JPMorgan Chase Financial Company Prices Structured Notes Linked to S&P 500, Nasdaq-100, and Russell 2000 with Principal Buffer Protection

Structure of the JPMorgan Least Performing Index Notes and Their Investment Design

The notes issued by JPMorgan Chase Financial Company LLC are structured investments designed to give investors exposure to any appreciation in the least performing of three U.S. equity benchmarks: the S&P 500 Index (Bloomberg: SPX), the Nasdaq-100 Index (Bloomberg: NDX), and the Russell 2000 Index (Bloomberg: RTY). The instrument is not a conventional bond or bank deposit, and the disclosure is explicit that these notes are unsecured and unsubordinated obligations of JPMorgan Financial, the wholly owned finance subsidiary of JPMorgan Chase & Co.

The disclosure emphasizes that payments are not linked to a basket of the three indices. Instead, each index is evaluated individually, and the payout is determined by whichever index delivers the lowest return over the investment term. This "least performing" mechanism is a defining structural feature that introduces a layer of risk investors should carefully consider, as strong performance by two of the three indices is not sufficient to generate an upside return if the third index declines.

Principal Protection Floor and Maximum Downside Exposure Explained

One of the most prominent features disclosed in the preliminary pricing supplement is the conditional floor on repayment at maturity. The filing states that in no event will the payment at maturity be less than $950.00 per $1,000 principal amount note, meaning investors are exposed to a maximum potential loss of 5.00% of their invested principal. This floor applies regardless of how severely the least performing index may have declined over the three-year period.

To illustrate this mechanism, the disclosure includes a hypothetical payout table showing that even if the least performing index falls 10%, 30%, 50%, or even 100% from its initial value, the note still returns $950.00 per $1,000 at maturity — subject always to the credit risk of JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor. Investors must therefore weigh the modest downside protection against the credit risk inherent in the issuing entities themselves, as these notes carry no FDIC insurance or governmental guarantee.

Upside Participation Rate and Additional Amount Calculation

The filing discloses that the Participation Rate for these notes will be at least 100.00%, with the exact rate to be confirmed in the final pricing supplement once terms are set on the Pricing Date. At a Participation Rate of 100.00%, investors would receive a dollar-for-dollar share of the appreciation generated by the least performing index, calculated as $1,000 multiplied by the Least Performing Index Return multiplied by the Participation Rate.

The hypothetical payout table within the disclosure illustrates several upside scenarios. For instance, if the least performing index rises 10.00% from its initial value, an investor holding a $1,000 note would receive $1,100.00 at maturity. A 50.00% gain would deliver $1,500.00, and a 65.00% gain would return $1,650.00. These figures are presented for illustrative purposes only and are based on a hypothetical initial value of 100.00 for the least performing index, as stated in the disclosure.

Par and Downside Payout Scenarios Disclosed in Hypothetical Tables

The preliminary supplement also clarifies the circumstances under which investors would receive exactly their principal back, neither gaining nor losing money at maturity. Specifically, if the final value of one or more indices is greater than its initial value and the remaining index or indices finish equal to their initial values, or if all three indices close at exactly their initial values on the Observation Date, investors will receive the full $1,000 principal amount per note.

In the downside scenario, the filing specifies that investors lose 1% of principal for every 1% decline in the least performing index below its initial value — but only down to the $950.00 floor. For example, a 2.50% decline in the worst-performing index would result in a maturity payment of $975.00, while a 5.00% decline would result in $950.00. Any decline beyond 5.00% does not increase the loss further, as the $950.00 floor remains in effect regardless of the magnitude of the index decline.

Key Dates: Pricing, Settlement, Observation, and Maturity Timeline

The preliminary pricing supplement sets out a specific timeline for the note's lifecycle. The notes are expected to price on or about July 20, 2026, with settlement expected on or about July 23, 2026. The Observation Date — the date on which the final closing levels of all three indices will be measured to determine the payout — is scheduled for July 20, 2029, three years after pricing.

