JPMorgan Chase Financial Issues $149 Million Auto Callable Structured Notes Linked to MerQube Volatility Index

Pricing and Offering Structure of the Structured Notes

JPMorgan Chase Financial Company LLC priced $149 million in Auto Callable Accelerated Barrier Notes on July 15, 2026, with expected settlement on or about July 17, 2026. The notes are offered at $1,000 per unit with minimum denominations of $1,000 and integral multiples thereof. The price to public was $1,000 per note, with fees and commissions of $50 per note, yielding proceeds to the issuer of $950 per note, or $141,550 in total proceeds. J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, received responsibility for distributing selling commissions to affiliated and unaffiliated dealers.

The notes carry a CUSIP identifier of 46661C5C6 and are unsecured and unsubordinated obligations of JPMorgan Financial. Payment on the notes is fully and unconditionally guaranteed by JPMorgan Chase & Co., though investors bear the credit risk of both the issuer and the guarantor. The estimated value of the notes when terms were set was $884.80 per $1,000 principal amount note. All payments and returns are subject to the credit quality of both JPMorgan Chase Financial Company LLC and its parent guarantor, JPMorgan Chase & Co.

Automatic Call Feature and Early Exit Potential

The notes are designed to provide investors with an opportunity for early exit at a premium if the Index reaches specified trigger levels. The earliest date on which an automatic call may be initiated is July 19, 2027, the first Review Date. On any Review Date other than the final Review Date, if the closing level of the Index is at or above the Call Value (100% of the Initial Value of 4,336.84), the notes will be automatically called for a cash payment. The Call Premium Amount varies by review date, beginning at 20.9% of the $1,000 principal amount on the first Review Date in July 2027.

The Call Premium Amounts escalate across subsequent review dates: 26.125% on the second Review Date (October 15, 2027), 31.350% on the third Review Date (January 18, 2028), 36.575% on the fourth Review Date (April 17, 2028), and 41.8% on the fifth Review Date (July 17, 2028). Upon an automatic call, investors receive $1,000 principal plus the applicable Call Premium Amount, payable on the relevant Call Settlement Date. However, if the notes are automatically called, investors will not benefit from the uncapped Upside Leverage Factor of 5.00 times, which applies only at maturity if the notes have not been called.

Uncapped Upside Leverage and Maturity Payment Structure

For investors whose notes reach maturity without being automatically called, the structure provides uncapped upside leverage if the Index appreciates above its initial level. If the Final Value (the closing level of the Index on the final Review Date of July 15, 2031) is greater than the Initial Value of 4,336.84, the payment at maturity per $1,000 principal amount note is calculated as $1,000 plus ($1,000 × Index Return × 5.00 Upside Leverage Factor). This 5.00 times leverage means that for every 1% the Index rises above the Initial Value, investors receive an additional 5% return on the $1,000 principal, uncapped at any level.

If the Final Value equals the Initial Value or falls below it but remains at or above the Barrier Amount of 2,168.42 (50% of Initial Value), investors receive their full $1,000 principal at maturity with no additional gain or loss. However, if the Final Value falls below the Barrier Amount, investors face losses without the protection of the Upside Leverage Factor. In this scenario, the payment is calculated as $1,000 plus ($1,000 × Index Return), meaning losses are unlevered. The disclosure explicitly states that if the Final Value is less than the Barrier Amount, investors will lose more than 50% of their principal amount at maturity and could lose all of their principal amount.

The MerQube US Large-Cap Vol Advantage Index and Its Structure

The MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA) was developed by MerQube, the Index Sponsor and Index Calculation Agent, in coordination with J.P. Morgan Securities LLC. The Index was established on February 11, 2022. An affiliate of JPMorgan Chase currently holds an approximately 10% equity interest in the Index Sponsor, and an employee of JPMS serves as a member of the Index Sponsor's board of directors. The Index attempts to provide dynamic rules-based exposure to an unfunded rolling position in E-mini S&P 500 futures contracts, which reference the S&P 500 Index, while targeting a level of implied volatility with maximum exposure of 500% and minimum exposure of 0% to the Futures Contracts.

The Index's exposure to the Futures Contracts is recalibrated on each weekly Index rebalance day and is set equal to a 35% implied volatility target divided by the one-week implied volatility of the State Street SPDR S&P 500 ETF Trust (the SPY Fund), subject to the 500% maximum exposure cap. For example, if the implied volatility of the SPY Fund equals 17.5%, the Index exposure to Futures Contracts would be 200%; if implied volatility equals 40%, the exposure would be 87.5%. The Index's exposure to the Futures Contracts exceeds 100% when the implied volatility of the SPY Fund is below the 35% target level.

The 6.0% Annual Daily Deduction and Its Impact on Returns

A critical feature of the Index is the 6.0% per annum daily deduction that accrues continuously on the Index level. This deduction will offset any appreciation of the Futures Contracts included in the Index and will heighten any depreciation of those contracts. The daily deduction is designed to be a drag on the performance of the Index and means that the Index will trail the performance of an identical index without such a deduction. This cost structure is material to the notes' return potential because it reduces the index level that investors track regardless of whether the Futures Contracts themselves gain or lose value.

