JPMorgan Chase Launches Auto Callable Notes Linked to Volatility Index Offering Up to 18% Annual Contingent Interest

Auto Callable Notes Structure and Redemption Features

The notes from JPMorgan Chase Financial Company LLC include an automatic call feature that offers early redemption opportunities when market conditions are favorable. If the MerQube US Large-Cap Vol Advantage Index closes at or above its Initial Value on any Autocall Review Date, the notes automatically redeem for $1,000 principal plus the contingent interest payment. This feature allows investors to lock in gains if the index appreciates, while limiting the issuer's exposure to further market fluctuations.

The earliest possible automatic call date is January 25, 2027, providing roughly six months before early redemption can occur. Payments following an automatic call are made on the first Interest Payment Date after the Autocall Review Date when the trigger is met. Thus, even if the index triggers the call on a review date, settlement happens on the subsequent scheduled payment date. Once called, no further contingent interest payments accrue.

Monthly Contingent Interest Payments and Income Potential

These notes offer contingent interest payments monthly, contingent on the MerQube US Large-Cap Vol Advantage Index remaining above the Interest Barrier. The contingent interest equals at least $15.00 per $1,000 principal, translating to an 18.00% annualized rate or 1.50% monthly, payable only if the index closes at or above 70.00% of its Initial Value on Interest Review Dates. No payment is made if the index falls below this threshold on any monthly review.

This contingent payment structure differs from traditional fixed-rate bonds, as investors relinquish guaranteed interest for the chance of higher monthly income dependent on index performance. The filing cautions investors about the risk of receiving no interest payments if the index dips below the Interest Barrier on some or all review dates. This uncertainty makes the notes suitable only for investors with appropriate risk tolerance and investment goals aligned with structured products.

Index Composition and 6.0% Annual Deduction Impact

The MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker MQUSLVA) applies a 6.0% annual daily deduction that accumulates during the investment period. This deduction creates a structural drag on index returns, offsetting gains from underlying futures contracts and amplifying losses. The filing notes this deduction causes the index to underperform a comparable index without such charges.

Investors must consider this 6.0% annual deduction when assessing the attractiveness of contingent interest payments and overall return potential. Over the six-year term, cumulative deductions significantly erode index value regardless of market moves. The filing highlights this deduction as a performance hurdle investors must overcome through index appreciation to realize positive returns. Careful evaluation is needed to determine if the contingent income and auto call features adequately compensate for this structural drag.

Principal Risk and Maturity Payment Scenarios

The notes include a 50.00% Trigger Value relative to the Initial Value that governs final maturity payments. If not called early and the Final Value exceeds this trigger, investors receive $1,000 principal plus any contingent interest from the final review. If the Final Value falls below 50.00%, the maturity payment equals $1,000 plus the Index Return (Final Value minus Initial Value divided by Initial Value) times $1,000.

The filing warns that if the Final Value is below the Trigger Value, investors will lose more than half their principal and could lose the entire principal amount. For instance, a 75% index decline results in a $250 payout per $1,000 invested, and a 100% decline results in zero proceeds. This substantial downside risk makes the notes appropriate only for investors able to bear total loss.

Pricing and Estimated Note Value

The preliminary pricing supplement shows that if priced on the announcement date, the estimated note value would be about $927 per $1,000 principal, reflecting a discount to par. The final pricing supplement will provide the exact estimated value, which will not be less than $900 per $1,000 principal. This minimum valuation floor sets a downside boundary at pricing.

The discount reflects embedded issuer benefits such as the automatic call and contingent interest features. Investors buying at $927 face an immediate valuation loss relative to par, reflecting market pricing of risks and derivatives. J.P. Morgan Securities LLC, acting as agent, will cover all dealer selling commissions, capped at $9.00 per $1,000 principal. The $927 estimated value is preliminary and subject to change at final pricing.

Guarantee and Credit Risk Considerations

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co. Payments are fully and unconditionally guaranteed by JPMorgan Chase & Co., reducing credit risk by relying on the parent company's financial strength. This guarantee ensures payments depend on one of the largest global banks rather than solely on the subsidiary.

Nonetheless, investors remain exposed to credit risk of both the issuer and guarantor. Any significant credit deterioration could affect note value, though JPMorgan Chase & Co.'s default risk is very low given its systemic importance and regulatory oversight. The filing clarifies that these notes are not bank deposits, are not FDIC insured, and are not bank obligations, important for investors seeking deposit protection.

Timeline and Settlement Information

The preliminary pricing supplement dated July 21, 2026, anticipates pricing on or about July 24, 2026, with settlement on or about July 29, 2026. The settlement date serves as the Original Issue Date and the basis for calculating the Initial Value of the MerQube US Large-Cap Vol Advantage Index. All subsequent review and payment dates are measured from this date. Interest Review Dates begin August 24, 2026, continuing monthly through the notes' life.

The notes mature July 29, 2032, providing a six-year term. The filing includes a schedule of Interest Review Dates through mid-2031. Review and payment dates may be postponed due to market disruptions. Investors can receive contingent interest for approximately 72 months unless early redemption is triggered starting January 25, 2027.

Risk Factors and Suitability for Investors

The preliminary supplement highlights key risks investors must understand, including the potential loss of a significant portion or all principal and the possibility of no contingent interest payments on some or all review dates. The 6.0% annual index deduction imposes a structural performance drag. Combined with the risk of total principal loss if the index falls below 50%, these factors create a complex risk profile requiring sophisticated evaluation.

Investors must also accept foregoing fixed interest and dividends in exchange for contingent payments, balancing income certainty against potential higher returns. These notes suit only investors with high risk tolerance, investment experience, and financial capacity to endure total principal loss. Detailed risk discussions appear starting on page S-2 of the prospectus supplement, page PS-12 of the product supplement, and page US-4 of the underlying supplement.

Registration and Compliance Details

The notes are registered under Registration Statement Nos. 333-293684 and 333-293684-01, filed under Rule 424(b)(2). The preliminary pricing supplement is part of a full disclosure package including a prospectus, prospectus supplement, product supplement number 3-I dated April 17, 2026, and underlying supplement number 5-I dated April 17, 2026. The CUSIP for these notes is 46661KTX6, enabling standard trading and settlement.

As the pricing supplement is preliminary, final terms including exact estimated value and contingent interest rates will be disclosed in the definitive pricing supplement. Minimum denominations are $1,000 and multiples thereof. The filing notes that neither the SEC nor any state securities commission has approved or disapproved the notes or verified the accuracy of disclosures, emphasizing that regulatory approval does not imply endorsement of investment suitability.