JPMorgan Launches Five-Year Accelerated Barrier Notes Linked to MerQube US Tech+ Vol Advantage Index

Index Structure and Underlying Asset Composition

The MerQube US Tech+ Vol Advantage Index is a rules-based investment vehicle designed to offer exposure to technology equities with volatility management. Since February 9, 2024, the index’s underlying asset has been an unfunded position in the Invesco QQQ Trust Series 1, calculated as the QQQ Fund’s total return minus a notional financing cost. Before this date, the index tracked an unfunded rolling position in E-Mini Nasdaq-100 futures. The index allows dynamic exposure ranging from 0% to 500%, adjusting allocations based on volatility conditions.

The QQQ Fund seeks to replicate the Nasdaq-100 Index’s investment results before fees and expenses, providing broad exposure to 100 non-financial Nasdaq-listed stocks. The index methodology includes daily deductions such as a 6.0% per annum charge and daily accruing notional financing costs, which create a structural drag on returns that investors should consider.

Payment Structure and Upside Participation Framework

At maturity, the notes’ payment depends on the final index value relative to its initial level. If the index closes above its initial value, investors receive $1,000 plus the index return multiplied by an upside leverage factor of at least 2.925 per $1,000 principal. This leverage amplifies gains when the index rises, as illustrated in the filing.

If the final index value equals the initial value or falls but remains above the 50% barrier, investors receive only their $1,000 principal with no additional return. The barrier offers downside protection up to a 50% decline. However, if the index falls below 50% of its initial value, payment equals $1,000 plus the unlevered index return, exposing investors to full losses without leverage. The filing warns that losses exceeding 50% of principal are possible, including total principal loss at maturity.

Pricing and Estimated Value Considerations

The notes have a minimum denomination of $1,000, with pricing on August 3, 2026, observation on August 4, 2031, and final maturity on August 7, 2031. The estimated value at issuance will not be less than $920 per $1,000 principal, reflecting an $80 difference due to embedded costs, dealer markup, and accrued fees over five years.

The filing notes that estimated value is an internal valuation likely lower than the issuance price and does not predict future values. Secondary market prices may differ significantly from both estimated value and issue price, influenced by market conditions and interest rates. Additionally, fees and expenses related to secondary sales could reduce returns if investors sell before maturity.

Credit Risk and Issuer Guarantees

Payments depend on the creditworthiness of JPMorgan Chase Financial Company LLC as issuer and JPMorgan Chase & Co. as guarantor. The notes’ value before maturity will fluctuate with market perceptions of these entities’ credit quality. JPMorgan Chase Financial Company LLC, a finance subsidiary with limited assets, relies on JPMorgan Chase & Co.’s guarantee as the primary credit support.

The filing clarifies that neither issuer nor guarantor is obligated to repay if financial conditions worsen. Changes in credit perception will affect secondary market values independently of index performance, adding counterparty risk that may impact liquidity and pricing.

Index Volatility Targeting and Dynamic Leverage Mechanics

The MerQube US Tech+ Vol Advantage Index offers dynamic, rules-based exposure to the QQQ Fund, targeting a specific implied volatility level. Unlike static buy-and-hold strategies, it adjusts leverage based on volatility: reducing exposure when implied volatility rises and increasing it when volatility falls. Exposure is capped between 0% and 500%.

The filing warns the index may not achieve its volatility target or outperform alternative strategies. Historical and hypothetical back-tested data are limited and do not represent actual returns. Established on June 22, 2021, the index has limited history and may behave unpredictably under new market conditions. Leverage use introduces significant risk, and the index may be largely uninvested during high volatility periods.

Hypothetical Return Scenarios and Limitations

An illustration table in the filing shows hypothetical total returns at maturity using the minimum 2.91 leverage factor. For example, a 65% index return yields a 189.15% note return, while 40% index appreciation results in 116.40% returns, demonstrating leverage amplification. Index declines up to 50% yield zero returns due to the barrier, whereas declines beyond 50% cause proportional principal losses.

The scenarios exclude fees and expenses from secondary sales and apply only at maturity. Selling notes early or incurring transaction costs would likely lower actual returns. The table assumes minimum leverage; actual leverage could be higher. The filing emphasizes these are illustrative only with no guarantee of achieving these returns.

Index Composition Risks and QQQ Fund Management

The index includes non-U.S. securities via the QQQ Fund, exposing investors to international equity risks. The QQQ Fund’s performance depends on the fund manager’s decisions and may not consistently track the Nasdaq-100 Index, especially during volatile markets. Net asset value per share may diverge from market prices.

JPMorgan affiliate J.P. Morgan Securities LLC collaborated with MerQube to establish index guidelines and calculation policies, presenting potential conflicts of interest since the same entity structures and markets linked notes. Index methodology may change without investor consent, potentially affecting note performance.

Liquidity and Secondary Market Trading Constraints

J.P. Morgan Securities LLC intends but is not obligated to buy notes in the secondary market. This means liquidity is not guaranteed, and investors may face difficulty selling notes before maturity. Secondary market prices could cause significant principal loss, excluding interest rate or credit spread effects.

The lack of guaranteed liquidity limits investor flexibility, potentially locking holders into the full five-year term. The filing does not disclose secondary market trading details, creating uncertainty about exit options if early liquidation is needed.

Conflicts of Interest and Hedging Activities

JPMorgan’s multiple roles—as issuer, calculation agent, index methodology partner, hedger, and pricing determiner—create conflicts of interest. Hedging or trading activities by JPMorgan could generate profits for the firm while note values decline.

The filing acknowledges JPMorgan’s hedging could yield significant firm gains even as investors incur losses. The internal funding rate for estimated value is set by JPMorgan without independent verification, potentially favoring the issuer. Investors should be aware that JPMorgan’s economic interests may diverge from theirs.

Tax Implications and Regulatory Status

The filing advises investors to consult tax professionals regarding U.S. federal income tax consequences, as tax treatment of the notes is uncertain. Classification as debt, derivatives, or other categories affects taxation and depends on index performance and leverage mechanics.

Issued under registration numbers 333-293684 and 333-293684-01 dated May 19, 2026, this terms supplement under Rule 424(b)(3) notes that the SEC has neither approved nor disapproved the notes, and no state securities commission has reviewed the offering materials. Any claim of SEC approval would be a criminal offense. Investors should review the full prospectus, supplement, and product documents before investing.