JPMorgan Chase Financial Prices Auto-Callable Structured Notes Linked to UnitedHealth Stock

Structured Note Terms and Contingent Payment Framework

The notes issued by JPMorgan Chase Financial Company LLC represent unsecured obligations fully guaranteed by JPMorgan Chase & Co. The disclosure states the notes carry a contingent interest structure designed to provide quarterly payments to investors only when specific price conditions are met. For each $1,000 principal amount note, investors receive $27.50 in contingent interest—equivalent to an 11.00% annualized rate paid quarterly at 2.75%—provided the reference stock closes at or above the interest barrier of $274.01 on any scheduled review date.

The interest barrier represents 65% of the strike value, which was determined by the closing price of UnitedHealth stock on July 20, 2026, at $421.55. This strike price was intentionally set by reference to the prior trading day rather than the July 21 pricing date. The contingent payment structure includes a catch-up provision: if an interest payment is not made on a given date due to the stock closing below the barrier, that unpaid amount accumulates and becomes payable on future interest payment dates if the barrier condition is subsequently met. However, investors lose all accumulated unpaid interest if the stock remains below the barrier through the final maturity date.

Automatic Call Mechanism and Early Redemption Scenarios

The notes incorporate an automatic call feature that triggers redemption at par plus accrued contingent interest if UnitedHealth stock closes at or above the full strike value of $421.55 on any review date. The disclosure indicates that the earliest date an automatic call may be initiated is January 20, 2027, with subsequent review dates scheduled quarterly through April 20, 2028. When an automatic call occurs, investors receive their $1,000 principal plus the applicable contingent interest payment and any previously unpaid contingent interest amounts, with no further payments made on the notes.

This early redemption structure benefits investors if UnitedHealth stock appreciates significantly, as they receive principal protection plus accumulated interest payments. Conversely, the automatic call feature caps potential gains for investors who believe the stock may continue rallying substantially above the strike price. The call settlement date occurs on the first interest payment date immediately following a call review date, providing a brief delay between the trigger event and actual capital return to note holders.

Downside Risk and Final Maturity Payment Calculations

The most significant risk disclosed in the pricing supplement concerns principal loss at maturity if the notes are not called early. The disclosure explicitly states that investors face potential losses exceeding 35% of their principal amount if UnitedHealth stock declines substantially by the maturity date of July 25, 2028. Specifically, if the final stock price falls below the trigger value of $274.01—the same 65% barrier level—the maturity payment shifts from a fixed principal-plus-interest structure to a formula-based calculation that includes stock return exposure.

The maturity payment calculation in a decline scenario equals $1,000 plus ($1,000 multiplied by the stock return), where stock return is defined as the change in stock price divided by the $421.55 strike value. The filing states investors could lose all of their principal amount under adverse scenarios. For example, if UnitedHealth stock trades below approximately $272.50 at maturity, investors would experience a complete loss of capital. This leverage on the downside—where a decline of 35.3% from strike value produces a 35.3% principal loss, but further declines magnify losses dollar-for-dollar—represents the core structural risk in these notes.

Reference Stock and Underlying Exposure

The notes are linked exclusively to the common stock of UnitedHealth Group Incorporated, the diversified healthcare company traded on the New York Stock Exchange under the ticker symbol UNH. UnitedHealth Group operates as a major provider of health insurance, healthcare services, and health-related technology solutions across the United States. The disclosure references the Bloomberg ticker as UNH and establishes the reference stock's par value at $0.01 per share.

The strike price of $421.55 was established on July 20, 2026, representing the reference point against which all contingent payments, automatic call triggers, and maturity calculations are measured. The disclosure includes a stock adjustment factor mechanism that begins at 1.0 on the strike date and may be adjusted in response to corporate events affecting the reference stock, such as stock splits, dividend distributions, or reorganization events. These anti-dilution adjustments protect note holders from mathematical distortions caused by corporate actions that would otherwise artificially modify the relationship between the stock price and the note's payment triggers.

Pricing, Fees, and Estimated Value

JPMorgan Chase Financial priced the notes on July 21, 2026, with expected settlement approximately three days later on July 24, 2026. The public price to investors was $1,000 per $1,000 principal amount note, with total aggregate pricing of $6,033,000. The pricing structure includes embedded fees totaling $13.8534 per note, leaving net proceeds to the issuer of $986.1466 per note, or approximately $5,949,422.50 in total proceeds.

