JPMorgan Chase Financial Launches Auto-Callable Notes Linked to MerQube Volatility Index With 12% Contingent Interest Rate

Contingent Payment Structure and Interest Barrier Mechanics

The notes are structured to deliver contingent interest payments to investors who maintain exposure to index performance above a specified threshold. For each $1,000 principal amount note, investors will receive a Contingent Interest Payment of at least $10.00 per month (equivalent to at least 12% per annum) on applicable interest payment dates, provided the closing level of the MerQube US Large-Cap Vol Advantage Index is greater than or equal to 70% of the Initial Value on the corresponding review date. This interest barrier level represents a meaningful protection mechanism, allowing investors to receive payments even if the index experiences moderate depreciation from its pricing date level.

A critical feature of the payment structure involves the accumulation of unpaid contingent interest. If a contingent interest payment cannot be made on any scheduled interest payment date because the index has declined below the interest barrier, that unpaid amount carries forward. Investors will receive previously unpaid contingent interest payments on any subsequent interest payment date where the index again closes at or above the 70% barrier. However, if the index fails to recover to the interest barrier level on all remaining review dates, investors will forfeit those accumulated unpaid contingent interest amounts entirely. This cascading payment structure creates meaningful downside risk for investors who experience extended periods of index weakness.

Automatic Call Mechanism and Early Redemption Scenarios

The notes incorporate an automatic call feature that may terminate the investment prior to the five-year maturity date if performance conditions are met. If the closing level of the index reaches or exceeds the Initial Value (100% of the pricing date level) on any review date between July 23, 2027 and the penultimate review date, JPMorgan Chase Financial will automatically redeem the notes on the next scheduled interest payment date. Upon automatic call, each $1,000 principal amount note will be paid in cash equal to the principal amount plus the applicable contingent interest payment and any previously unpaid contingent interest amounts. The earliest date on which an automatic call may be initiated is July 23, 2027, meaning the notes have a minimum one-year holding period before early redemption becomes possible.

Investors should note that automatic call protects the issuer against sustained index appreciation while limiting investor upside participation if the index rises sharply above its initial level. The call feature applies to all review dates except the first through eleventh review dates and the final maturity review date. This structure means investors cannot benefit from index performance exceeding the initial value level in most scenarios, as the issuer will redeem the notes before such appreciation can generate additional returns beyond the fixed contingent interest payments.

Index Composition and Six Percent Annual Deduction Impact

The underlying index referenced in these notes is the MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA), which is subject to a 6.0% per annum daily deduction that accrues continuously throughout the life of the notes. This daily deduction is a structural drag on index performance that will offset any gains from the underlying futures contracts, will magnify any declines in those contracts, and will generally reduce the likelihood that the index performs well enough to trigger contingent interest payments. The index return calculation incorporates this deduction directly into the closing level values used to determine whether interest barriers and call thresholds have been met.

The implication of the 6.0% annual deduction is substantial for investor returns. An identical index without this deduction would outperform the MerQube version by approximately 6% annually, all else being equal. This drag becomes particularly impactful when assessing whether the index will remain above the 70% interest barrier level on future review dates. For example, an index that begins at 100 would need to deliver approximately 6% per annum in net positive performance just to maintain its level before the deduction is applied. Investors analyzing these notes should recognize that the 12% contingent interest rate offered must be evaluated against this structural headwind to index performance.

Principal Risk and Loss Scenarios at Maturity

If the notes have not been automatically called and the Final Value of the index is less than 60% of the Initial Value (the Trigger Value), investors will face significant principal losses at maturity. In this scenario, the payment at maturity will be calculated as $1,000 plus ($1,000 multiplied by the Index Return). The Index Return is defined as (Final Value minus Initial Value) divided by Initial Value. This formula means that if the index declines by 50%, investors would receive only $500 per $1,000 principal amount, resulting in a 50% loss of capital. The disclosure explicitly states that if the Final Value is less than the Trigger Value, investors will lose more than 40% of their principal amount at maturity and could potentially lose all of their principal amount at maturity in a severe decline scenario.

This downside exposure represents a material risk that investors must accept in exchange for the opportunity to receive contingent interest payments. There is no principal protection floor, meaning the notes are subject to full credit and market risk. Investors unwilling to accept the possibility of substantial or complete principal loss should not purchase these notes. The structure creates an asymmetric payoff where investors receive modest contingent interest payments if the index remains within a moderate range, but face significant losses if the index falls sharply or fails to recover after declines.

