JPMorgan Chase Launches Auto-Callable Notes Linked to Japan ETF With 1.25x Upside Leverage and 20% Buffer

Structure and Payment Mechanics of the Callable Notes

The notes are structured as unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, with full and unconditional guarantee from JPMorgan Chase & Co. Investors purchase the notes at $1,000 per note with minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof. The pricing supplement indicates that fees and commissions totaled $7,500.00 on the overall $500,000 offering, with each note carrying a selling commission of $15.00 per $1,000 principal amount.

The estimated value of the notes at the time terms were set was calculated by the issuer using proprietary valuation methodologies. The structure provides investors with three potential outcomes: automatic call before maturity, return of principal with leveraged upside participation if the fund appreciates, or loss of principal if the fund declines substantially beyond the buffer level. Proceeds to the issuer from the offering totaled $492,500.00 after accounting for commissions paid to J.P. Morgan Securities LLC.

Automatic Call Trigger and Settlement Framework

The notes include an automatic call feature that activates on the Review Date of July 27, 2027, if the closing price of one share of the iShares MSCI Japan ETF reaches or exceeds the Share Strike Price of $93.89. If this condition is met, the notes will be automatically called for a cash payment on the Call Settlement Date of July 30, 2027. Investors who hold notes that are called will receive $1,000 principal per note plus a call premium amount equal to 14.55%, providing a total redemption value that reflects the embedded yield of the structured product.

The automatic call feature is subject to postponement in the event of market disruption events or early acceleration if an acceleration event occurs, as detailed in the accompanying product supplement and underlying supplement. Investors should understand that the automatic call represents an embedded cap on their potential returns if the fund appreciates significantly above the strike price before the review date. The call structure effectively transfers upside potential to the issuer once the trigger level is reached, creating a trade-off between enhanced leverage on moderate gains and capped returns on exceptional performance.

Upside Participation and Leverage Factor Details

If the notes are not automatically called by the review date and the Final Share Price on the Valuation Date (July 14, 2028) exceeds the Share Strike Price of $93.89, investors receive uncapped, leveraged exposure to any appreciation of the iShares MSCI Japan ETF. The Upside Leverage Factor of 1.25 multiplies the Fund Return, meaning investors receive 125% of the fund's appreciation above the strike price. At maturity, the payment per $1,000 principal amount note is calculated as $1,000 plus ($1,000 multiplied by Fund Return multiplied by 1.25).

This leveraged upside structure allows investors to benefit from Japan equity market appreciation without the automatic call being triggered, but only if the fund's share price remains below the strike price on July 27, 2027. The combination of 1.25x leverage and uncapped upside creates asymmetric return potential that appeals to investors with bullish intermediate-term outlooks on Japanese equities. However, this leverage applies exclusively to gains; the buffer protection applies to losses as detailed in subsequent sections.

Buffer Protection and Downside Risk Parameters

The notes incorporate a Buffer Amount of 20.00%, meaning investors receive full principal return if the Final Share Price declines by up to 20% from the Share Strike Price of $93.89. In this scenario, investors break even on their $1,000 principal investment despite market declines up to the 20% threshold, effectively receiving insurance against moderate downside moves in the Japan ETF. If the Final Share Price equals the Share Strike Price or is less than the Share Strike Price by up to 20%, investors receive $1,000 principal at maturity on July 19, 2028.

However, if the Final Share Price falls more than 20% below the strike price, investors lose 1.25% of principal for every 1% that the fund declines beyond the 20% buffer threshold. Under these circumstances, the payment at maturity is calculated as $1,000 plus [$1,000 multiplied by (Fund Return plus 20.00%) multiplied by 1.25]. This means a fund decline of 30% would result in a loss of 12.5% of the original principal investment, since the excess decline of 10% is multiplied by the Downside Leverage Factor of 1.25. The pricing supplement explicitly states that investors should be willing to lose some or all of their principal amount at maturity if the Final Share Price falls significantly below the strike price.

Fund Return Calculation and Strike Price Framework

The Fund Return is calculated using the formula (Final Share Price minus Share Strike Price) divided by Share Strike Price. The Share Strike Price of $93.89 represents the closing price of one share of the iShares MSCI Japan ETF on the Strike Date of July 14, 2026, and notably, the filing states this price was not determined by reference to the closing price on the Pricing Date of July 15, 2026. This distinction is important because it means the strike price was set one day before official pricing, potentially reflecting anticipated market conditions or issuer risk management preferences.

