JPMorgan Chase Launches Auto Callable Notes Tied to Tech Volatility Index Maturing in 2028

Contingent Interest Payment Framework and Monthly Review Timeline

These notes provide contingent interest payments based on the MerQube US Tech+ Vol Advantage Index performance, evaluated across 25 Review Dates from August 31, 2026, through July 31, 2028. If the Index closes at or above 70.00% of its Initial Value on any Review Date, investors receive a Contingent Interest Payment of at least $10.8333 per $1,000 principal on the corresponding Interest Payment Date, scheduled roughly every 30 days during the term.

However, if the Index closes below the 70.00% Interest Barrier on any Review Date, no contingent interest is paid for that period. This structure means investors should be prepared for months without income, reflecting the trade-off of foregoing fixed interest or dividends in exchange for contingent monthly payments.

Automatic Call Feature and Early Redemption Terms

The notes include an automatic call mechanism that limits upside if the Index performs strongly. If on any Review Date—excluding the first eleven and the final Review Date—the Index closes at or above its Initial Value, the notes will be automatically called for cash redemption. The earliest call date is August 2, 2027, about one year post expected settlement.

Upon automatic call, investors receive $1,000 per principal plus the contingent interest payment for that Review Date, with settlement on the next Interest Payment Date. No further payments occur after the call, capping upside while allowing recovery of principal and accrued interest if the tech-focused index performs well.

Principal Protection Buffer and Downside Risk Details

These notes feature a 15.00% principal buffer, exposing investors to principal loss only if the Index falls below 85.00% of its Initial Value at maturity. If uncalled and the Final Value is at or above 85.00% of Initial Value, investors receive full principal plus any final contingent interest.

If the Index closes below this buffer at maturity, principal loss is calculated as $1,000 plus $1,000 multiplied by the Index Return plus the 15.00% buffer. This means potential principal loss can reach approximately 85.00%, representing a significant risk investors must accept.

Index Details and Daily Deduction Impact

The MerQube US Tech+ Vol Advantage Index, launched June 22, 2021, and maintained by MerQube in partnership with J.P. Morgan Securities LLC, incorporates a daily accrued deduction of 6.0% per annum. Additionally, the Invesco QQQ Trust Series 1 ("QQQ Fund") component incurs a daily notional financing cost.

These deductions create a structural drag, offsetting gains and amplifying losses, causing the Index to underperform a comparable index without such fees. JPMorgan affiliates hold about a 10% stake in the Index Sponsor, which may present potential conflicts of interest in index management.

Pricing, Valuation, and Distribution Information

Notes are priced at $1,000 each, with selling commissions capped at $6.50 per $1,000 principal. J.P. Morgan Securities LLC acts as agent, distributing commissions to affiliated or unaffiliated dealers. Minimum denominations are $1,000 and multiples thereof, with CUSIP 46661KWJ3.

Estimated note value at pricing is $964.00 per $1,000 principal, with a guaranteed minimum value of $900.00 upon final pricing. Final contingent interest rates and pricing details will be disclosed in the definitive pricing supplement, expected around July 31, 2026, with settlement near August 5, 2026.

Issuer Credit Risk and Guarantee Information

The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial Company LLC, a wholly owned subsidiary of JPMorgan Chase & Co., which fully and unconditionally guarantees payments. Investors have recourse to JPMorgan Chase & Co., one of the largest U.S. financial institutions.

Despite the guarantee, payments depend on the creditworthiness of both the issuer and guarantor. The notes are not bank deposits, lack FDIC insurance, and are not guaranteed by any bank in that capacity, an important consideration for investors accustomed to insured products.

Interest Barrier and Contingent Income Mechanism

The 70.00% Interest Barrier sets the minimum Index level needed to trigger contingent interest payments on Review Dates. If met or exceeded, investors earn about 1.08333% monthly, equating to at least 13.00% annually. This premium compensates for the risk of no payments during months when the Index falls below the threshold.

Investors must accept the possibility of missing contingent interest payments on some or all Review Dates, a key risk for those relying on steady income.

Risk Warnings and Principal Loss Potential

The filing prominently warns investors of potential principal loss up to 85.00%, occurring if the Index declines more than 15% from its Initial Value at maturity and the notes remain uncalled. These notes suit investors with high risk tolerance and capacity for significant loss.

Investors should also be willing to forgo fixed interest and dividends in exchange for contingent payments. The daily 6.0% annual deduction and QQQ Fund financing costs impose ongoing performance headwinds, reducing chances for contingent interest and principal preservation.

Registration and Regulatory Disclosures

The preliminary pricing supplement is filed under Registration Statement Nos. 333-293684 and 333-293684-01 per SEC Rule 424(b)(2), indicating offering via an effective shelf registration by JPMorgan. The SEC and state securities commissions have neither approved nor disapproved the notes or verified the pricing supplement’s accuracy, with any contrary claims constituting a criminal offense.

Accompanying documents include a prospectus, prospectus supplement, product supplement no. 3-I dated April 17, 2026, and underlying supplement no. 5-I dated April 17, 2026. These contain detailed risk factors, terms, and conditions, including market disruption and postponement procedures, which investors should review before investing.