Pricing Date and Settlement Timeline

The notes are expected to price on or about July 23, 2026, with settlement scheduled for approximately July 28, 2026. The pricing date will establish the Initial Value of the MerQube US Large-Cap Vol Advantage Index, which serves as the reference point for all subsequent index comparisons, automatic call determinations, and final maturity calculations. The preliminary pricing supplement indicates the notes will price in minimum denominations of $1,000 and integral multiples thereof, with a CUSIP identifier of 46661KV70 assigned for trading and clearing purposes.

According to the preliminary pricing supplement, if the notes priced on the date of the announcement, the estimated value would be approximately $898.50 per $1,000 principal amount note. However, the filing specifies that the estimated value of the notes when final terms are established will be provided in the final pricing supplement and will not be less than $880.00 per $1,000 principal amount note. The difference between the stated price to public of $1,000 and the estimated intrinsic value reflects the value attributable to the embedded call option and the uncertainty regarding future contingent interest payments.

Credit Support and Issuer Guarantees

The notes are issued by JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co., and benefit from a full and unconditional guarantee by JPMorgan Chase & Co. This guarantee structure means that investors have recourse to the creditworthiness of both the immediate issuer and the parent guarantee provider. However, investors should understand that payment on the notes remains subject to the credit risk of both JPMorgan Financial as the issuer and JPMorgan Chase & Co. as the guarantor. In the event of financial stress affecting either entity, investors could face delays in payment or reduced recovery of principal and interest.

The notes are expressly stated to be unsecured and unsubordinated obligations, meaning they have no claim on specific assets and rank equally with other unsecured debt. These are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. Investors relying on the creditworthiness of JPMorgan Chase & Co. for security should conduct appropriate credit analysis before investing. The guarantee provides no enhancement to the principal protection floor, as the notes remain subject to full market risk based on index performance regardless of the guarantee quality.

Distribution and Sales Commission Structure

J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, will receive selling commissions from the issuer. These commissions will be paid to other affiliated or unaffiliated dealers, with the selling commissions not exceeding $42.75 per $1,000 principal amount note. This commission structure is embedded in the price to public, meaning investors pay the full $1,000 stated price, which includes all distribution costs. The preliminary pricing supplement indicates the actual commission amount will be disclosed in the final pricing supplement, along with the exact price to public and proceeds to the issuer.

The involvement of affiliated and unaffiliated dealers in the distribution chain creates potential conflicts of interest that investors should consider. JPMorgan entities may have economic incentives to distribute these notes to investors, and affiliated dealers may benefit from trading the notes in the secondary market. Investors should inquire about the specific dealer commissions and whether their particular broker is receiving compensation from JPMorgan Chase entities for facilitating the sale.

Review Dates and Interest Payment Schedule

The notes have monthly review dates and interest payment dates spanning the five-year term from July 28, 2026 through July 28, 2031. The review dates commence with August 24, 2026 and continue through monthly intervals thereafter, including dates such as September 23, October 23, November 23, December 23, 2026, and continuing monthly through 2027 and 2028. Each review date establishes the closing level of the MerQube US Large-Cap Vol Advantage Index that will determine whether a contingent interest payment is owed on the corresponding interest payment date. The disclosure in the preliminary pricing supplement identifies review dates through March 2028 specifically, with the complete schedule extending through the final review date at maturity.

This frequent review schedule means investors face multiple opportunities throughout the year for index performance to fall below the 70% interest barrier, resulting in forgone contingent interest payments for that period. With approximately 60 review dates over the five-year term, the cumulative impact of missed interest payments could be substantial if the index experiences weakness across multiple periods. Investors should model various index performance scenarios to understand the range of potential contingent interest payments they might receive over the life of the notes.

Regulatory Context and Investor Suitability Considerations

The preliminary pricing supplement for these notes has been filed under Registration Statement Nos. 333-293684 and 333-293684-01 pursuant to Rule 424(b)(2). The notes are designed primarily for investors who seek contingent interest payments and are willing to accept significant risks of principal loss. The disclosure emphasizes repeatedly that investors should be willing to accept the risk of losing a significant portion or all of their principal, and the risk that no contingent interest payments may be made with respect to some or all review dates. Additionally, investors must be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive contingent interest payments.

These notes are complex structured products unsuitable for conservative investors or those with low risk tolerance. Investors should thoroughly understand the interaction between the 6% annual index deduction, the 70% interest barrier requirement, and the automatic call mechanism before committing capital. The notes are designed for sophisticated investors with specific views on index volatility and performance ranges, and appropriate for use only as a limited portion of a diversified investment portfolio. Investors uncertain about any aspect of the structure should not purchase the notes without consultation with a qualified financial advisor.