JPMorgan Chase Financial Launches Auto Callable Notes Linked to S&P 500 and Semiconductor ETF Performance

Product Structure and Contingent Payment Design

JPMorgan Chase Financial has structured these notes to provide monthly income opportunities for investors comfortable with dual underlying asset exposure. The disclosure states that investors will receive contingent interest payments equal to at least $15.0833 per $1,000 principal amount on each applicable interest payment date, provided both the S&P 500 Index and the VanEck Semiconductor ETF maintain closing values at or above 70% of their respective initial values on the scheduled review dates. This interest barrier mechanism creates a threshold that both underlyings must satisfy independently; if either underlying falls below the 70% barrier on any review date, no contingent interest payment is made for that period.

The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, with payment fully and unconditionally guaranteed by JPMorgan Chase & Co. The filing notes that any payment obligation remains subject to the credit risk of both the issuer and the guarantor. The contingent interest rate is structured to pay at least 1.50833% per month, equivalent to an annual rate of at least 18.10%, provided the interest barrier condition is satisfied on each review date. This structure explicitly replaces traditional fixed interest and dividend payments with performance-dependent contingent payments.

Automatic Call Mechanism and Early Redemption Triggers

The notes incorporate an automatic call feature that activates when both underlyings close at or above their respective initial values on any review date, excluding the first five review dates and the final review date. The earliest date on which an automatic call may be initiated is January 28, 2027, as disclosed in the filing. When the automatic call feature is triggered, the notes are redeemed for cash at $1,000 principal per note plus the contingent interest payment applicable to that review date, with settlement occurring on the first interest payment date following the triggering review date.

This automatic call structure creates a cap on potential upside for investors. If both underlying assets appreciate significantly, investors will receive their principal and the contingent interest for that period but will not participate in any further appreciation beyond the call date. The filing indicates that review dates occur approximately monthly from August 2026 through June 2028, providing approximately 23 scheduled observation points during the note's roughly two-year life. The exclusion of the first five review dates from the automatic call trigger ensures a minimum holding period before early redemption becomes possible.

Downside Protection Thresholds and Loss Scenarios

The notes define two critical price levels that determine investor outcomes at maturity: the interest barrier at 70% of initial value, which determines contingent interest eligibility, and the trigger value at 50% of initial value, which determines whether principal is at risk. The filing explicitly states that if either underlying falls below its trigger value by the final review date and the notes have not been called early, investors face potential principal loss calculated by reference to the lesser performing underlying.

The payment structure at maturity provides that if both underlyings close at or above their respective trigger values on the final review date, investors receive their full $1,000 principal per note plus any final contingent interest payment. However, if either underlying closes below its trigger value, the maturity payment is reduced by the percentage decline of the lower-performing underlying. The filing emphasizes that investors may lose more than 50% of principal amount at maturity and could lose all of their principal amount at maturity if either underlying declines sufficiently. This linkage to the lesser performing underlying means investors face the downside of whichever asset performs worse between the S&P 500 Index and the VanEck Semiconductor ETF.

Underlying Assets and Index Composition

The notes are linked to two distinct underlyings: the S&P 500 Index (Bloomberg ticker SPX) and the VanEck Semiconductor ETF (Bloomberg ticker SMH). The S&P 500 Index represents large-capitalization U.S. equities across all sectors, providing broad equity market exposure. The VanEck Semiconductor ETF offers concentrated exposure to semiconductor companies, a sector subject to cyclical demand patterns, technology disruption risks, and supply chain vulnerabilities. The filing does not disclose the specific holdings or sector weightings of the VanEck Semiconductor ETF within this document.

The initial value for each underlying is established as the closing value on the pricing date, approximately July 28, 2026. The filing notes that a share adjustment factor is referenced in determining the closing value of the VanEck Semiconductor ETF and is set equal to 1.0 on the pricing date. This adjustment factor is subject to modification upon the occurrence of certain corporate events affecting the fund, as described in the product supplement. The use of two underlyings with different risk profiles and performance drivers creates correlation dynamics that may influence note behavior over the two-year term.

