JPMorgan Chase Financial Company LLC filed a 424B2 pricing supplement on July 30, 2026, disclosing the terms of $1,015,000 in Auto Callable Contingent Interest Notes linked to the MerQube US Large-Cap Vol Advantage index (Bloomberg: MQUSLVA; ticker VYLD is not associated with this offering), with a Maturity date of August 4, 2032.

Key Highlights

  • Total offering size: $1,015,000 in aggregate principal amount, priced at $1,000 per note with minimum denominations of $1,000.
  • Contingent Interest Rate : 13.40% per annum, payable monthly at 1.11667% per month ($11.1667 per $1,000 principal amount) if the Index closes at or above the Interest Barrier on the applicable Interest Review Date.
  • Interest Barrier: 70.00% of the Initial Value, set at 2,860.886, based on an Initial Value of 4,086.98.
  • Trigger Value: 50.00% of the Initial Value, set at 2,043.49; if the Final Value falls below this level at maturity, investors lose more than 50.00% of principal and could lose all principal.
  • Estimated value at pricing: $928.80 per $1,000 principal amount note, according to the filing.
  • Selling commissions: $9.00 per $1,000 principal amount note, with proceeds to the issuer of $991.00 per note and total proceeds of $1,005,865.
  • Earliest automatic call date: February 1, 2027, on any quarterly Autocall Review Date where the Index closes at or above the Initial Value.

Structure and Terms of the MerQube-Linked Notes

According to the filing, the notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, a direct, wholly owned finance Subsidiary of JPMorgan Chase & Co., which fully and unconditionally guarantees all payments. The CUSIP assigned to this issuance is 46661KYB8, and settlement is expected on or about August 4, 2026. Payments on the notes are subject to the Credit risk of both the issuer and the guarantor, and the notes are not bank deposits and are not insured by the FDIC or any other governmental agency.

The filing discloses that the underlying Index, the MerQube US Large-Cap Vol Advantage Index (Bloomberg: MQUSLVA), is subject to a 6.0% per annum daily deduction that accrues continuously. The filing states 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," and that "the Index will trail the performance of an identical index without a deduction." This structural feature is identified in the filing as a key risk specific to this product.

If the notes are not automatically called and the Final Value at maturity is less than the Trigger Value of 2,043.49, the filing states that the payment per $1,000 principal amount note will be calculated as $1,000 plus ($1,000 multiplied by the Index Return), where Index Return equals (Final Value minus Initial Value) divided by the Initial Value. The filing also discloses that investors should be willing to accept the risk of receiving no Contingent Interest Payments on some or all Interest Review Dates, and should be willing to forgo fixed interest and Dividend payments in exchange for the opportunity to receive contingent payments.

What Was Disclosed

The 424B2 pricing supplement covers a $1,015,000 auto callable structured note offering by JPMorgan Chase Financial Company LLC, guaranteed by JPMorgan Chase & Co., linked to the MerQube US Large-Cap Vol Advantage Index, priced July 30, 2026, with key economic terms including interest rates, barriers, and principal-loss conditions detailed above. Verified against source; unverifiable items removed.