JPMorgan Chase Financial Issues $1.27 Million in Leveraged European Market-Linked Securities Due 2032

Structured Product Framework and Maturity Terms

JPMorgan Chase Financial Company LLC, a wholly owned finance subsidiary of JPMorgan Chase & Co., issued the securities under its Global Medium-Term Notes, Series A program. The offering comprised 1,270 securities at $1,000 principal amount each, with pricing conducted on July 17, 2026, and settlement on July 22, 2026. The disclosure indicates that all payments on the securities are guaranteed by JPMorgan Chase & Co., establishing a two-layer credit structure between the financial subsidiary issuer and its parent guarantor.

The maturity payment structure reflects a conditional payoff mechanism dependent on the lowest-performing underlying asset among the three European benchmarks tracked. The calculation day occurs on July 19, 2032, with the stated maturity date set for July 22, 2032, establishing a six-year investment horizon. Unlike conventional debt securities, these notes do not generate periodic interest payments or dividends, instead delivering a single maturity payment that may exceed, equal, or fall significantly below the original $1,000 principal amount per security.

Upside Participation Rate and Positive Performance Scenarios

The securities incorporate a 252% upside participation rate, meaning investors receive the $1,000 principal amount plus a premium equal to 2.52 times the percentage gain in the lowest-performing underlying. This amplified participation structure provides enhanced returns if the worst-performing benchmark rises from its starting value through the calculation day. For example, if the lowest-performing underlying increases 10%, investors would receive $1,000 plus $252 (252% of 10% × $1,000), totaling $1,252 per security.

The starting values for each underlying were established on the pricing date: the EURO STOXX 50 Index closed at 6,230.87, the STOXX Europe 600 Index closed at 641.53, and the iShares MSCI EAFE ETF closed at $103.33. These baseline levels serve as the reference points for calculating underlying returns. The ending values will be determined by the closing levels on the calculation day, July 19, 2032, allowing the maturity payment calculation to reflect six years of market performance across European equities.

Downside Protection Threshold and Capital-at-Risk Exposure

The securities incorporate a contingent capital protection feature that activates only if the lowest-performing underlying remains above 70% of its starting value. The threshold values established on the pricing date were 4,361.609 for the EURO STOXX 50 Index (70% of 6,230.87), 449.071 for the STOXX Europe 600 Index (70% of 641.53), and $72.331 for the iShares MSCI EAFE ETF (70% of $103.33). If the lowest-performing underlying closes above its threshold value but below its starting value, investors receive the full $1,000 principal with no gains or losses.

However, if the lowest-performing underlying closes below its threshold value, investors experience full downside exposure to the decline. The disclosure explicitly states that investors may lose more than 30% and possibly all of the principal amount in such scenarios. For instance, if the lowest-performing underlying declines 40% from its starting value, the maturity payment would equal $1,000 plus ($1,000 × -40%), resulting in a $400 loss per security, or 40% principal impairment. This structure concentrates risk on the single worst-performing benchmark among the three European underlyings, creating asymmetric risk exposure where poor performance by any single index can trigger substantial losses.

Multi-Index Linkage and Lowest-Performer Mechanism

The securities' payoff is determined exclusively by the underlying return of the lowest-performing index or fund among the three European benchmarks tracked. The "lowest performing Underlying" is defined as the Underlying with the lowest underlying return, calculated as the percentage change from starting value to ending value. This construction means that even if two of the three underlyings appreciate significantly, poor performance by a single benchmark determines the entire return profile for all securities.

The three underlyings track complementary but distinct segments of European equities. The EURO STOXX 50 Index (Bloomberg ticker: SX5E) represents the 50 largest companies in the Eurozone. The STOXX Europe 600 Index (Bloomberg ticker: SXXP) captures a broader set of approximately 600 companies across Europe. The iShares MSCI EAFE ETF (Bloomberg ticker: EFA) provides exposure to developed equity markets in Europe, Australia, and the Far East. By linking to the lowest performer, the structure effectively provides no diversification benefit; instead, it concentrates the risk of underperformance across all three regional equity exposures.