The maturity date is July 25, 2029, at which point investors will receive the calculated payment based on the performance of the least performing index. The filing notes that both the Observation Date and the Maturity Date are subject to postponement in the event of a market disruption event, as governed by the terms described in the accompanying product supplement. The CUSIP identifier for these notes is disclosed as 46661CUU8.

Estimated Value Disclosure and Selling Commission Limits

The preliminary supplement discloses that if the notes had priced on the date the document was prepared, the estimated value would have been approximately $972.80 per $1,000 principal amount note. This figure is explicitly presented as a preliminary estimate only, applicable to the conditions existing at the time of document preparation and not necessarily reflective of the final estimated value when the terms of the notes are actually set.

The disclosure further states that the estimated value of the notes, when terms are finalized on the Pricing Date, will not be less than $900.00 per $1,000 principal amount note. On the topic of selling commissions, the filing is clear that selling commissions will not exceed $9.50 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 affiliated or unaffiliated dealers, as described in the accompanying product supplement.

Credit Risk Considerations and the Role of JPMorgan Chase & Co. as Guarantor

The preliminary pricing supplement is unambiguous in identifying the credit risk dimension of these notes. The instruments are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which the filing describes as a direct, wholly owned finance subsidiary of JPMorgan Chase & Co. Payments on the notes, including the principal protection floor, are subject to the credit risk of JPMorgan Financial as issuer and JPMorgan Chase & Co. as guarantor.

The filing explicitly states 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 should be aware that the $950.00 per note minimum repayment is a contractual commitment of the issuer and guarantor, not a government-backed guarantee. The credit worthiness of both JPMorgan Financial and JPMorgan Chase & Co. is therefore a material factor in assessing the reliability of the principal protection floor.

How the "Least Performing Index" Mechanism Compares to Basket-Linked Structures

A key structural distinction flagged in the filing is the difference between these notes and conventional basket-linked products. In a typical basket structure, the performance of multiple underlying assets is blended together, so strong performers can offset weaker ones. In contrast, these notes are linked solely to the single worst-performing index among the three — the S&P 500, the Nasdaq-100, and the Russell 2000 — regardless of how well the other two may have performed.

This structure means that divergence in performance among the three indices is a material risk factor. If two indices deliver substantial gains but the third declines modestly, the investor's return reflects only the decline of the worst performer. This "weakest link" dynamic is an important distinction for investors evaluating this product relative to broad equity exposure or traditional index-linked structures, and the filing's risk considerations section directs investors to review the accompanying product supplement and prospectus supplement for further details.

Regulatory Disclosures, Registration, and Accompanying Documentation

The preliminary pricing supplement is issued subject to Registration Statement Nos. 333-293684 and 333-293684-01, filed under Rule 424(b)(2). The supplement accompanies product supplement no. 3-I dated April 17, 2026, underlying supplement no. 1-I dated April 17, 2026, and both the prospectus and prospectus supplement each dated April 17, 2026. These accompanying documents form the full disclosure framework for the note offering and contain detailed risk factors, terms, and index descriptions.

The filing carries the standard regulatory statement that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes, nor has any regulatory body passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. The supplement notes that any representation to the contrary constitutes a criminal offense. Investors are directed to the "Selected Risk Considerations" beginning on page PS-4 of the pricing supplement, as well as risk factor sections in both the prospectus supplement and the product supplement, for comprehensive risk disclosures.

Investor Profile and Suitability Considerations Outlined in the Disclosure

The filing provides a clear characterization of the investor profile for which these notes are designed. According to the disclosure, the notes are intended for investors who seek exposure to any appreciation in the least performing of the three indices over the note's term and who are willing to forgo interest and dividend payments during that period. The filing also states that suitable investors should be comfortable seeking repayment of at least 95.00% of their principal at maturity, rather than full principal preservation.

This profile suggests that the notes are positioned as a partial capital-preservation product for investors with a moderately cautious outlook who nonetheless wish to retain some upside participation in U.S. equity market performance. Investors who require full principal protection, who are unwilling to accept credit risk from the issuer and guarantor, or who depend on periodic income from their investments would likely find this structure less suitable, based on the characteristics described in the filing.