JPMorgan Chase Issues $500,000 Auto-Callable Notes Linked to MerQube Volatility Index

Pricing and Terms of the Structured Notes

JPMorgan Chase Financial Company LLC priced the auto-callable contingent interest notes on July 16, 2026, with a public offering price of $1,000 per note and fees and commissions of $7.50 per note, resulting in net proceeds to the issuer of $992.50 per note. The filing indicates that the estimated value of the notes when terms were set was $927.60 per $1,000 principal amount note, representing a spread between pricing and estimated value. The notes are issued in minimum denominations of $1,000 and integral multiples thereof, with expected settlement on or about July 21, 2026. JPMorgan Chase & Co. fully and unconditionally guarantees the notes, though investors bear credit risk related to both the issuer and the guarantor. The notes are unsecured and unsubordinated obligations, meaning they rank equally with other unsecured debt of the issuer.

Total aggregate principal amount of the offering is $500,000, with total fees and commissions of $3,750 and total proceeds to the issuer of $496,250. J.P. Morgan Securities LLC acts as agent for the financial company in distributing the selling commissions to affiliated or unaffiliated dealers. The notes are assigned CUSIP number 46661CUP9 for identification and trading purposes. As structured products, 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, distinguishing them from traditional savings or deposit accounts.

Contingent Interest Payment Structure and Mechanics

The notes provide contingent interest payments only if specific performance conditions are met on designated review dates. If the notes have not been automatically called and the closing level of the MerQube US Large-Cap Vol Advantage Index on any review date is greater than or equal to the Interest Barrier of 70% of the initial value (2,989.224), investors receive a contingent interest payment of $83.75 per $1,000 principal amount on the applicable interest payment date. This equates to a contingent interest rate of 16.75% per annum, payable at a rate of 8.375% semiannually. If the index closes below the Interest Barrier on any review date, no contingent interest payment is made with respect to that review date, creating asymmetric risk for note holders.

Review dates are scheduled for January 19, 2027, July 16, 2027, January 18, 2028, July 17, 2028, January 16, 2029, July 16, 2029, January 16, 2030, July 16, 2030, January 16, 2031, and July 16, 2031 (the final review date). Interest payment dates follow each review date by approximately three business days. All review dates and interest payment dates are subject to postponement in the event of a market disruption event as described in the underlying and product supplements. The structure creates a scenario where investors may receive no contingent interest payments for extended periods if index performance remains below the 70% barrier, while simultaneously forgoing fixed interest and dividend payments that would otherwise be available through traditional investments.

Automatic Call Feature and Early Redemption Risk

The notes incorporate an automatic call feature that may be triggered if the index closes at or above the Call Value of 90% of the initial value on any review date, excluding the first review date (January 19, 2027) and the final review date (July 16, 2031). The earliest date on which an automatic call may be initiated is July 16, 2027. If the automatic call is triggered, the notes will be redeemed for a cash payment equal to $1,000 plus the contingent interest payment applicable to that review date, with settlement occurring on the first interest payment date immediately following the triggering review date. No further payments will be made on the notes after an automatic call occurs.

This automatic call feature creates reinvestment risk for investors, as early redemption may occur in a declining rate or yield environment, forcing investors to redeploy capital at potentially less attractive terms. The filing notes 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 payment may be made with respect to some or all review dates. The automatic call also limits the upside participation, as investors do not benefit from index appreciation beyond the 90% call threshold; instead, they receive only principal plus a single contingent interest payment regardless of how much further the index appreciates.

Maturity Payments and Principal Repayment Scenarios

At maturity on July 21, 2031, the payment to note holders depends on whether the notes have been called and on the Final Value of the index relative to the Trigger Value. If the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value of 50% of the initial value (2,135.16), investors receive $1,000 principal plus the contingent interest payment, if any, applicable to the final review date. This scenario results in full principal recovery even if the index has experienced significant depreciation. However, if the notes have not been called and the Final Value falls below the Trigger Value, the payment at maturity is calculated as $1,000 plus ($1,000 multiplied by the Index Return), where Index Return equals (Final Value minus Initial Value) divided by Initial Value.

The filing explicitly discloses that if the Final Value is less than the Trigger Value, investors will lose more than 50% of their principal amount at maturity and could lose all of their principal amount. For example, if the index declines by 60%, the Index Return would be negative 0.60, resulting in a maturity payment of $1,000 plus ($1,000 times negative 0.60), or $400 per note—a 60% loss of principal. If the index declines by 100%, the payment would be zero, representing a total loss of principal. The Initial Value is established as the closing level of the index on the pricing date, which was 4,270.32. This substantial downside exposure distinguishes the notes from traditional fixed-income securities and requires investors to carefully evaluate their tolerance for equity market risk.

The MerQube Index Composition and Leverage Strategy

The MerQube US Large-Cap Vol Advantage Index, which serves as the underlying reference for the notes, was developed by MerQube in coordination with J.P. Morgan Securities LLC and is maintained and calculated by MerQube. The index was established on February 11, 2022. The filing discloses that an affiliate of JPMorgan currently holds approximately 10% equity interest in the Index Sponsor, and an employee of J.P. Morgan Securities LLC serves as a member of the board of directors of the Index Sponsor, creating potential conflicts of interest in index governance and calculation.

