JPMorgan Chase Financial Launches Auto Callable Notes Linked to Tech Volatility Index With 8.50% Contingent Interest

Product Structure and Contingent Interest Mechanics

The Auto Callable Contingent Interest Notes represent a structured investment vehicle designed to provide enhanced income through monthly contingent interest payments rather than traditional fixed coupon rates. The notes deliver contingent interest payments equal to at least $7.0833 per $1,000 principal amount, or at least 0.70833% per month, equivalent to at least 8.50% annualized, contingent upon the closing level of the MerQube US Tech+ Vol Advantage Index maintaining a position at or above the interest barrier of 50.50% of the initial value on each monthly interest review date. This structure creates a monthly income opportunity that activates only when specific market conditions are met.

A key feature of the notes is the accumulation mechanism for unpaid contingent interest payments. If the index closes below the interest barrier on any interest review date, the corresponding monthly contingent interest payment is not made. However, if the index subsequently recovers to meet or exceed the interest barrier on a later interest review date, the investor receives not only that month's contingent interest but also any previously unpaid contingent interest payments from earlier months. This catch-up provision allows investors to recover missed payments if market conditions improve, though investors forfeit any unpaid contingent interest if the index fails to breach the interest barrier on all subsequent interest review dates through maturity.

Automatic Call Feature and Early Redemption Terms

The notes incorporate an automatic call mechanism that provides JPMorgan Chase Financial Company LLC with the ability to redeem the notes early if market conditions favor the issuer. The automatic call is triggered if the closing level of the MerQube US Tech+ Vol Advantage Index reaches or exceeds the initial value on any quarterly autocall review date. The earliest date on which an automatic call may be initiated is July 26, 2027, providing investors with a minimum holding period of approximately one year before early redemption becomes possible. If an automatic call occurs, investors receive a cash payment equal to $1,000 principal per note plus the contingent interest applicable to that autocall review date's corresponding interest review date, plus any previously unpaid contingent interest payments.

The automatic call feature creates an asymmetric payoff structure favoring the issuer. While investors benefit from contingent interest payments if the index remains above the barrier, they face the risk of early redemption if the index appreciates significantly. Upon automatic call, investors receive their principal and accrued contingent interest but forfeit the opportunity to participate in further index appreciation beyond that point. This structure is typical of structured products designed to provide income while limiting the issuer's exposure to unlimited upside participation.

Maturity Outcomes and Principal Protection Buffer

The notes mature on July 29, 2031, unless previously called. At maturity, the payment to investors depends on whether the final value of the index exceeds the buffer threshold of 85% of the initial value. If the final value is at or above this buffer threshold, investors receive the full $1,000 principal per note plus the final contingent interest payment and any previously unpaid contingent interest. This outcome provides full principal return along with accumulated interest income, representing the most favorable scenario for investors at maturity.

However, if the final value of the index falls below the buffer threshold of 85% of the initial value, investors face principal loss. The payment at maturity is calculated as $1,000 plus the product of $1,000 multiplied by the index return plus the 15% buffer amount. This formula means that if the index declines by more than 15%, investors lose principal dollar-for-dollar beyond the buffer. The disclosure states that investors should be willing to accept the risk of losing up to 85% of their principal, indicating that the index could theoretically decline 85% from its initial value by the maturity date, with investors receiving minimal or no capital recovery.

Index Composition and Cost Drag Mechanics

The notes are linked to the MerQube US Tech+ Vol Advantage Index, identified by Bloomberg ticker MQUSTVA. This index is designed to provide exposure to technology stocks with consideration for volatility dynamics, incorporating the Invesco QQQ Trust Series 1, commonly known as the QQQ Fund, which tracks the Nasdaq-100 Index. The index methodology reflects sophisticated construction intended to balance growth exposure with volatility management, creating a specialized benchmark for investors seeking technology sector participation with dampened volatility characteristics.

A critical cost component embedded in the index is a daily deduction of 6.0% per annum that accrues continuously throughout the life of the notes. Additionally, the performance of the QQQ Fund within the index is subject to a notional financing cost that also accrues daily. The disclosure emphasizes that these deductions will offset any appreciation in the index components, heighten any depreciation, and generally represent a drag on index performance. The index will underperform an identical index without such deductions, meaning investors effectively bear the cost of these embedded deductions, which accumulate significantly over the five-year maturity period. This structural cost feature represents a substantial economic headwind that must be overcome through index appreciation for investors to achieve positive returns.

Credit Risk and Issuer Characteristics

The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co. JPMorgan Chase & Co., the parent company, provides a full and unconditional guarantee of all payment obligations on the notes. This guarantee structure means that while the legal obligation originates from JPMorgan Chase Financial, investors have recourse to JPMorgan Chase & Co. if JPMorgan Chase Financial fails to meet its obligations. The 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 in the traditional sense, despite the banking parentage of the issuer.

