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JPMorgan Chase Financial Company LLC has priced $600,000 in principal amount of Auto Callable Contingent Interest Notes linked to the MerQube US Large-Cap Vol Advantage Index, with settlement anticipated on or around July 21, 2026. This structured product offers investors contingent annual interest payments of 14.50% if the index meets specified performance barriers, while exposing them to significant principal loss risk if the index falls below a 50% trigger level. The notes include automatic call provisions that allow early termination if the index reaches 85% of its initial value on designated review dates.
Key Points
- NYSE: VYLD
- JPMorgan Chase Financial Company LLC priced $600,000 in auto callable notes on July 16, 2026
- Notes pay 14.50% contingent interest per annum (3.625% quarterly) if MerQube US Large-Cap Vol Advantage Index closes above 70% of initial value on review dates
- Automatic call triggered if index reaches 85% of initial value on qualifying review dates, earliest call date July 16, 2027
- Maturity date set for July 21, 2031; principal at risk if final index level falls below 50% of initial value
Index Background and Mechanism
The MerQube US Large-Cap Vol Advantage Index, created by MerQube in collaboration with J.P. Morgan Securities LLC and launched on February 11, 2022, provides exposure to an unfunded rolling position in E-mini S&P 500 futures contracts targeting specific implied volatility levels. JPMorgan holds approximately 10% equity in MerQube, and a J.P. Morgan Securities employee serves on the index sponsor’s board. The index comprises stocks benchmarking U.S. equity markets, with the underlying futures linked to the broader S&P 500 Index.
The index uses a dynamic, rules-based approach to adjust futures exposure based on implied volatility targets, capped between 0% and 500%. A notable feature is a 6.0% per annum continuous daily deduction, disclosed in the pricing supplement, which creates a performance drag by offsetting futures appreciation and amplifying depreciation over the five-year term.
Contingent Interest Payments and Barriers
Investors receive contingent interest payments based on index performance against set barriers. The interest barrier is 70% of the initial index value, calculated as 2,989.224 from an initial level of 4,270.32 as of July 16, 2026. If the index closes at or above this level on any review date, investors earn $36.25 per $1,000 principal note, equating to a quarterly rate of 3.625% or 14.50% annualized.
If the index closes below 70% on a review date, no interest is paid for that period. Quarterly review dates start October 16, 2026, continuing through July 16, 2031. The filing cautions investors to accept the risk of foregoing fixed interest or dividends for the chance to earn these contingent payments, which are uncertain.
Automatic Call Feature and Early Redemption
The notes include an automatic call provision allowing early redemption if the index reaches 85% of its initial value on eligible review dates, excluding the first three and final review dates. The earliest possible call date is July 16, 2027. Upon triggering, investors receive $1,000 principal plus the applicable contingent interest payment, with settlement occurring on the first interest payment date after the call date.
This feature caps returns by terminating the notes early if the index performs strongly, limiting upside participation beyond the call event. No further payments occur after an automatic call.
Principal Risk and Downside Thresholds
Investors face principal risk if the index declines substantially. The 50% trigger value, calculated as 2,135.16 from the initial 4,270.32 level, determines principal protection at maturity. If the final index value is at or above this threshold and no automatic call occurred, investors receive their $1,000 principal plus any final contingent interest.
If the final index value falls below 50%, investors’ maturity payment reflects the index return applied to the principal, potentially resulting in losses exceeding 50% or total principal loss. The filing highlights that index declines from 100% to 70% yield no contingent interest, and further drops below 50% accelerate principal losses.
Pricing and Distribution Details
Priced on July 16, 2026, at $1,000 per note with minimum $1,000 denominations, the total offering was $600,000, with settlement expected by July 21, 2026. The CUSIP is 46661CUR5. The public price includes $7.50 fees and commissions per note, resulting in net proceeds of $992.50 per note or $595,500 total.
J.P. Morgan Securities LLC acts as agent, paying all $7.50 commissions per $1,000 principal note to dealers. The estimated note value at pricing was $930.40 per $1,000, reflecting embedded options and index-linked features.
Credit and Guarantee Structure
Issued by JPMorgan Chase Financial Company LLC, a wholly owned JPMorgan Chase & Co. subsidiary, payments are fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are unsecured, unsubordinated obligations subject to the credit risk of both issuer and guarantor.
These notes are not bank deposits, lack FDIC or other government insurance, and are not bank obligations. Investors rely on JPMorgan’s creditworthiness rather than deposit insurance, typical for structured notes.
Review Dates and Payment Schedule
Review dates occur quarterly starting October 16, 2026, through July 16, 2031, totaling 21 review dates. Interest payments follow approximately five business days after each review. The final interest payment coincides with maturity on July 21, 2031.
All dates may be postponed due to market disruption events per the underlying supplements, ensuring fair index level determination and payment settlement. The quarterly schedule offers frequent opportunities for automatic calls or contingent interest accrual.
Investment Risks and Considerations
The filing outlines significant risks, including the 6.0% annual daily deduction on the index, which reduces performance and affects the likelihood of meeting interest and call thresholds. Investors must accept potential loss of principal and the possibility of no contingent interest payments.
Given no interest accrues if the index falls below 70%, and principal losses accelerate below 50%, investors face substantial downside risk. The notes require forgoing fixed income and dividend payments in exchange for possible quarterly contingent interest.
Regulatory Disclosure and Legal Status
The pricing supplement is filed under Rule 424(b)(2) of the Securities Act of 1933, linked to registration numbers 333-293684 and 333-293684-01. The offering follows pricing supplement no. 3-I and underlying supplement no. 5-I, both dated April 17, 2026, alongside a prospectus and supplement dated the same day, ensuring comprehensive disclosures.
The filing states that neither the SEC nor any state securities commission has approved or disapproved the notes or verified the accuracy of the materials, warning that false claims to the contrary are criminal offenses. This reflects standard regulatory compliance for structured note offerings without explicit regulatory endorsement.