The disclosure emphasizes that investors should understand the significance of this deduction when evaluating the risk-return profile of the notes. The 6.0% annual deduction compounds daily throughout the life of the notes until maturity or early call in 2031. This means that even if the underlying Futures Contracts track the S&P 500 Index with minimal volatility, the notes' performance will be reduced by this persistent drag. Investors seeking exposure to the S&P 500 Index through this structure should account for this cost when assessing whether the leverage opportunity and call features justify acceptance of the deduction and barrier risks.

Timeline of Review and Call Settlement Dates Through Maturity

The notes have five scheduled Review Dates before maturity, with the first occurring July 19, 2027, approximately one year after pricing. Subsequent Review Dates are scheduled for October 15, 2027, January 18, 2028, April 17, 2028, and July 17, 2028. A final Review Date is scheduled for July 15, 2031, which determines the Final Value for maturity payment calculation. Each Review Date (except the final one) is paired with a Call Settlement Date on which automatic call payments would be made if the Index has crossed the Call Value threshold: July 22, 2027, October 20, 2027, January 21, 2028, April 20, 2028, and July 20, 2028, respectively.

The maturity date is July 18, 2031, at which point all remaining notes will settle at their final payment amount based on the closing level of the Index on July 15, 2031 (the final Review Date). All dates are subject to postponement in the event of a market disruption event as described in the underlying supplement and product supplement. The extended timeline through mid-2031 means investors are committing capital for approximately five years from the July 2026 pricing date, during which they will have no interest or dividend payments and will be exposed to the daily 6.0% deduction on the Index.

Risk Factors and Investor Considerations

The disclosure document explicitly warns that investing in the notes involves numerous risks and directs investors to review comprehensive risk factor sections across multiple documents including the prospectus supplement, product supplement, underlying supplement, and the pricing supplement itself. The company notes that investors should be willing to forgo all interest and dividend payments and be willing to accept the risk of losing a significant portion or all of their principal amount at maturity. This language indicates that the notes are structured as zero-coupon instruments with concentrated risk exposure linked to a single index.

The barrier structure presents a significant risk: if the Index declines more than 50% from its Initial Value of 4,336.84 to below the Barrier Amount of 2,168.42 by the final Review Date in July 2031, investors will not only receive no leveraged upside but will also suffer unlevered downside losses that exceed 50% of their principal. In an extreme scenario where the Index falls to zero or near-zero levels, investors could lose substantially all of their principal amount. The notes are not bank deposits, not insured by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of or guaranteed by a bank.

Issuer and Guarantor Credit Risk

JPMorgan Chase Financial Company LLC, the issuer of the notes, is a direct wholly owned finance subsidiary of JPMorgan Chase & Co. The payment obligations on the notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent company. However, the disclosure emphasizes that any payment on the notes remains subject to the credit risk of both the issuer and the guarantor. This means that investors are exposed to potential default risk of both the operating subsidiary and the parent company, though the guarantee provides a contractual claim against JPMorgan Chase & Co. in the event of issuer default.

The unconditional guarantee from JPMorgan Chase & Co. provides additional security beyond reliance solely on the issuer's creditworthiness, as the guarantee makes the parent company directly liable for all obligations of JPMorgan Financial. Nonetheless, investors should evaluate the creditworthiness and financial condition of JPMorgan Chase & Co. as part of their investment decision, as the value and payment of the notes depend ultimately on this credit relationship. The notes are unsecured and unsubordinated, meaning they rank equally with other unsecured debt obligations of the issuer and guarantor.

Estimated Value and Market Valuation Considerations

The pricing supplement discloses that the estimated value of the notes when the terms were set was $884.80 per $1,000 principal amount note. This estimated value represents approximately 88.48% of the public offering price of $1,000 per note. The difference between the estimated value and the public offering price reflects the embedded costs, commissions, structuring fees, and the value of the embedded options and risk transfer to investors. The pricing document directs investors to the "Estimated Value of the Notes" section for additional information about how this valuation was calculated.

The gap between the $1,000 offering price and the $884.80 estimated value indicates that investors are paying a premium above fair value as calculated at pricing. This spread includes the $50 per note commission and fees paid to J.P. Morgan Securities LLC and other distribution costs, but also reflects the cost of the embedded leverage and call features that benefit JPMorgan Chase. Investors considering these notes should understand that the initial embedded cost means the investment begins with a built-in loss relative to theoretical fair value, a factor that must be overcome through positive Index performance to generate positive returns.

Distribution and Conflict of Interest Disclosures

J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, will pay all selling commissions of $50.00 per $1,000 principal amount note to other affiliated or unaffiliated dealers participating in the distribution. The pricing supplement references the "Plan of Distribution (Conflicts of Interest)" section in the accompanying product supplement for full details regarding this arrangement. The involvement of JPMorgan Chase affiliates in multiple roles—as issuer subsidiary, guarantor parent, index affiliate, and distribution agent—creates multiple layers of potential conflicts of interest that investors should evaluate carefully.

The disclosure that an affiliate of JPMorgan Chase holds an approximately 10% equity interest in MerQube, the Index Sponsor and Calculation Agent, and that a JPMS employee serves on the Index Sponsor's board, indicates that JPMorgan Chase has financial interests in the performance and structure of the Index underlying these notes. While these relationships are disclosed, they represent potential conflicts in which JPMorgan Chase benefits from the fees, spreads, and structuring of products linked to an index in which it holds equity interest and exercises governance influence. Investors should consider these conflicts when evaluating the independence of the Index design and calculation.