The Index attempts to provide dynamic rules-based exposure to an unfunded rolling position in E-mini S&P 500 futures contracts, which reference the S&P 500 Index. The index targets a specific level of implied volatility with maximum exposure to the futures contracts of 500% and minimum exposure of 0%, meaning the index uses significant leverage to amplify returns and volatility. On each weekly index rebalance day, the exposure to the futures contracts is set equal to the 35% implied volatility target divided by the one-week implied volatility of the State Street SPDR S&P 500 ETF Trust (ticker: SPY), subject to the maximum exposure cap. This dynamic rebalancing mechanism causes the index to increase exposure when volatility declines and reduce exposure when volatility rises, creating a rules-based algorithmic management approach distinct from traditional passive indexing.

Daily Deduction and Index Drag Impact

The MerQube US Large-Cap Vol Advantage Index is subject to a 6.0% per annum daily deduction that accrues daily and significantly impacts the long-term performance of the notes. The filing emphasizes that this daily deduction will offset any appreciation of the futures contracts included in the index, will heighten any depreciation of those futures contracts, and will generally be a drag on the performance of the index. The index will trail the performance of an identical index without the deduction. This cost structure means that even if the underlying S&P 500 futures contracts perform flat, the index will decline by approximately 6% per annum purely due to this deduction, assuming daily compounding.

The purpose of this deduction is not explicitly stated in the filing but appears to be related to the costs associated with maintaining the rolling futures positions and the dynamic volatility targeting strategy. Over the five-year life of the notes to maturity in 2031, the cumulative impact of this 6.0% annual deduction will be substantial, requiring significant appreciation in the underlying futures contracts merely to preserve capital. Investors should understand that the Interest Barrier of 70% and the Trigger Value of 50% are measured against an index that has already incorporated five years of these daily deductions, meaning the underlying S&P 500 futures would need to significantly outperform historical averages to avoid principal loss.

Risk Disclosure and Investor Suitability Considerations

The filing provides prominent warnings 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 payment 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 warnings reflect the substantial and multifaceted risks inherent in the structured notes. The filing directs investors to comprehensive risk factor disclosures in the accompanying prospectus supplement, product supplement, underlying supplement, and the pricing supplement itself for detailed discussion of risks.

The notes are designed for investors seeking contingent interest payments with upside potential based on index performance, but this design introduces complexity and asymmetric payoff structures. The automatic call feature caps upside, the contingent interest barrier creates periods with no interest income, the daily deduction continuously erodes returns, and the leverage and volatility dynamics of the underlying index amplify both gains and losses. The notes are not suitable for conservative investors seeking principal preservation or steady income, nor are they appropriate for investors unable to tolerate substantial potential losses or understand the mechanics of futures-based indices, volatility targeting, and structured financial products.

Guarantee Structure and Credit Risk

JPMorgan Chase & Co. provides a full and unconditional guarantee of payments on the notes issued by its subsidiary, JPMorgan Chase Financial Company LLC. Despite this guarantee, the filing emphasizes 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 disclosure means that if either entity experiences financial distress, investors' ability to receive full payment could be compromised, despite the guarantee. The notes are unsecured and unsubordinated obligations, meaning they do not have priority over other unsecured debt and in a bankruptcy scenario would compete equally with other general creditors.

The guarantee structure is intended to provide some credit enhancement over notes issued without a parent guarantee, but it does not eliminate credit risk entirely. Investors are relying on the financial stability and creditworthiness of the JPMorgan Chase organization. The filing does not provide any specific credit ratings for the notes or the guarantor, and investors should consult credit rating agencies and the full prospectus supplements for comprehensive credit analysis. The guarantee represents a contractual obligation but would not protect investors from losses resulting from index performance declining below specified thresholds at maturity.

Regulatory Approvals and Offering Mechanics

The pricing supplement is filed under Registration Statement Nos. 333-293684 and 333-293684-01 and constitutes a Rule 424(b)(2) filing with the Securities and Exchange Commission. The filing represents a pricing supplement to product supplement no. 3-I dated April 17, 2026, underlying supplement no. 5-I dated April 17, 2026, and the prospectus and prospectus supplement, each dated April 17, 2026. This regulatory structure means that the complete offering documents consist of multiple layers of disclosure, with the pricing supplement providing the specific final terms while the underlying supplements and prospectus provide general disclosure about the product structure, index, and risks.

The filing includes a standard SEC disclaimer stating that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or adequacy of the pricing supplement or accompanying documents, and that any representation to the contrary constitutes a criminal offense. This language emphasizes that regulatory filing and approval are distinct concepts; the SEC's acceptance of the registration statement and pricing supplement does not constitute approval of the investment merits or suitability of the notes for any particular investor. Investors are responsible for conducting their own analysis and consulting with financial advisors before making investment decisions.