JPMorgan Chase Financial Launches Auto-Callable Notes Linked to MerQube US Tech+ Vol Advantage Index

Structure and Terms of the Contingent Interest Notes

The auto-callable contingent interest notes are structured as unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, with full and unconditional guarantee by JPMorgan Chase & Co. The notes are linked to the performance of the MerQube US Tech+ Vol Advantage Index, which undergoes a 6.0% per annum daily deduction, and the Invesco QQQ Trust Series 1 (QQQ Fund) is subject to a notional financing cost accruing daily. These structural deductions are designed to offset appreciation and heighten depreciation of index components, creating a drag on overall index performance. The disclosure filing states that the index will trail the performance of an identical index without such deductions, a material consideration for investors evaluating expected returns.

The notes have a five-year term, from the expected settlement date of August 18, 2026 to maturity on August 18, 2031. Investors purchase notes in minimum denominations of $1,000 and integral multiples thereof. If the notes priced as outlined in the preliminary supplement, the estimated value would be approximately $909.90 per $1,000 principal amount note, though the filing confirms the estimated value when terms are set will not be less than $900.00 per $1,000 principal amount note. The structure includes multiple review dates at which the Index level is measured to determine whether contingent interest will be paid and whether automatic call provisions trigger.

Contingent Interest Payment Mechanism and Barriers

Investors will receive contingent interest payments only under specific conditions tied to Index performance. The filing discloses that if the closing level of the Index on any review date is greater than or equal to the interest barrier of 70.00% of the initial value, investors receive a contingent interest payment of at least $7.50 per $1,000 principal amount note (equivalent to at least 0.75% per month or at least 9.00% per annum). This represents a significant departure from traditional fixed-income securities, which typically guarantee coupon payments regardless of asset performance. The disclosure states that investors receive, in addition to current contingent interest, any previously unpaid contingent interest payments for prior review dates.

The filing explains that if a contingent interest payment is not paid on a scheduled interest payment date, that unpaid payment will only be made on a subsequent interest payment date if the Index level on that later review date again meets or exceeds the 70% barrier. However, if the closing level of the Index remains below the interest barrier on every subsequent review date, unpaid contingent interest payments will not be paid at maturity. This cascading structure means investors face the risk of forfeiting interest income entirely if Index performance deteriorates and fails to recover above the interest barrier by maturity, a critical risk consideration disclosed in the supplement.

Automatic Call Provisions and Early Redemption

The notes incorporate an automatic call feature designed to terminate the investment if Index performance reaches specified levels. The disclosure confirms that if the closing level of the Index on any review date (excluding the first through eleventh and final review dates) is greater than or equal to 93.00% of the initial value, the notes will be automatically called for a cash payment. The earliest date on which an automatic call may be initiated is August 13, 2027, meaning the first year of the five-year note term is protected from automatic call provisions. Upon automatic call, investors receive $1,000 principal per note plus any contingent interest payment due on that review date, plus any previously unpaid contingent interest payments for prior dates.

This automatic call mechanism effectively caps investor upside at a time when the underlying index has appreciated only modestly to 93% of its initial level. The filing notes that no further payments will be made on the notes following automatic call settlement. While this structure protects investors from catastrophic index declines by redeeming early if performance recovers, it simultaneously limits the potential benefit of stronger index rallies beyond the call threshold, creating an asymmetrical risk-return profile that investors should carefully evaluate.

Principal Protection Buffer and Downside Risk Exposure

The notes feature a limited principal protection buffer set at 85.00% of the initial value. If the Index closes above this buffer threshold at maturity, investors recover their full $1,000 principal amount (plus any applicable contingent interest) regardless of interim performance. However, the filing clearly discloses that investors should be willing to accept the risk of losing up to 85.00% of their principal. If the final value of the Index falls below the 85% buffer threshold at maturity, investors incur a principal loss calculated using the formula: $1,000 plus [$1,000 multiplied by (Index Return plus 15.00% Buffer Amount)].

This structure means that if the Index declines significantly during the five-year term, losses accelerate beyond the initial depreciation. For example, a 50% index decline would result in a principal loss of approximately $35 per $1,000 note after the 15% buffer is applied. The filing emphasizes this risk explicitly, stating that investors will lose some or most of principal amount at maturity if the notes remain outstanding and the final index value is below the buffer threshold. This downside exposure, combined with the conditional nature of interest payments, creates substantial portfolio risk that extends throughout the full five-year holding period unless automatic call is triggered.

Pricing and Expected Settlement Timeline

The preliminary pricing supplement indicates that the notes are expected to price on or about August 13, 2026, with settlement anticipated on or about August 18, 2026, which will serve as both the original issue date and the beginning of the accrual period for all structural costs and contingent interest calculations. The filing notes that selling commissions paid by J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, will not exceed $44.00 per $1,000 principal amount note, with all such commissions distributed to affiliated or unaffiliated dealers. If the notes priced according to the preliminary estimate, the break-even to public would be approximately $909.90 per $1,000 note, reflecting the embedded costs of the structured product.

