JPMorgan Chase Launches Auto Callable Notes Linked to Russell 2000, S&P 500, and VanEck Semiconductor ETF Due 2031

Structured Product Framework and Multi-Asset Linkage

JPMorgan Chase Financial’s notes are structured as complex derivatives with returns linked independently to three underlyings: the Russell 2000 Index (Bloomberg: RTY), the S&P 500 Index (Bloomberg: SPX), and the VanEck Semiconductor ETF (Bloomberg: SMH). Unlike a basket approach, payments depend on the lowest-performing asset, meaning investor returns at maturity are determined by the worst-performing underlying.

As a wholly-owned finance subsidiary of JPMorgan Chase & Co., JPMorgan Chase Financial Company LLC issues these notes, which are fully and unconditionally guaranteed by the parent company. These unsecured and unsubordinated obligations expose investors to the credit risk of both the issuer and guarantor. The structure offers synthetic exposure to multiple equity indices and an ETF within one security but adds complexity in payout calculations.

Contingent Interest and Barrier Conditions

Contingent monthly interest payments depend on quarterly and monthly performance benchmarks. If on any review date each underlying closes at or above 65% of its initial value (the interest barrier), investors receive contingent interest payments of at least $10.875 per $1,000 principal, equivalent to 13.05% annualized or 1.0875% monthly. Final rates will be confirmed in the pricing supplement post-offering.

If any underlying closes below 65% on a review date, no contingent interest is paid for that period. This penalty applies individually to each underlying, emphasizing the risk of underperformance in any one asset. Investors must accept the possibility of foregoing fixed interest and dividends in favor of conditional contingent interest.

Automatic Call and Early Redemption Features

An automatic call feature redeems notes at par plus accrued contingent interest if all three underlyings close at or above their initial values on designated review dates. The earliest automatic call date is July 30, 2027, about one year after the expected settlement date of August 4, 2026. Automatic calls are restricted from the first through eleventh review dates and the final maturity review date.

Upon automatic call, investors receive $1,000 principal plus contingent interest for that period, with settlement on the first interest payment date after the call. This caps investor returns at the contingent interest earned to the call date, benefiting the issuer by enabling early redemption in positive market conditions but limiting upside for investors.

Principal Risk and Potential Loss at Maturity

If the notes remain outstanding until maturity on August 4, 2031, and any underlying’s final value is below 50% of its initial value (the trigger), investors receive principal adjusted by the lowest performing underlying’s return. For example, a 60% decline in the worst-performing asset results in a $400 payout per $1,000 principal, representing a 60% loss.

The disclosure warns investors of potential losses exceeding 50% of principal and the possibility of total principal loss if an underlying falls to zero. Since returns depend on the worst-performing asset, downside risk is concentrated, requiring investors to accept significant principal loss potential inherent to this structured product.

Review Dates, Interest Schedule, and Maturity Timeline

Review dates start August 31, 2026, continuing through maturity in 2031. Specific dates include August 31, September 30, October 30, November 30, December 30, 2026; February 1, March 1, March 30, April 30, June 1, June 30, July 30, August 30, and September 30, 2027; with additional dates through maturity. Each triggers evaluation of interest barrier and automatic call conditions.

Interest payments correspond to review dates and are paid monthly if earned. The maturity date is August 4, 2031, five years from expected settlement. Dates may be postponed due to market disruptions or accelerated by specific events per product documentation, providing regular performance assessments and payment opportunities.

Estimated Valuation and Pricing Details

The preliminary pricing supplement estimates the notes’ value at approximately $900.90 per $1,000 principal if priced on the announcement date. This estimate is preliminary; the final value will be disclosed in the final pricing supplement and will not be less than $900.00 per $1,000 principal.

Notes are offered at $1,000 each in minimum denominations of $1,000 and multiples thereof. Dealer selling commissions will not exceed $41.25 per $1,000 principal. J.P. Morgan Securities LLC acts as agent distributing commissions to affiliated and unaffiliated dealers. The difference between offering price and estimated value reflects issuer economics and underwriting compensation.

Anticipated Pricing and Settlement Schedule

Pricing is expected on or about July 30, 2026, with settlement on or about August 4, 2026. These dates mark initial distribution and transfer to investors. The July 30 pricing date sets initial values for all underlyings, establishing baselines for future payment calculations. August 4, 2026 is the original issue date and start of the five-year term.

Terms remain subject to finalization and may vary due to market conditions or regulatory approvals. The preliminary nature of the pricing supplement means final terms could differ, though minimum estimated value is guaranteed at $900.00 per note.

Underlying Asset Performance and Least-Performing Asset Structure

Investor payouts at maturity depend on the least-performing underlying return, calculated as (final value – initial value) / initial value. The worst-performing asset among the Russell 2000, S&P 500, and VanEck Semiconductor ETF dictates final payout if below the 50% trigger.

Initial values are based on closing prices on July 30, 2026, with final values from the last review date in 2031. The VanEck Semiconductor ETF includes a share adjustment factor set at 1.0 at pricing, with possible changes for corporate events. This multi-asset design requires investors to track three distinct markets and one ETF over five years, adding complexity to expected results.

Credit Risk and Guarantee Details

Issued by JPMorgan Chase Financial Company LLC and fully guaranteed by JPMorgan Chase & Co., payments depend on the creditworthiness of both entities. The guarantee extends credit risk to the parent but does not eliminate it.

These notes are not bank deposits, lack FDIC or government insurance, and are not bank obligations. As unsecured obligations, noteholders rank with other unsecured creditors in insolvency scenarios, without priority claims.

Regulatory Filings and Distribution Information

The pricing supplement is filed under Securities Act registration numbers 333-293684 and 333-293684-01, designated as Rule 424(b)(2) pricing disclosure. Dated July 23, 2026, it precedes final pricing. The supplement references product supplement 3-I, underlying supplement 1-I, and prospectus documents dated April 17, 2026, providing comprehensive disclosure.

The SEC disclaimer clarifies that neither the SEC nor state securities commissions have approved or disapproved the notes or verified the pricing supplement’s accuracy. Any contrary representation is a criminal offense, emphasizing that SEC review does not imply endorsement or suitability for any investor.