JPMorgan Chase Launches $112 Million Auto-Callable Notes Linked to MerQube US Tech+ Vol Advantage Index

Offering Structure and Pricing Details

On July 16, 2026, JPMorgan Chase Financial Company LLC priced the auto-callable contingent interest notes, expecting settlement around July 21, 2026. The offering totals $112 million in principal, with minimum denominations of $1,000 and integral multiples. Public pricing was set at $1,000 per note, with fees and commissions of $31.50 per $1,000 principal amount, resulting in net proceeds of $968.50 per note or approximately $108.47 million in total proceeds. The notes carry the CUSIP number 46661CMZ6.

The notes’ estimated value at finalization was $926.20 per $1,000 principal amount, reflecting JPMorgan’s theoretical valuation based on pricing models and market conditions. The difference between estimated value and offering price accounts for embedded costs, risks, and issuer profit margins.

Contingent Interest Payment Mechanics

Contingent interest payments occur monthly from August 17, 2026, through maturity on June 22, 2029. If the MerQube US Tech+ Vol Advantage Index closes at or above 85% of its initial level on any review date, investors receive $7.7083 per $1,000 principal amount, equating to a 9.25% annual contingent interest rate paid monthly at 0.77083%.

Unpaid interest payments accumulate and may be recovered on later review dates if the index rebounds above the 85% threshold. However, if the index remains below this barrier on all subsequent review dates, previously unpaid contingent interest payments are forfeited. This structure offers both the potential to recoup missed payments and the risk of permanent interest loss if the index does not recover.

Automatic Call Feature and Early Redemption

The notes include an automatic call provision enabling JPMorgan Chase Financial Company LLC to redeem the securities early if the MerQube US Tech+ Vol Advantage Index closes at or above 95% of its initial value on any review date, excluding the first five and the final maturity date. The earliest automatic call date is January 19, 2027. Upon automatic call, investors receive $1,000 principal plus the contingent interest payment for that review date and any unpaid prior contingent interest payments, with no further payments thereafter.

This feature benefits the issuer by allowing early redemption if the index appreciates significantly, but limits investors’ upside potential since the notes terminate once the 95% call threshold is reached, capping maximum returns regardless of further index gains.

Principal Risk and Payment at Maturity

At maturity on June 22, 2029, if the notes are not called early and the index closes at or above 85% of its initial value, investors receive $1,000 principal plus any final and accrued unpaid contingent interest payments. If the index closes below the 85% buffer threshold, investors face principal loss.

In such cases, the maturity payment is calculated as $1,000 plus [$1,000 × (Index Return + 15.00%)], where Index Return = (Final Value – Initial Value) / Initial Value. This means investors can lose up to 85% of principal if the index declines by more than 85% from its initial level of 13,829.61. The filing explicitly states investors "should be willing to accept the risk of losing up to 85.00% of their principal" and to "forgo fixed interest and dividend payments in exchange for the opportunity to receive Contingent Interest Payments."

Index Composition and Performance Drag

The notes are linked to the MerQube US Tech+ Vol Advantage Index, which focuses on technology sector performance with volatility-adjusted returns. The index incorporates a continuous 6.0% per annum daily deduction and a notional financing cost related to the Invesco QQQ Trust Series 1 component, both accruing daily. These deductions create a structural drag on index performance compared to a similar index without such costs.

The filing warns that "the Index will trail the performance of an identical index without such deductions," and that these costs "will offset any appreciation, heighten depreciation, and generally drag on performance." Consequently, even if underlying tech stocks appreciate, the index level may lag, reducing the likelihood of reaching the Interest Barrier or Call Value thresholds and increasing the risk of missed contingent interest payments.

Guarantee by JPMorgan Chase & Co.

Issued by JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co., the notes are fully and unconditionally guaranteed by JPMorgan Chase & Co. This guarantee provides investors recourse to the parent company in case of default by the issuer. However, payments remain subject to the credit risk of both JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor.

The notes are unsecured and unsubordinated obligations, ranking equally with other unsecured debt of JPMorgan Financial. The filing clarifies that the notes are not bank deposits, are not FDIC insured, and are not obligations or guaranteed by any bank, emphasizing the absence of government insurance.

Review and Payment Schedule

The notes feature 37 review dates and corresponding interest payment dates from August 2026 through June 2029. Review dates occur approximately monthly, with interest payments typically made three to five business days later. The final payment coincides with maturity on June 22, 2029. All dates may be postponed due to market disruption events as defined in the agreements.

This schedule offers investors frequent opportunities for contingent interest payments if index performance permits and regular redemption windows if automatic call conditions are met. Investors should monitor index levels on review dates to track contingent interest triggers and assess payment prospects.

Risk Disclosures and Investor Suitability

The pricing supplement explicitly warns investors about key risks, including the potential loss of up to 85% of principal and the possibility that some or all contingent interest payments may not be made. Investors must be willing to forgo fixed interest and dividend payments in exchange for contingent interest opportunities.

Additional risks include the 6.0% per annum daily deduction and notional financing cost embedded in the index, which drag on performance. The automatic call limits upside, contingent interest payments depend on index levels, and significant principal loss is possible. These factors indicate suitability for investors with high risk tolerance and sophisticated understanding of leveraged, contingent payoff structures. Detailed risk factors are provided in the prospectus supplement, product supplement, underlying supplement, and pricing supplement, all recommended for careful review before investing.

Distribution and Regulatory Status

J.P. Morgan Securities LLC acts as agent for JPMorgan Financial in distributing the notes, paying selling commissions of $31.50 per $1,000 principal amount to affiliated or unaffiliated dealers. The distribution arrangement and related conflicts of interest are disclosed in the Plan of Distribution section of the product supplement.

The pricing supplement is filed as a Rule 424(b)(2) prospectus supplement under Securities Act registration numbers 333-293684 and 333-293684-01, dated April 17, 2026. It includes the prospectus, prospectus supplement, product supplement number 3-I, and underlying supplement number 5-I, all dated April 17, 2026. The SEC has neither approved nor disapproved the notes, and no inference should be made regarding SEC approval or disclosure adequacy. As a new issuance, investors should perform independent due diligence and consult financial and legal advisors before purchasing.