The disclosure filing references registration statement numbers 333-293684 and 333-293684-01 under Rule 424(b)(2), indicating this offering has been registered with the Securities and Exchange Commission. The CUSIP identifier for these notes is 46661KZF8. The preliminary supplement was dated July 28, 2026, with the final pricing supplement expected to be completed and filed on or shortly after the expected pricing date of August 13, 2026, at which time final terms including the exact contingent interest rate and pricing details will be provided to investors.

Underlying Index Construction and Performance Drag

The MerQube US Tech+ Vol Advantage Index represents a technology-focused equity index strategy that applies dynamic exposure management and volatility harvesting techniques. The filing discloses that the index is subject to a daily deduction of 6.0% per annum, a structural cost that accumulates throughout the investment period and creates a significant performance headwind. In addition to this explicit deduction, the Invesco QQQ Trust Series 1, which appears to be a primary component of the index construction, carries a notional financing cost that also accrues daily. These dual deductions mean that even if the underlying technology stocks included in the index appreciate, the measured index level will trail an identical benchmark without such cost reductions.

The filing explicitly warns investors that these deductions will offset any appreciation of the index components, will heighten any depreciation of those components, and will generally function as a drag on the index performance throughout the note term. An investor benchmarking note returns against the broader Nasdaq-100 Index would observe significant underperformance attributable to these structural costs alone. This performance drag directly impacts both the likelihood of receiving contingent interest payments (by depressing the index level relative to the interest barrier) and the magnitude of principal losses (by reducing the final index value below the buffer threshold). The transparency of this disclosure allows investors to quantify a portion of the embedded cost structure, though the full impact depends on index volatility and market conditions throughout the five-year term.

Credit Risk and Issuer Guarantee Structure

The notes are issued by JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co., and carry a full and unconditional guarantee from the parent company. The filing explicitly states that any payment on the notes is subject to the credit risk of JPMorgan Financial as the issuer and the credit risk of JPMorgan Chase & Co. as the guarantor. This dual-layer credit structure means investors face counterparty risk at both the subsidiary and parent holding company level, although the unconditional guarantee from one of the largest global financial institutions significantly mitigates this risk compared to unsecured obligations from lower-rated entities.

The disclosure emphasizes that these notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of or guaranteed by a bank. This language clarifies that despite JPMorgan Chase's banking operations, the structured investment instruments themselves fall outside traditional deposit insurance protections. Investors must evaluate their risk tolerance for holding unsecured obligations of a large financial institution over a five-year period, particularly during potential market stress scenarios when credit risk tends to amplify.

Investment Suitability Considerations and Investor Profile

The filing indicates that these notes are designed specifically for investors who seek contingent interest payments with exposure to technology equities while accepting defined downside risk and the forfeiture of traditional fixed income. The notes appeal to a narrowly defined investor profile: those with sufficient capital to accept up to 85% principal loss, sufficient income stability to forgo fixed interest and dividend payments, and sufficient risk tolerance to accept the probability that contingent interest may not be paid with respect to some or all review dates. The disclosure emphasizes that investors must be willing to accept these conditions in exchange for the opportunity to receive contingent monthly payments of at least 0.75% if index performance remains adequate.

The structure is unsuitable for capital preservation-focused investors, those requiring predictable income streams, or investors with short time horizons who cannot sustain a five-year holding period during a potential prolonged market downturn. Suitability should be evaluated in context of overall portfolio diversification, with careful attention to the technology sector concentration inherent in an index linked to the QQQ Fund. Investors considering these notes should carefully review the full product supplement, underlying supplement, prospectus supplement, and prospectus referenced in the filing, which contain detailed risk factors and terms not summarized in the preliminary pricing supplement.

Regulatory Framework and Disclosure Documentation

This preliminary pricing supplement is issued pursuant to Securities and Exchange Commission rules governing structured investment products and is intended to be used in conjunction with multiple layers of disclosure documentation. The filing references a product supplement number 3-I dated April 17, 2026, an underlying supplement number 5-I dated April 17, 2026, a prospectus supplement dated April 17, 2026, and a base prospectus also dated April 17, 2026. Each of these documents contains additional information regarding risk factors, terms and conditions, use of proceeds, and plan of distribution that collectively constitute the complete offering documents.

The SEC has not approved or disapproved these notes, and the regulatory bodies have not passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. The filing includes explicit language indicating that any misrepresentation regarding SEC or state securities commission approval constitutes a criminal offense. This language is standard in preliminary pricing supplements and does not imply regulatory concern regarding the specific offering. Investors should review all available disclosure documents in their entirety before committing capital to this structured investment, understanding that the preliminary supplement may be subject to revision prior to final pricing on August 13, 2026.