The credit quality of the investment depends entirely on the creditworthiness of both JPMorgan Chase Financial as the primary obligor and JPMorgan Chase & Co. as guarantor. While both entities are part of one of the world's largest financial institutions, any payment on the notes remains subject to the credit risk of both entities. Investors purchasing these notes assume counterparty risk with JPMorgan Chase Financial and JPMorgan Chase & Co., meaning that if either entity experiences financial distress, the ability to receive full payment of principal and interest could be impaired regardless of index performance.

Pricing, Valuation, and Distribution Terms

The notes are expected to price on or about July 24, 2026, with settlement expected on or about July 29, 2026. The price to public per $1,000 principal amount note is $1,000, though the disclosure indicates that if the notes priced on the date of the preliminary supplement, the estimated value would be approximately $915.40 per $1,000 principal amount. This valuation gap reflects the embedded costs and risks within the structured product, including the daily index deductions, financing costs, and the value of the automatic call feature held by the issuer. The final estimated value of the notes, when terms are fully set, will be provided in the final pricing supplement and will not be less than $900.00 per $1,000 principal amount note.

J.P. Morgan Securities LLC acts as agent for JPMorgan Chase Financial in distributing the notes. All selling commissions received from the issuer are paid by JPMS to other affiliated or unaffiliated dealers, with total selling commissions capped at $39.00 per $1,000 principal amount note. The notes are offered in minimum denominations of $1,000 and integral multiples thereof, establishing a significant capital commitment threshold for individual investors. The CUSIP number for the notes is 46661KS82, enabling identification and trading of the securities in secondary markets.

Risk Disclosure and Investor Suitability Considerations

The disclosure emphasizes multiple substantial risks that investors must be willing to accept. Investors should be willing to accept the risk of losing up to 85% of their principal amount if the index declines significantly before maturity. Additionally, investors should accept the risk that no contingent interest payment may be made with respect to some or all interest review dates if the index consistently closes below the interest barrier. The notes require investors to forgo fixed interest and dividend payments they might receive from direct index or equity ownership, exchanging this certainty for the opportunity to receive contingent payments only under favorable market conditions.

The structure is designed for a specific investor profile: those seeking enhanced monthly income from structured products who are willing to accept substantial downside risk and the possibility of capital loss. The automatic call feature creates timing uncertainty, potentially terminating the investment at unfavorable times for the investor. The embedded daily deductions mean that the index must appreciate sufficiently not only to cover these costs but also to generate returns above them. Investors must fully understand that structured products of this type transfer significant risks from the issuer to the investor, with returns contingent on specific market conditions being met on specified dates throughout the five-year term.

Market Context and Competitive Positioning

This offering by JPMorgan Chase Financial reflects the ongoing demand for structured investments that provide income enhancement in low-interest-rate environments or periods of market uncertainty. The use of a technology-focused index with volatility management components positions the product for investors seeking growth exposure with income characteristics. The contingent nature of the interest payments appeals to investors willing to accept market-dependent returns in exchange for yields substantially above traditional fixed-income instruments. Technology sector focus, represented through the QQQ Fund component, captures investor interest in growth and innovation without direct equity market participation.

The structured product market has grown substantially as institutional and retail investors seek customized risk-return profiles unavailable through traditional securities. By offering participation in technology index performance combined with monthly income opportunities, JPMorgan Chase Financial creates a product addressing multiple investor objectives simultaneously. The automatic call feature and principal buffer provide marketing advantages by suggesting downside protection, though careful analysis reveals that the 15% buffer provides only limited protection in significant market downturns, and the 6% annual index deduction significantly reduces the likelihood of achieving returns comparable to direct index investment.

Regulatory Status and Registration Details

The preliminary pricing supplement indicates that the notes are offered pursuant to Registration Statement Nos. 333-293684 and 333-293684-01 under Rule 424(b)(2) of the Securities Act of 1933. This registration process provides disclosure and investor protection under the federal securities laws. The supplement explicitly states that the information provided is preliminary and subject to completion, with pricing expected within days of the preliminary supplement date. The Security and Exchange Commission has neither approved nor disapproved the notes, nor passed upon the accuracy or adequacy of the disclosure documents, consistent with standard SEC practice for structured products.

The notes are supported by a comprehensive disclosure package including a prospectus, prospectus supplement, product supplement number 3-I, and underlying supplement number 5-I, all dated April 17, 2026. These documents collectively provide extensive detail regarding the terms, risks, and characteristics of the notes. Investors are directed to review all risk factors disclosed in these documents, beginning on specified pages within each supplement. The multi-document disclosure structure reflects the complexity of structured products and the regulatory requirement to provide investors with substantial information regarding risks and features before committing capital.