The disclosure indicates that J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, receives selling commissions of up to $17.50 per $1,000 principal amount note, which the firm then distributes to affiliated or unaffiliated dealers participating in the offering. Additionally, a structuring fee of $1.00 per $1,000 principal amount note is similarly allocated to dealers. The notes were issued with CUSIP number 46661KTH1 and minimum denominations of $1,000 with integral multiples thereof. The estimated value of the notes when terms were finalized was calculated at $969.20 per $1,000 principal amount note, reflecting the difference between the public offering price and the calculated theoretical value based on relevant market factors and assumptions.

Schedule of Review Dates and Interest Payment Dates

The notes operate on a quarterly review schedule with eight total review dates spanning from October 20, 2026, through July 20, 2028. Review dates are scheduled for the 20th day of October, January, April, and July, with the final review date coinciding with the maturity date. Each review date determines whether contingent interest payments will be made on the corresponding interest payment date, which occurs three business days following the review date to allow for standard settlement procedures.

The disclosure specifies that interest payment dates are scheduled for October 23, 2026, January 25, 2027, April 23, 2027, July 23, 2027, October 25, 2027, January 25, 2028, April 25, 2028, and the maturity date of July 25, 2028. Both review dates and interest payment dates may be postponed in the event of market disruption events that prevent reliable price determination, or accelerated in the event of acceleration events as defined in the accompanying product supplement. This scheduling structure ensures alignment with standard equity market trading and settlement conventions while providing a regular cadence for monitoring the reference stock price and distributing contingent payments.

Credit Risk and Guarantee Structure

The notes represent unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which operates as a direct wholly owned finance subsidiary of JPMorgan Chase & Co. The disclosure states that all payments on the notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent banking entity. This guarantee structure means that investors bear the credit risk of both the issuer—JPMorgan Chase Financial—and the guarantor—JPMorgan Chase & Co.—despite the notes being unsecured claims not backed by specific collateral.

The filing emphasizes that the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of or guaranteed by a bank in the traditional sense. While the JPMorgan Chase guarantee provides substantial credit enhancement given the firm's status as one of the United States' largest financial institutions, investors nevertheless assume credit risk exposure to both entities. Any deterioration in either JPMorgan Chase Financial's or JPMorgan Chase & Co.'s creditworthiness could theoretically affect the value and ultimate payment of these notes, independent of the performance of UnitedHealth Group stock.

Investor Risk Considerations and Suitability

The pricing supplement explicitly addresses investor suitability by noting 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. The disclosure further states that investors should be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive conditional quarterly payments. This framing acknowledges that these notes are unsuitable for investors requiring regular income certainty or principal protection.

The structure inherently involves significant complexity and leverage. Investors who believe UnitedHealth stock will remain relatively stable or appreciate moderately may benefit from the 11.00% annualized contingent rate if the stock stays above the interest barrier. However, investors exposed to substantial downside—where the stock declines more than approximately 35% from the $421.55 strike price—face amplified principal losses beyond the percentage decline in the stock itself. The notes are therefore appropriate primarily for sophisticated investors with high risk tolerance, a specific outlook on UnitedHealth stock volatility and price direction, and the ability to sustain total capital loss if adverse scenarios materialize.

Regulatory Status and Compliance Disclosures

The pricing supplement was filed as a 424(b)(2) prospectus supplement under the Securities Act of 1933, referencing registration statement numbers 333-293684 and 333-293684-01. The disclosure states that neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved the notes or passed upon the accuracy or adequacy of the pricing supplement, product supplement, prospectus supplement, or prospectus. The filing includes the standard statutory language that any representation to the contrary constitutes a criminal offense.

The notes are issued under the JPMorgan Chase Financial Company LLC Structured Investments program, with this pricing supplement dated July 21, 2026, serving as a supplement to product supplement number 3-I dated April 17, 2026, and the base prospectus and prospectus supplement, each also dated April 17, 2026. The multi-layered prospectus structure reflects the complexity of the notes, with separate risk factor sections addressing issuer-specific risks, product-level risks, and securities-specific risks. This hierarchical disclosure approach enables investors to evaluate risks across multiple dimensions before committing capital.