JPMorgan Chase Financial Prices $500 Million Structured Notes Linked to Three Major Stock Indices

Pricing and Distribution Details of the $500 Million Offering

JPMorgan Chase Financial Company LLC set the price to public at $1,000 per note with total fees and commissions of $19.75 per $1,000 principal amount note, resulting in net proceeds to the issuer of $980.25 per note. The offering totaled $500,000 principal amount with $9,875 in total fees and commissions, generating $490,125 in net proceeds to the issuer. J.P. Morgan Securities LLC, acting as agent, will distribute selling commissions of $19.75 per note to affiliated or unaffiliated dealers. Notes were priced on July 17, 2026, and were expected to settle on or about July 22, 2026.

The filing discloses that the estimated value of the notes when terms were set was $963.50 per $1,000 principal amount note. The notes carry a CUSIP of 46661CUK0 and are issued with minimum denominations of $1,000 and integral multiples thereof. The pricing supplement notes that investors should understand the distinction between the price to public and the estimated value, as this represents the dealer mark-up inherent in the structured product offering.

Three-Index Structure and Contingent Interest Mechanism

The notes are linked to the performance of three indices: the Dow Jones Industrial Average (Bloomberg ticker: INDU), the Nasdaq-100 Index (Bloomberg ticker: NDX), and the Russell 2000 Index (Bloomberg ticker: RTY). The structure is distinctive because contingent interest payments depend on the least performing of the three indices rather than a basket calculation. Investors will receive contingent interest payments only if the closing level of each of the three indices is greater than or equal to its Interest Barrier on any given Review Date.

The Interest Barrier for contingent interest purposes is set at 70% of each index's initial value as of the Pricing Date of July 17, 2026. Initial values were established as 52,146.42 for the Dow Jones Industrial Average, 28,592.66 for the Nasdaq-100 Index, and 2,962.217 for the Russell 2000 Index. This translates to interest barriers of 36,502.494, 20,014.862, and 2,073.5519 respectively. The contingent interest rate is 8.60% per annum, payable monthly at a rate of 0.71667%, with monthly payments of $7.1667 per $1,000 principal amount when conditions are met.

Monthly Review Dates and Payment Schedule Through Maturity

The notes have 23 Review Dates scheduled from August 17, 2026, through June 20, 2028, with corresponding Interest Payment Dates scheduled monthly from August 20, 2026, through the Maturity Date of June 23, 2028. Review Dates occur on the 17th through 20th of each month, with Interest Payment Dates following three to five business days later. The final Review Date is June 20, 2028, with the final Interest Payment Date and Maturity Date occurring June 23, 2028. All dates are subject to postponement in the event of a market disruption event as described in the accompanying product supplement and underlying supplement.

The payment schedule is structured so that investors receive notification of whether contingent interest will be paid based on index closing levels on each Review Date, with actual payment occurring a few business days later on the Interest Payment Date. This design allows investors to know with reasonable certainty whether they will receive contingent interest approximately three to five business days after each monthly Review Date.

Early Redemption Provisions and Issuer Call Rights

JPMorgan Chase Financial Company LLC retains the right to redeem the notes early in whole but not in part on any Interest Payment Date except the first, second, and final Interest Payment Dates. The earliest date the notes may be redeemed early is October 22, 2026. If notes are redeemed early, the redemption price per $1,000 principal amount note equals $1,000 plus any Contingent Interest Payment applicable to the immediately preceding Review Date.

If the issuer intends to redeem notes early, it will deliver notice to The Depository Trust Company at least three business days before the applicable Interest Payment Date. This provision gives investors clear notice before redemption but limits their ability to hold the notes for their full term if market conditions move favorably. The early redemption feature benefits the issuer if market conditions change, allowing it to retire the obligation at a known price tied to the previous contingent interest calculation.

Trigger Value and Principal Loss Scenarios at Maturity

The Trigger Value for principal repayment purposes is set at 60% of each index's initial value, significantly lower than the 70% Interest Barrier used for contingent interest payments. Trigger Values are 31,287.852 for the Dow Jones Industrial Average, 17,155.596 for the Nasdaq-100 Index, and 1,777.3302 for the Russell 2000 Index. If all three indices remain above their Trigger Values on the final Review Date, investors receive full principal repayment of $1,000 plus any applicable contingent interest payment for that date.

However, if any index closes below its Trigger Value on the final Review Date, investors face significant principal loss calculated as $1,000 plus ($1,000 × Least Performing Index Return). The filing explicitly states that investors could lose more than 40% of principal or potentially all of their principal amount in this scenario. The Least Performing Index Return is determined by identifying which of the three indices has declined the most from its initial value, and that decline percentage is applied to the investor's principal.

Credit Support and Issuer Characteristics

The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co. Payment on the notes is fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent company. However, the filing emphasizes that any payment on the notes remains subject to the credit risk of both the issuer, JPMorgan Chase Financial Company LLC, and the guarantor, JPMorgan Chase & Co.

Investors should note that the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency. The notes are not obligations of, or guaranteed by, a bank, despite the JPMorgan brand association. This distinction is important for understanding the investor's exposure to the credit quality of the JPMorgan Chase organization as structured financial entities rather than as banking institutions protected by deposit insurance schemes.

Performance Calculation and Index Return Methodology

The Index Return for each index is calculated using the formula (Final Value minus Initial Value) divided by Initial Value. Final Value is determined by the closing level of each index on the final Review Date of June 20, 2028, while Initial Value is the closing level on the Pricing Date of July 17, 2026. This calculation allows investors to determine which index performed worst relative to its starting value on the pricing date.

The filing clarifies that payments on the notes are not linked to a basket composed of the indices but rather to the performance of each index individually. This means investors do not benefit from any averaging effect or diversification benefit that might come from a basket approach. Instead, if a single index performs poorly, that weak performer determines the entire outcome of the security at maturity, creating a "worst of" exposure that concentrates downside risk on the securities.

Risk Factors and Investor Considerations

The filing indicates that investors should be willing to accept the risk of losing a significant portion or all of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates. Even if an index begins above its Interest Barrier, a decline over time could result in future Review Dates producing no contingent interest payments. Additionally, the document notes that investors should be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive contingent interest payments, which themselves are conditional on index performance.

The pricing supplement notes that detailed Risk Factors are available beginning on page S-2 of the accompanying prospectus supplement and page PS-12 of the accompanying product supplement. The filing further references Selected Risk Considerations beginning on page PS-5 of the pricing supplement itself. Investors are directed to review these sections for comprehensive information about risks associated with structured products, index performance, credit risk, liquidity risk, and early redemption scenarios.

Regulatory Approval and Securities Registration Status

The pricing supplement is registered under Registration Statement Numbers 333-293684 and 333-293684-01 and complies with Rule 424(b)(2). The document references a product supplement number 3-I dated April 17, 2026, an underlying supplement number 1-I dated April 17, 2026, and a prospectus and prospectus supplement, each dated April 17, 2026. These accompanying documents are integral to understanding the complete terms of the offering and contain additional disclosures regarding general risk factors and product terms.

The filing includes a standard SEC disclaimer stating that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. The filing warns that any representation to the contrary would constitute a criminal offense. This language is standard for structured products and indicates that SEC registration does not imply endorsement of the product's merits or suitability for particular investors.