JPMorgan Issues Structured Notes Linked to Dow Jones and S&P 500 With 35.40% Return Cap

Structure of the Buffered Notes Offering

JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co., has filed a preliminary pricing supplement for these structured investment notes. The notes represent unsecured and unsubordinated obligations of JPMorgan Financial, with payment fully and unconditionally guaranteed by JPMorgan Chase & Co. The disclosure reveals that investors in these notes are taking on direct credit exposure to both the issuer and the guarantor, making the creditworthiness of JPMorgan Chase entities central to note performance.

The notes are structured around two separate equity indices rather than a single underlying. The disclosure specifies that payments on the notes are linked to the performance of each Index individually, not to a basket of both indices combined. This distinction is material for investors evaluating the mechanics of how returns will be calculated at maturity. The observation date for determining final index performance is set for August 21, 2028, with maturity occurring three days later on August 24, 2028.

Participation and Return Mechanisms

The notes provide what the disclosure describes as an "Upside Scenario" in which investors receive the $1,000 principal amount plus a return equal to 1.00 times the Lesser Performing Index Return, subject to a maximum return cap of at least 35.40%. According to the filing, this maximum payment corresponds to at least $1,354.00 per $1,000 principal amount note. The upside leverage factor of 1.00 means investors participate dollar-for-dollar with index appreciation up to the cap, with no multiplied leverage on gains.

The Lesser Performing Index Return is defined as the lower of the two index returns calculated on a percentage basis. Each Index Return is determined by comparing the Final Value (closing level on the observation date) to the Initial Value (closing level on the pricing date), expressed as a percentage change. This mechanism ensures that investors in the notes are linked to whichever index performs worse between the two, potentially limiting returns if one index significantly outperforms the other during the note period.

Buffer Protection and Downside Risk Parameters

The notes incorporate a 30.00% buffer amount designed to protect investors from partial declines in the lesser-performing index. The disclosure indicates that if the Final Value of either index is less than its Initial Value by up to the 30.00% buffer amount, investors receive their full $1,000 principal at maturity. This buffer applies in scenarios where one index outperforms while the other declines modestly, or where both indices decline but within the buffered range.

However, the filing clearly states that investors must be willing to lose up to 70.00% of their principal amount at maturity. This maximum loss scenario would occur if the lesser-performing index experiences a decline exceeding the buffer amount by a substantial margin. The disclosure provides a hypothetical payout table showing that if the lesser-performing index declines to zero, the payment at maturity would be $300.00 per $1,000 principal amount note, representing the stated 70.00% maximum loss. Investors must carefully evaluate whether they can accept this potential loss before investing.

Forfeited Investment Characteristics

The filing explicitly states that investors in these notes should be willing to forgo interest and dividend payments. Unlike traditional fixed-income securities that pay periodic coupons, or equity investments that may provide dividends, these structured notes generate returns solely through appreciation of the underlying indices (subject to the buffer and cap constraints) or through the buffer protection on downside moves. This means the notes offer no intermediate cash flow during the approximately two-year holding period from settlement to maturity.

The absence of periodic income payments is a fundamental characteristic investors must understand before purchasing. The notes deliver returns exclusively through price appreciation at maturity or through the protective buffer mechanism if indices decline moderately. For investors accustomed to income-producing investments, this structure represents a material departure from traditional bond or equity dividend strategies.

Pricing and Valuation Framework

The preliminary pricing supplement indicates that if the notes priced on the date of the filing, the estimated value would be approximately $986.30 per $1,000 principal amount note. However, the disclosure specifies that the estimated value when the terms are finalized will be provided in the pricing supplement and will not be less than $950.00 per $1,000 principal amount note. This valuation floor of $950.00 per note represents a 5.00% discount to par, reflecting the time value and structural features of the notes.

The price to public, fees and commissions, and proceeds to the issuer are noted in the pricing supplement as incomplete and subject to completion. The disclosure indicates that J.P. Morgan Securities LLC will pay all selling commissions to affiliated or unaffiliated dealers, with selling commissions not to exceed $1.50 per $1,000 principal amount note. The final pricing details will be provided in the completed pricing supplement on or about the pricing date of August 21, 2026.

Initial Value Determination and Index Selection

The Initial Value for each index is defined as the closing level of that index on the Pricing Date, which is expected to occur on or about August 21, 2026. This closing level will form the baseline for calculating index returns throughout the note period. The disclosure emphasizes that the hypothetical illustrative examples in the filing assume an Initial Value of 100.00 for explanatory purposes only and may not represent the actual closing levels of either the Dow Jones Industrial Average or the S&P 500 Index on the pricing date.

The filing references that historical data regarding actual closing levels of each index can be found under "The Indices" section within the pricing supplement. The two indices tracked are the Dow Jones Industrial Average (Bloomberg ticker: INDU) and the S&P 500 Index (Bloomberg ticker: SPX). Investors will need to reference the completed pricing supplement to identify the specific closing levels established on August 21, 2026, as these values are foundational to all subsequent return calculations.

Credit Risk and Guarantee Structure

The notes are structured with a full and unconditional guarantee from JPMorgan Chase & Co., the parent company of the issuer JPMorgan Chase Financial Company LLC. The disclosure explicitly states that any payment on the notes is subject to both the credit risk of JPMorgan Financial as issuer and the credit risk of JPMorgan Chase & Co. as guarantor. This dual-layer credit structure means investors are exposed to the creditworthiness of both entities, though the guarantee from the parent company provides a backstop to the subsidiary issuer.

The filing emphasizes 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 the deposit sense. This language clarifies that while the parent company provides a guarantee, the notes do not carry deposit insurance protection. Investors relying on these notes must conduct their own credit assessment of the JPMorgan Chase entities and understand that the guarantee is only as sound as the parent company's financial condition.

Settlement and Documentation Framework

The notes are expected to settle on or about August 26, 2026, approximately five business days following the expected pricing date of August 21, 2026. The notes have been assigned CUSIP 46661KUU0 for identification and trading purposes. The offering is registered under SEC Registration Statement Nos. 333-293684 and 333-293684-01, and this preliminary pricing supplement is being filed under Rule 424(b)(2).

The complete documentation package for these notes includes the preliminary pricing supplement, product supplement no. 3-I dated April 17, 2026, underlying supplement no. 1-I dated April 17, 2026, and the prospectus and prospectus supplement each dated April 17, 2026. Investors should review all of these documents to fully understand the terms, conditions, risks, and mechanics before making an investment decision. The final pricing supplement, to be provided on or about August 21, 2026, will contain the completed pricing information and final terms.

Risk Considerations and Investment Suitability

The disclosure identifies multiple risk factors requiring investor attention. The prospectus supplement contains risk factors beginning on page S-2, the accompanying product supplement provides risk factors beginning on page PS-12, and this pricing supplement includes selected risk considerations beginning on page PS-4. These sections address the various ways investors could lose money, including through index performance decline, credit risk of the issuer and guarantor, and structural features of the notes that may limit gains.

Investors considering these notes should carefully evaluate whether the risk-return profile aligns with their investment objectives and risk tolerance. The combination of capped upside returns, downside buffer protection with maximum loss potential, and credit risk exposure to JPMorgan Chase entities requires thorough analysis. The notes appear designed for investors seeking exposure to equity index performance with defined risk parameters, but may not be suitable for all investor profiles or investment strategies.