50 per $1,000 principal note to affiliated or unaffiliated dealers. These commissions are included in the price to public, so investors will not see separate fees deducted. Final pricing supplements will disclose exact fees and proceeds.

The minimum investment is $1,000 and available in multiples thereof, making the notes accessible to retail investors but requiring meaningful capital. The total offering size remains undisclosed at this stage.

Interest and Autocall Review Schedule

Interest review dates begin August 20, 2026, and continue approximately monthly through October 2029. Each triggers a contingent interest payment assessment. Autocall review dates occur quarterly, with the first on January 20, 2027. If the index meets the strike value on an autocall date, notes are redeemed on the next interest payment date. The fixed maturity date is July 25, 2033.

Investors should monitor these dates closely to track contingent interest eligibility and potential early redemption triggers.

Risk Factors and Investor Suitability

The preliminary supplement highlights numerous risks detailed in accompanying prospectus and product supplements. Investors must accept the possibility of losing substantial principal and the chance that some or all contingent interest payments may not be made. The notes suit investors with specific risk tolerance and return goals.

The 6.0% annual index deduction creates a significant performance headwind, lowering the odds of favorable outcomes. The automatic call feature caps upside and may force reinvestment in uncertain market conditions. Careful evaluation is essential to determine if the potential monthly income compensates for these compounded risks.

Settlement Timeline and Market Conditions

Pricing is expected around July 24, 2026, with settlement approximately five business days later on July 29, 2026, assuming normal market conditions. Market disruptions may delay determination and payment dates as outlined in supplemental documents.

As a preliminary document, final terms including contingent interest rates, estimated note values, price to public, fees, and issuer proceeds will be provided in the final pricing supplement. Investors should not rely solely on the preliminary estimated value of $930 per note, as pricing may vary due to market factors between preliminary and final dates.