Pricing and Distribution Framework

The offering was priced at $1,000 per security, with a total public price of $1,270,000 for the 1,270 securities issued. Wells Fargo Securities, LLC served as the distribution agent, receiving selling commissions of $43.70 per security, totaling $55,499 across the offering. The net proceeds to the issuer were $1,214,501, reflecting the deduction of all distribution fees from the gross offering amount.

Wells Fargo Securities advised that it may provide dealers, including Wells Fargo Advisors (the retail brokerage business operating under Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC), with a selling concession of $35.00 per security. Additionally, Wells Fargo Securities may pay Wells Fargo Advisors a distribution expense fee of $1.20 per security for securities sold through retail channels. J.P. Morgan Securities LLC may pay $3.00 per security to selected dealers for marketing and distribution services to other dealers. The disclosure indicates that the estimated value of the securities when terms were set was $919.00 per security, implying a mark-up differential between the estimated value and the offering price.

Credit Structure and Guarantee Provisions

JPMorgan Chase Financial Company LLC serves as the issuer of the securities, with JPMorgan Chase & Co. providing a full and unconditional guarantee of payment obligations. The guarantee establishes that any payment shortfall on the securities would be the direct responsibility of JPMorgan Chase & Co., creating a direct claim against the parent corporation. However, the disclosure emphasizes that the securities are unsecured and unsubordinated obligations of the issuer and are subject to the credit risk of both JPMorgan Financial as the immediate obligor and JPMorgan Chase & Co. as the guarantor.

Importantly, the securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. They are not obligations of or guaranteed by a bank in a depository capacity. The disclosure stresses that investors' recovery depends entirely on the creditworthiness of the issuer and guarantor, without any government backing or deposit insurance protection. In scenarios where the linked underlyings perform poorly, investors face the dual risk of principal loss from the securities' linkage structure and potential credit deterioration of the JPMorgan entities.

Risk Concentration and Investment Complexity

The securities concentrate multiple layers of risk that distinguish them from conventional debt instruments. First, the linkage to the lowest-performing underlying means that superior performance by two European benchmarks provides no benefit if the third benchmark underperforms. Second, the 70% threshold creates a binary outcome structure where modest declines below the threshold trigger full downside exposure, amplifying loss potential in moderate correction scenarios. Third, the six-year maturity extends the period during which adverse European economic conditions or specific sector weakness could impair returns.

The disclosure explicitly identifies the securities as having complex features involving risks not associated with conventional debt securities. Investors must evaluate European macroeconomic conditions, currency exposure (particularly to the Euro versus the U.S. Dollar, in which the maturity payment is denominated), and sector-specific performance across the three distinct indices. The concentration on a single worst-performing benchmark means that geopolitical events, policy changes, or market dislocations affecting any one European segment can determine outcomes for the entire investment.

No Secondary Market Liquidity and Holding-to-Maturity Design

The securities have no exchange listing and are designed to be held to maturity. This structure means investors should not expect to sell the securities prior to July 22, 2032, and any secondary market trading that may occur would be limited to direct negotiations between buyers and sellers. The absence of standardized exchange trading creates illiquidity risk, potentially trapping investors in positions if their circumstances change or market conditions deteriorate.

The lack of secondary market liquidity also limits price discovery throughout the six-year holding period. Investors will not receive periodic updates reflecting the market's valuation of the securities' remaining exposure, and any need to exit the position before maturity would require finding a counterparty willing to transact. This structural feature emphasizes that the securities are appropriate only for investors with a genuine ability and willingness to hold the position through the 2032 maturity date.

Registration and Distribution Status

The securities were issued pursuant to Registration Statement Nos. 333-293684 and 333-293684-01, with the pricing update filed under Securities and Exchange Commission Rule 424(b)(2). The offering documents reference accompanying prospectus materials dated April 17, 2026, including a Prospectus Supplement, Product Supplement no. WF-1-I, and Underlying Supplement no. 1-I. These documents establish the legal framework and detailed terms governing the securities and are incorporated by reference into the offering.

The disclosure notes that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the securities or passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. Any representation to the contrary would constitute a criminal offense. This standard disclaimer reflects regulatory neutrality regarding the securities' merit or suitability for any particular investor, placing the assessment responsibility entirely on individual purchasers and their financial advisors.