Pricing and Distribution Terms

The notes are priced at $1,000 per unit with minimum denominations of $1,000 and integral multiples thereof, making them accessible to institutional and qualified retail investors. The filing indicates that selling commissions will not exceed $22.25 per $1,000 principal amount note, which will be paid by J.P. Morgan Securities LLC (acting as agent) to other affiliated or unaffiliated dealers. The estimated value of the notes, if they priced on the date of the filing, would be approximately $956.90 per $1,000 principal amount note, with a commitment that the estimated value when terms are finalized will not be less than $930.00 per note.

The expected pricing date is July 28, 2026, with settlement anticipated approximately July 31, 2026. The CUSIP number for the notes is 46661KWK0. The pricing supplement indicates that components of the price to public are detailed in a "Supplemental Use of Proceeds" section within the document. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, and are not obligations of any bank, as stated in the filing's risk disclaimers.

Review Dates and Interest Payment Schedule

The notes have 23 scheduled review dates spanning from August 28, 2026, through June 28, 2028, with the final review date and maturity occurring on July 3, 2028. The filing provides a complete list of monthly review dates, allowing investors to track observation points for both contingent interest eligibility and automatic call triggers. Interest payment dates follow each review date by approximately one to five business days, providing relatively prompt payment processing following the determination of contingent interest eligibility.

The filing notes that review dates and payment dates are subject to postponement in the event of a market disruption event as described in accompanying product and prospectus supplements. Additionally, payment dates are subject to early acceleration in the event of an acceleration event, details of which are contained in the accompanying product supplement and the pricing supplement's "Selected Risk Considerations" section. This postponement and acceleration language indicates that investors should review the full product documentation for circumstances under which scheduled payment dates may be modified.

Risk Considerations and Principal Exposure

The filing identifies substantial risks inherent in the notes, beginning with the requirement that investors must be willing to accept the risk of losing a significant portion or all of their principal. The dual-underlying structure creates a "worst-of" dynamic: investors receive protection at the interest barrier only if both assets remain above 70% of initial value, but face principal loss if either asset falls below 50% of initial value. This asymmetric payoff structure means downside from either the broad equity market (S&P 500) or the concentrated semiconductor sector (VanEck Semiconductor ETF) will directly reduce principal repayment.

Additionally, the filing emphasizes that investors must be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive contingent interest payments. If either underlying falls below its interest barrier on any review date, no contingent interest is paid for that month. Over a 23-month term with monthly reviews, extended periods of underperformance could result in zero contingent interest payments despite principal remaining at risk. The notes are unsecured obligations subject to the credit risk of JPMorgan Chase Financial and the credit guarantee of JPMorgan Chase & Co., adding counterparty risk to market risk.

Estimated Value and Discount Implications

The filing discloses that if the notes priced on the date of filing, the estimated value would be approximately $956.90 per $1,000 principal amount note. This represents an approximate 4.31% discount to par, suggesting that the issuer's estimated value of the embedded options and contingent payment features is approximately $43.10 per note. The filing commits that when terms are finalized in the definitive pricing supplement, the estimated value will not be less than $930.00 per note, establishing a floor but allowing for potential further value fluctuations.

The discount to par reflects the value of the contingent interest opportunity weighed against the issuer's and guarantor's credit risk, the dual-underlying structure with its correlation dynamics, and the investor's exposure to both upside limits (via the automatic call) and downside exposure (via the trigger value mechanism). Investors purchasing at $1,000 and receiving an estimated value of $956.90 are implicitly accepting a 4.31% immediate theoretical loss relative to estimated value, which represents the cost of the structured product's embedded features and distribution margins.

Filing Regulatory Framework and Documentation

The preliminary pricing supplement is issued under Registration Statement Numbers 333-293684 and 333-293684-01, pursuant to Securities and Exchange Commission Rule 424(b)(2), which governs pricing supplements for registered securities. The document is dated July 23, 2026, and is preliminary in nature, with the notation that the information is not complete and may be changed. The filing is explicitly not an offer to sell nor a solicitation to buy in any jurisdiction where such offer or sale is not permitted.

The preliminary pricing supplement references three accompanying documents: a product supplement numbered 3-I dated April 17, 2026; an underlying supplement numbered 1-I dated April 17, 2026; and a prospectus and prospectus supplement both dated April 17, 2026. These accompanying documents contain additional disclosures regarding risk factors, general terms of the notes, details about the underlyings, and information about the plan of distribution. The SEC and state securities commissions have not approved or disapproved of the notes or passed upon the accuracy or adequacy of any of these documents, as explicitly stated in the filing's regulatory language.