JPMorgan Chase Issues Auto Callable Notes Linked to Tech Volatility Index Due 2028

Contingent Interest Payment Structure and Monthly Review Schedule

The notes offer investors contingent interest payments contingent upon Index performance evaluated on 25 Review Dates spanning from August 31, 2026, through July 31, 2028. The disclosure states that if the Index closes at or above the Interest Barrier of 70.00% of the Initial Value on any Review Date, holders will receive a Contingent Interest Payment equal to at least $10.8333 per $1,000 principal amount on the applicable Interest Payment Date. This structure provides monthly income opportunities, with Interest Payment Dates scheduled approximately every 30 days throughout the note term.

However, the filing emphasizes that if the Index closes below the Interest Barrier on any Review Date, no Contingent Interest Payment will be made with respect to that particular date. The contingent nature of these payments means investors cannot rely on receiving income in every month the notes are outstanding. The filing notes that investors should be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive these contingent monthly payments, indicating the trade-off inherent in the note structure.

Automatic Call Feature and Early Redemption Mechanics

The notes incorporate an automatic call feature designed to limit investor upside if the underlying Index performs strongly. According to the disclosure, if the closing level of the Index on any Review Date—excluding the first eleven and final Review Dates—reaches or exceeds the Initial Value, the notes will be automatically called for cash redemption. The earliest date on which an automatic call may be initiated is August 2, 2027, approximately one year after the expected settlement date.

When automatically called, investors will receive for each $1,000 principal amount 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 following the call Review Date. The filing states that no further payments will be made on the notes following an automatic call. This feature caps the investment's upside potential while still allowing investors to recover principal and any accrued contingent interest if the technology-focused index performs well.

Principal Protection Buffer and Downside Risk Parameters

The notes incorporate a 15.00% buffer, meaning that investors face potential principal loss only if the Index declines below 85.00% of the Initial Value by the final Review Date. The filing discloses that if the notes have not been automatically called and the Final Value (Index level on the final Review Date) is at or above the Buffer Threshold of 85.00% of the Initial Value, investors will receive their full $1,000 principal plus any applicable final contingent interest payment.

Should the Index close below the Buffer Threshold at maturity, investors will experience principal loss calculated as follows: $1,000 plus the result of multiplying $1,000 by the sum of the Index Return plus the 15.00% Buffer Amount. The filing explicitly warns that if the notes have not been automatically called and the Final Value is less than the Buffer Threshold, investors will lose some or most of their principal amount at maturity. This means the maximum potential loss is approximately 85.00% of principal, representing a significant downside risk investors must accept.

Index Composition and Daily Deduction Framework

The notes are linked to the MerQube US Tech+ Vol Advantage Index, which was established on June 22, 2021, and is developed and maintained by MerQube in coordination with J.P. Morgan Securities LLC. The filing discloses that the Index level reflects a deduction of 6.0% per annum that accrues daily, and the performance of the Invesco QQQ Trust Series 1 (the "QQQ Fund") within the Index is subject to a notional financing cost that also accrues daily.

These daily deductions create a structural headwind for Index performance. The filing explains that these deductions will offset any appreciation of the Index components, will heighten any depreciation of those components, and will generally act as a drag on the Index's performance. Consequently, the Index will trail the performance of an identical index without such deductions. An affiliate of JPMorgan currently holds an approximately 10% interest in the Index Sponsor, which may create additional considerations for investors regarding potential conflicts of interest in the Index's calculation and maintenance.

Pricing, Valuation, and Distribution Terms

The disclosure indicates that investors should pay $1,000 per note as the price to public, with selling commissions not to exceed $6.50 per $1,000 principal amount note. J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, will pay all selling commissions it receives to other affiliated or unaffiliated dealers, according to the filing. The notes will be issued in minimum denominations of $1,000 and integral multiples thereof, with a CUSIP of 46661KWJ3.

The filing provides an estimated value of the notes at $964.00 per $1,000 principal amount if the notes priced on the filing date. However, the disclosure states that when the terms of the notes are finalized, the estimated value will not be less than $900.00 per $1,000 principal amount note. The filing notes that specific pricing components and the final Contingent Interest Rate will be provided in the definitive pricing supplement upon pricing, which was expected to occur on or about July 31, 2026, with settlement anticipated on or about August 5, 2026.

Issuer Credit Risk and Guarantee Structure

The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. The filing states that payment on the notes is fully and unconditionally guaranteed by JPMorgan Chase & Co., providing investors with recourse to one of the United States' largest financial institutions. However, the disclosure explicitly warns that any payment on the notes is subject to the credit risk of both JPMorgan Financial as the issuer and JPMorgan Chase & Co. as the guarantor.

Investors should recognize that despite the guarantee from the parent company, the notes remain subject to the creditworthiness of JPMorgan entities. The filing emphasizes that the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank in that capacity. This distinction is significant for investors accustomed to FDIC protection on traditional bank products.

Interest Barrier Threshold and Contingent Income Mechanics

The 70.00% Interest Barrier establishes the minimum Index performance level required to trigger contingent interest payments on any given Review Date. The filing describes this mechanism as integral to the note's risk-return profile: if the Index closes at or above this barrier, investors receive approximately 1.08333% per month in contingent interest, equivalent to at least 13.00% per annum. This relatively high contingent rate compensates investors for accepting the risk of receiving no payment in months when the Index declines to or below the 70% threshold.

The disclosure notes that investors should be willing to accept the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. This language underscores the potential for extended periods without income if the underlying tech-focused index experiences weakness. For investors dependent on regular income distributions, the absence of guaranteed minimum payments during downturns represents a material consideration.

Risk Disclosures and Principal Loss Scenarios

The filing explicitly states that investors should be willing to accept the risk of losing up to 85.00% of their principal, a significant warning that appears prominently in the pricing supplement. This maximum loss scenario occurs if the Index declines more than 15% from its Initial Value by the final Review Date and the notes remain uncalled throughout their two-year life. The filing emphasizes that these notes are designed for investors with a high risk tolerance and substantial loss capacity.

The disclosure further warns that investors should also be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive Contingent Interest Payments, highlighting the structural trade-offs of the investment. The combination of the daily 6.0% annual deduction on the Index and the notional financing costs on the QQQ Fund component creates ongoing performance headwinds that could reduce both the likelihood of contingent interest payments and the probability of principal preservation at maturity.

Registration Statement and SEC Oversight Disclaimers

The preliminary pricing supplement is filed pursuant to Registration Statement Nos. 333-293684 and 333-293684-01 under SEC Rule 424(b)(2), indicating that the securities are being offered through an effective shelf registration statement previously filed by JPMorgan. The filing includes the standard SEC disclaimer 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 and accompanying documentation. The disclosure warns that any representation to the contrary constitutes a criminal offense.

The notes are accompanied by related documents including a prospectus, prospectus supplement, product supplement no. 3-I dated April 17, 2026, and underlying supplement no. 5-I dated April 17, 2026, all of which contain additional detailed risk factors, terms, and conditions. Investors are directed to review these comprehensive documents before making investment decisions, as they contain information regarding market disruption events, postponement procedures, and additional risk considerations that are incorporated by reference into the pricing supplement.