JPMorgan Chase Launches $500,000 Auto-Callable Notes Tied to MerQube US Large-Cap Volatility Index

Structured Notes Pricing and Terms

On July 16, 2026, JPMorgan Chase Financial Company LLC priced the auto-callable contingent interest notes at $1,000 per note, with fees and commissions of $7.50 per note, resulting in net proceeds to the issuer of $992.50 per note. The estimated value of the notes at pricing was $927.60 per $1,000 principal amount, indicating a spread between price and estimated value. Notes are issued in minimum denominations of $1,000 and multiples thereof, with settlement expected on or about July 21, 2026. JPMorgan Chase & Co. fully and unconditionally guarantees the notes, though investors bear credit risk related to both the issuer and guarantor. The notes are unsecured and unsubordinated obligations, ranking equally with other unsecured debt of the issuer.

The total offering principal amount is $500,000, with fees and commissions totaling $3,750 and net proceeds to the issuer of $496,250. J.P. Morgan Securities LLC acts as agent for distributing selling commissions to affiliated or unaffiliated dealers. The notes carry CUSIP number 46661CUP9 for identification and trading. As structured products, these notes are not bank deposits, are not insured by the FDIC or any government agency, and are not bank obligations, differentiating them from traditional savings or deposit accounts.

Contingent Interest Payment Terms and Conditions

Contingent interest payments are made only if the MerQube US Large-Cap Vol Advantage Index closes at or above the Interest Barrier of 70% of its initial value (2,989.224) on designated review dates. If this condition is met, investors receive $83.75 per $1,000 principal amount, equating to a 16.75% annual contingent interest rate, paid semiannually at 8.375%. If the index closes below the barrier on any review date, no contingent interest is paid for that period, introducing asymmetric risk for investors.

Scheduled review dates are January 19, 2027; July 16, 2027; January 18, 2028; July 17, 2028; January 16, 2029; July 16, 2029; January 16, 2030; July 16, 2030; January 16, 2031; and the final review date on July 16, 2031. Interest payments occur approximately three business days after each review date. All dates may be postponed due to market disruption events as outlined in the underlying and product supplements. This structure may result in extended periods without contingent interest payments if the index remains below the 70% barrier, while investors forgo fixed interest and dividends available in traditional investments.

Automatic Call Feature and Early Redemption Risks

The notes include an automatic call feature that activates if the index closes at or above 90% of its initial value on any review date between July 16, 2027, and January 16, 2031, excluding the first and final review dates. Upon triggering, the notes are redeemed at $1,000 plus the applicable contingent interest payment, with settlement on the first interest payment date following the triggering review date. No further payments occur after an automatic call.

This feature introduces reinvestment risk, as early redemption might occur during declining interest rate environments, forcing investors to reinvest at potentially lower yields. Investors must accept the risk of significant principal loss and the possibility of no contingent interest payments on some or all review dates. The automatic call also caps upside potential, limiting returns to principal plus a single contingent interest payment regardless of further index appreciation beyond the 90% call threshold.

Maturity Payment Scenarios and Principal Risk

At maturity on July 21, 2031, payments depend on whether notes were called and the index’s Final Value relative to the Trigger Value of 50% of the initial value (2,135.16). If not called and the Final Value is at or above the Trigger Value, investors receive full principal plus any contingent interest applicable to the final review date. If the Final Value is below the Trigger Value, the maturity payment equals $1,000 plus ($1,000 multiplied by the Index Return), where Index Return = (Final Value - Initial Value) / Initial Value.

The filing warns that if the Final Value falls below the Trigger Value, investors may lose over 50% of principal, potentially all of it. For example, a 60% index decline results in a $400 payment per note—a 60% principal loss. A 100% decline results in total loss of principal. The Initial Value was 4,270.32 at pricing. This significant downside risk differentiates these notes from traditional fixed-income securities and requires investor risk tolerance for equity market exposure.

MerQube Index Composition and Leverage Strategy

The MerQube US Large-Cap Vol Advantage Index, underlying the notes, was developed by MerQube with J.P. Morgan Securities LLC and is maintained by MerQube. Established February 11, 2022, the index’s sponsor has approximately 10% equity ownership by a JPMorgan affiliate, and a J.P. Morgan Securities LLC employee serves on the sponsor’s board, presenting potential conflicts of interest.

The index provides dynamic, rules-based exposure to an unfunded rolling position in E-mini S&P 500 futures contracts referencing the S&P 500 Index. It targets a 35% implied volatility level with exposure capped between 0% and 500%, employing significant leverage to amplify returns and volatility. Weekly rebalancing adjusts exposure inversely to the one-week implied volatility of the SPDR S&P 500 ETF Trust (ticker: SPY), increasing exposure when volatility falls and decreasing it when volatility rises, creating an algorithmic management approach distinct from passive indexing.

Daily Deduction and Its Impact on Index Performance

The index applies a daily 6.0% per annum deduction, accruing daily and substantially affecting long-term note performance. This deduction offsets futures contract appreciation and amplifies depreciation, acting as a performance drag. Even if the underlying futures perform flat, the index will decline roughly 6% annually due to this deduction, assuming daily compounding.

Although not explicitly explained, this deduction likely covers costs of rolling futures and volatility targeting. Over the five-year note term to maturity in 2031, this cumulative deduction requires significant futures appreciation to preserve capital. The Interest Barrier (70%) and Trigger Value (50%) are measured against an index already reduced by five years of deductions, meaning the underlying futures must outperform historical averages substantially to prevent principal loss.

Risk Disclosures and Investor Suitability

The filing prominently warns investors about the risk of losing a significant portion or all principal and the possibility of receiving no contingent interest payments on some or all review dates. Investors must also accept foregoing fixed interest and dividends in exchange for contingent interest opportunities. These disclosures highlight the complex and asymmetric risk profile of the notes.

Designed for investors seeking contingent interest with upside linked to index performance, the notes feature complexity including capped upside via automatic call, intermittent interest payments due to the barrier, continuous erosion from daily deductions, and leveraged volatility exposure. They are unsuitable for conservative investors seeking principal preservation or steady income, and for those unable to understand futures-based indices, volatility targeting, and structured products.

Guarantee Structure and Associated Credit Risk

JPMorgan Chase & Co. fully and unconditionally guarantees payments on notes issued by its subsidiary JPMorgan Chase Financial Company LLC. Despite this, payments remain subject to credit risk of both the issuer and guarantor. Financial distress at either entity could impair investors’ payments despite the guarantee. The notes are unsecured and unsubordinated, ranking equally with other unsecured debt in bankruptcy scenarios.

The guarantee offers credit enhancement over non-guaranteed notes but does not eliminate credit risk. Investors rely on JPMorgan Chase’s financial strength. No specific credit ratings are provided in the filing; investors should consult rating agencies and prospectus supplements for detailed credit analysis. The guarantee does not protect against losses from index performance below thresholds at maturity.

Regulatory Filings and Offering Details

The pricing supplement is filed under SEC Registration Statement Nos. 333-293684 and 333-293684-01 as a Rule 424(b)(2) filing. It supplements product supplement no. 3-I, underlying supplement no. 5-I, and prospectus documents dated April 17, 2026. This layered disclosure structure provides final terms alongside general product, index, and risk information.

The filing includes the standard SEC disclaimer that neither the SEC nor any state securities commission has approved or disapproved the notes or passed on the accuracy of the pricing supplement or related documents. Any contrary representation is a criminal offense. This emphasizes that regulatory filing acceptance is not endorsement of investment merits or suitability. Investors must perform their own due diligence and consult financial advisors before investing.