JPMorgan Chase Issues $112 Million Auto-Callable Notes Linked to MerQube Tech Index

Offering Structure and Pricing Details

JPMorgan Chase Financial Company LLC priced the auto-callable contingent interest notes on July 16, 2026, with expected settlement on or about July 21, 2026. The offering comprises $112 million in principal amount, structured in minimum denominations of $1,000 and integral multiples thereof. The pricing to public was set at $1,000 per note, with fees and commissions of $31.50 per $1,000 principal amount, resulting in net proceeds to the issuer of $968.50 per note, or approximately $108.47 million in total proceeds. The CUSIP number for the notes is 46661CMZ6.

The estimated value of the notes when terms were finalized was $926.20 per $1,000 principal amount note, as disclosed in the filing. This valuation represents the issuer's calculation of the notes' theoretical worth based on pricing models and market conditions at the time of issuance. The difference between the estimated value and the offering price reflects the embedded costs, risks, and profit margins associated with the structured product.

Contingent Interest Payment Mechanics

The notes provide contingent interest payments structured around monthly review dates beginning August 17, 2026, and extending through the final maturity date of June 22, 2029. If the closing level of the MerQube US Tech+ Vol Advantage Index is greater than or equal to the Interest Barrier of 85.00% of the initial value on any review date, investors will receive a contingent interest payment equal to $7.7083 per $1,000 principal amount note. This translates to an annual contingent interest rate of 9.25%, payable monthly at 0.77083% per month.

A critical feature of the contingent interest structure is that unpaid interest payments accumulate and may be recovered on subsequent review dates. If a contingent interest payment is not paid on any interest payment date because the index failed to meet the Interest Barrier threshold, that unpaid payment will be made on a later interest payment date if the index recovers to the 85% barrier level. However, if the index remains below the barrier on all subsequent review dates, investors will forfeit any previously unpaid contingent interest payments entirely. This creates both an opportunity and a risk: investors have a chance to recover missed payments, but face the possibility of permanent interest loss if the index does not recover.

Automatic Call Feature and Early Redemption

The notes include an automatic call provision that allows JPMorgan Chase Financial Company LLC to redeem the securities early under specified conditions. If the closing level of the MerQube US Tech+ Vol Advantage Index reaches or exceeds the Call Value of 95.00% of the initial value on any review date, excluding the first through fifth review dates and the final maturity date, the notes will be automatically called. The earliest date on which an automatic call may occur is January 19, 2027. Upon an automatic call, investors will receive a cash payment equal to $1,000 principal plus the contingent interest payment applicable to that review date plus any previously unpaid contingent interest payments from prior review dates, with no further payments thereafter.

The automatic call structure is advantageous for the issuer, as it allows redemption of the notes if the underlying index appreciates significantly. From an investor perspective, automatic call limits upside participation. Once the index reaches the 95% call threshold, the note position terminates and investors receive a fixed payoff, regardless of further index appreciation beyond that level. This feature caps the maximum return investors can achieve while the notes remain outstanding.

Principal Risk and Payment at Maturity

The notes carry significant principal risk if the underlying index declines. At maturity on June 22, 2029, if the notes have not been automatically called and the final closing level of the index is greater than or equal to the Buffer Threshold of 85.00% of the initial value, investors will receive $1,000 principal plus any final contingent interest payment plus any accumulated unpaid contingent interest payments from prior review dates. However, if the final index level falls below the 85% buffer threshold, investors face capital loss.

In the scenario where the final value is less than the Buffer Threshold, the maturity payment is calculated using the formula: $1,000 + [$1,000 × (Index Return + Buffer Amount)]. The Index Return is calculated as (Final Value – Initial Value) divided by Initial Value, and the Buffer Amount is 15.00%. This structure means investors can lose up to 85% of their principal if the index declines by more than 85% from the initial value of 13,829.61. The filing explicitly states that investors "should be willing to accept the risk of losing up to 85.00% of their principal" and that investors "should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments."

Index Composition and Drag on Performance

The notes are linked to the MerQube US Tech+ Vol Advantage Index, which tracks technology sector performance with a focus on volatility-adjusted returns. The index level incorporates a 6.0% per annum daily deduction that accrues continuously. Additionally, the performance of the Invesco QQQ Trust Series 1, which is a component of the index calculation, is subject to a notional financing cost that also accrues daily. These dual deductions create a structural headwind that reduces the index performance relative to an otherwise identical index without such costs.

