JPMorgan Chase Launches $600,000 Auto Callable Notes Linked to Volatility Strategy Index

Index Foundation and Underlying Mechanism

The MerQube US Large-Cap Vol Advantage Index was developed by MerQube in coordination with J.P. Morgan Securities LLC and established on February 11, 2022. The index attempts to provide exposure to an unfunded rolling position in E-mini S&P 500 futures contracts while targeting a specific level of implied volatility. An affiliate of JPMorgan currently holds an approximately 10% equity interest in MerQube, and an employee of J.P. Morgan Securities is a member of the index sponsor's board of directors. The index consists of stocks selected to provide a performance benchmark for U.S. equity markets, with the underlying E-mini S&P 500 futures contracts referencing the broader S&P 500 Index.

The index employs a dynamic rules-based approach that sets exposure to the futures contracts based on implied volatility targets, with maximum exposure capped at 500% and minimum exposure at 0%. A critical feature disclosed in the pricing supplement is that the index is subject to a 6.0% per annum daily deduction that accrues continuously. This annual drag will offset any appreciation of the included futures contracts and will heighten any depreciation, effectively creating a performance headwind for investors throughout the five-year investment period.

Contingent Interest Payment Structure and Barriers

The notes provide investors with contingent interest payments contingent upon index performance relative to specified barrier levels. The interest barrier is set at 70% of the initial value, which the filing calculates as 2,989.224 based on an initial index level of 4,270.32 as of the pricing date of July 16, 2026. If the closing level of the index on any review date equals or exceeds this interest barrier, investors will receive a contingent interest payment equal to $36.25 per $1,000 principal amount note, representing a quarterly payment rate of 3.625%, or 14.50% annualized.

The contingent nature of these payments means that if the index closes below the 70% interest barrier on any review date, no interest payment will be made for that period. Review dates occur quarterly, beginning October 16, 2026, and continuing through the final review date of July 16, 2031. The filing explicitly warns that investors should be willing to forgo traditional fixed interest and dividend payments in exchange for the opportunity to receive these contingent interest payments, acknowledging the uncertainty associated with receiving any payments beyond principal return.

Automatic Call Mechanism and Early Termination

The notes incorporate an automatic call feature that allows for early termination if the index reaches a specified call value of 85% of the initial value on eligible review dates. The filing indicates that the earliest date on which an automatic call may occur is July 16, 2027, excluding the first, second, third, and final review dates from the automatic call trigger. If the index closes at or above the call value on any qualifying review date, the notes will be automatically called for a cash payment equal to $1,000 principal plus the applicable contingent interest payment for that review date, with settlement on the first interest payment date following the call review date.

This automatic call feature creates a capped return scenario for investors. If index performance appreciates strongly enough to trigger the call value, investors receive their principal plus accrued contingent interest but no further upside participation. The filing specifies that no further payments will be made on the notes once an automatic call occurs, effectively limiting the investment horizon depending on index performance.

Principal Risk and Downside Protection Thresholds

The notes expose investors to significant principal risk if the index declines substantially from its initial level. The filing defines a trigger value of 50% of the initial value, calculated as 2,135.16 based on the initial index level of 4,270.32. At maturity, if the index has not triggered an automatic call and the final index value is greater than or equal to this 50% trigger value, investors receive their $1,000 principal plus any applicable contingent interest payment from the final review date.

However, if the final index value falls below the 50% trigger value, investors' maturity payment is calculated as $1,000 plus a loss amount equal to the index return percentage applied to the original $1,000 principal. The filing explicitly cautions that if this downside scenario occurs, investors will lose more than 50% of their principal amount at maturity and could lose all of their principal amount at maturity. This outcome structure means that approximately 30 percentage points of index decline (from 100% to 70% of initial value) provide no contingent interest payment, and further declines beyond 50% result in accelerating principal losses.

Pricing Terms and Distribution Details

The notes were priced on July 16, 2026, at $1,000 per note with minimum denominations of $1,000 and integral multiples thereof. The total principal amount offered was $600,000, with expected settlement on or about July 21, 2026. Each note carries a CUSIP identifier of 46661CUR5 for trading and settlement purposes. The price to public of $1,000 per note includes fees and commissions of $7.50 per note, resulting in proceeds to the issuer of $992.50 per note, or $595,500 in aggregate on the $600,000 principal offering.

J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, is responsible for paying all selling commissions of $7.50 per $1,000 principal amount note to affiliated or unaffiliated dealers participating in the distribution. The filing notes that the estimated value of the notes when the terms were set was $930.40 per $1,000 principal amount note, representing a difference from the public offering price that reflects the embedded options and index-linked features.

Credit Structure and Guarantee Terms

The notes are issued by JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co. Payments on the notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent company. The filing discloses that the notes are unsecured and unsubordinated obligations of the issuer, meaning they are not backed by specific collateral but rank equally with other unsecured debt of the financial company. Any payment on the notes remains subject to the credit risk of both JPMorgan Chase Financial Company LLC as the issuer and JPMorgan Chase & Co. as the guarantor.

The filing clarifies that 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. Investors rely on the creditworthiness of JPMorgan entities for repayment. This structure is typical for structured notes issued by financial institutions but differs from traditional bank deposit insurance coverage and represents a reliance on the counterparty's financial stability.

Review Dates and Payment Schedule Through Maturity

The notes establish a regular schedule of review dates and corresponding interest payment dates spanning the five-year term to maturity. Review dates occur on October 16, 2026, January 19, 2027, April 16, 2027, and then quarterly thereafter through the final review date of July 16, 2031, for a total of 21 review dates. Each review date is paired with a corresponding interest payment date occurring approximately five business days later, with the final interest payment date coinciding with the maturity date of July 21, 2031.

The filing notes that all review dates and interest payment dates are subject to postponement in the event of a market disruption event as described in the accompanying underlying supplement and product supplement. This postponement provision protects both the issuer and investors by allowing adjustment of payment schedules if market conditions prevent normal determination of the index level or settlement of payments. The regular quarterly schedule of review dates provides investors with frequent opportunities for the notes to be called away or for contingent interest to accrue.

Investment Considerations and Disclosed Risks

The filing identifies several key risk factors that investors should understand before purchasing the notes. The index itself is subject to a 6.0% per annum daily deduction that accumulates throughout the investment period, creating a significant performance drag that will offset any index appreciation and heighten any depreciation. The filing explains that this daily deduction will generally be a drag on the performance of the index and that the index will trail the performance of an identical index without such a deduction, impacting the likelihood of meeting contingent interest and call value thresholds.

The filing explicitly states 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. Given that no contingent interest accrues if the index falls below 70% of its initial value, and principal losses accelerate if the index falls below 50%, the investment profile includes substantial downside scenarios. The notes also require investors to forgo fixed interest and dividend payments, accepting principal risk in exchange for the potential for quarterly contingent interest payments of 3.625% if performance conditions are met.

Regulatory Framework and Legal Standing

The pricing supplement is filed as a Rule 424(b)(2) prospectus supplement under the Securities Act of 1933, with registration statement numbers 333-293684 and 333-293684-01. The offering is made pursuant to pricing supplement no. 3-I dated April 17, 2026, underlying supplement no. 5-I dated April 17, 2026, and a prospectus and prospectus supplement each dated April 17, 2026. This regulatory framework ensures that detailed disclosure documents are available to investors describing the notes, the index, and associated risks.

The filing includes standard securities law disclaimers 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 materials. The filing warns that any representation to the contrary constitutes a criminal offense. This disclosure reflects standard regulatory requirements for structured note offerings and emphasizes that regulatory approval has not been obtained beyond the registration statement framework.