The Final Share Price will be determined as the closing price of one share of the fund on the Valuation Date of July 14, 2028. The Share Adjustment Factor, initially set equal to 1.0 on the Strike Date, may be subject to adjustment upon the occurrence of certain events affecting the fund, such as splits, mergers, or special distributions. Investors should monitor communications regarding any anti-dilution adjustments that may affect the calculation mechanics, as such adjustments are detailed in the accompanying product supplement.

Interest, Dividends, and Principal Considerations

The pricing supplement states that investors should be willing to forgo interest and dividend payments on these notes. Unlike conventional bond investments that typically provide periodic coupon payments, these structured notes offer returns solely through appreciation in the underlying fund or redemption at par if the automatic call is triggered. This structure means investors receive no interim cash flows during the approximately two-year holding period from the original issue date of July 20, 2026, until maturity on July 19, 2028.

Furthermore, investors receive no benefit from dividend payments made by the iShares MSCI Japan ETF during the note term. Any dividends paid by Japanese companies held within the ETF accrue to the fund holders directly, not to note investors. This design shifts the focus entirely to capital appreciation or depreciation of the fund share price, eliminating the traditional diversification benefit of dividend yield that accompanies direct equity or ETF ownership. Investors considering this product should incorporate this dividend forgone into their return expectations and comparative analysis against direct fund ownership.

Issuer and Guarantor Credit Considerations

The notes are obligations of JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. The pricing supplement 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 guarantor. This dual credit exposure means investors must evaluate the creditworthiness of both entities, although JPMorgan Chase & Co. provides an unconditional guarantee of the notes.

The filing notes 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 in their deposit sense. While the guarantee from JPMorgan Chase & Co. provides significant security, investors should understand that if both JPMorgan Financial and JPMorgan Chase & Co. experience financial distress, payment of the notes could be affected. The unsecured nature of these obligations means investors rank as general unsecured creditors, with no specific collateral backing their claims beyond the full faith and credit of the guarantor.

Key Dates, CUSIP, and Registration Framework

The notes were priced on July 15, 2026, with an original issue date of approximately July 20, 2026, representing the settlement date. Critical monitoring dates for investors include the Review Date of July 27, 2027, when the automatic call determination is made, and the Call Settlement Date of July 30, 2027, when called notes would be redeemed. For notes that remain uncalled, the Valuation Date of July 14, 2028, determines the Final Share Price used to calculate maturity payments, with final maturity occurring on July 19, 2028.

The notes carry CUSIP 46661KPP7 for identification and trading purposes. The offering was registered under Registration Statement Nos. 333-293684 and 333-293684-01 filed with the SEC. The pricing supplement supplements the prospectus dated April 17, 2026, prospectus supplement dated April 17, 2026, product supplement no. 3-I dated April 17, 2026, and underlying supplement no. 1-I dated April 17, 2026. Investors should review all four documents in conjunction with this pricing supplement to gain complete understanding of the terms, risks, and legal framework governing these structured notes.

Risk Factors and Investment Suitability Guidance

The pricing supplement directs investors to comprehensive risk discussions in multiple sections: "Risk Factors" beginning on page S-2 of the accompanying prospectus supplement, "Risk Factors" beginning on page PS-12 of the accompanying product supplement, and "Selected Risk Considerations" beginning on page PS-5 of the pricing supplement itself. These sections address risks not associated with conventional debt securities, including market risk, credit risk, liquidity risk, currency risk (given Japan ETF exposure), and structural risks inherent in auto-callable and leveraged products.

The filing explicitly urges investors to consult with investment, legal, tax, accounting, and other advisers before investing in the notes. The structured nature of these securities, combined with embedded leverage, buffers, and automatic call features, makes them suitable primarily for sophisticated investors with specific market outlooks and risk tolerances. The lack of interest or dividend payments, combined with potential for principal loss in declining markets, represents a departure from traditional fixed-income investment characteristics that investors should carefully evaluate against their financial objectives and constraints.