The filing explicitly warns that "the Index will trail the performance of an identical index without such deductions" and that these deductions "will offset any appreciation of the components of the Index, will heighten any depreciation of those components and will generally be a drag on the performance of the Index." This means that even if the underlying tech stocks and securities held within the index appreciate, the index level itself may lag due to the daily accrual of these embedded costs. For investors in the notes, this drag reduces the likelihood that the index will reach the Interest Barrier or Call Value thresholds, thereby increasing the risk of forgone contingent interest payments.

Guaranteed by JPMorgan Chase & Co.

The notes are issued by JPMorgan Chase Financial Company LLC, a direct wholly owned finance subsidiary of JPMorgan Chase & Co., and are fully and unconditionally guaranteed by JPMorgan Chase & Co. This guarantee structure means that investors have recourse to the parent company in the event of default by the financing subsidiary. However, the filing emphasizes that "any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes."

This disclosure clarifies that while the guarantee provides an additional layer of protection compared to unsecured debt of a non-guaranteed issuer, investors remain exposed to the creditworthiness of both the issuer and the guarantor. The notes are unsecured and unsubordinated obligations, meaning they rank equally with other unsecured, unsubordinated debt of JPMorgan Financial. The filing also 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," clarifying that FDIC protection does not apply to these securities.

Review and Payment Schedule

The notes feature a comprehensive schedule of 37 review dates and corresponding interest payment dates extending from August 2026 through June 2029. Review dates occur approximately monthly on dates such as August 17, 2026, September 16, 2026, October 16, 2026, and subsequent months, with the final review date on June 18, 2029. Interest payment dates follow the review dates, typically occurring three to five business days later, with the final payment occurring on or around the maturity date of June 22, 2029. All review and payment dates are subject to postponement in the event of a market disruption event, as described in the underlying agreements.

This extended schedule provides investors with frequent opportunities to receive contingent interest payments if the index performance permits. The regularity of the review schedule also creates regular redemption windows if the automatic call feature is triggered. Investors should monitor the published index levels on each review date to understand whether contingent interest payments have been triggered and to assess the probability of future payments based on index performance trends.

Risk Disclosures and Investor Suitability

The pricing supplement contains explicit risk disclosures warning investors about the key risks associated with the notes. The filing states that investors "should be willing to accept the risk of losing up to 85.00% of their principal and the risk that no Contingent Interest Payment may be made with respect to some or all Review Dates." The filing further emphasizes that investors "should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive Contingent Interest Payments."

Additional risk considerations highlighted in the disclosure include the 6.0% per annum daily deduction and the notional financing cost embedded in the index, both of which create a drag on index performance. The automatic call feature limits upside participation, the contingent interest structure means interest may not be paid on any given month if the index falls below the barrier, and the 85% loss of principal risk is a significant downside exposure. These risks collectively indicate that the notes are structured for investors with high risk tolerance and sophisticated understanding of leveraged and contingent payoff structures. The filing references detailed risk factor discussions in the prospectus supplement, product supplement, underlying supplement, and the pricing supplement itself, all of which should be reviewed carefully before investment.

Distribution and Regulatory Status

J.P. Morgan Securities LLC, acting as agent for JPMorgan Financial, will distribute the notes and pay selling commissions of $31.50 per $1,000 principal amount note received from JPMorgan Financial to other affiliated or unaffiliated dealers participating in the offering. The distribution arrangement is disclosed in the Plan of Distribution section of the accompanying product supplement, which addresses conflicts of interest inherent in the issuer distributing its own securities through affiliated dealers.

The pricing supplement is filed as a Rule 424(b)(2) prospectus supplement under Securities Act registration statement numbers 333-293684 and 333-293684-01, dated April 17, 2026. The filing includes the prospectus and prospectus supplement (each dated April 17, 2026), product supplement number 3-I (dated April 17, 2026), and underlying supplement number 5-I (dated April 17, 2026). The SEC has not approved or disapproved the notes, and no representation regarding SEC approval or adequacy of disclosures should be inferred. The notes are a new issuance and investors should conduct independent due diligence and consult with financial and legal advisors before purchasing.