JPMorgan Chase Issues Auto Callable Notes Linked to Volatility Index With Up to 18% Annual Contingent Payments

Structure and Redemption Mechanics of the Auto Callable Notes

The notes issued by JPMorgan Chase Financial Company LLC incorporate an automatic call feature designed to provide early redemption opportunities for investors under favorable market conditions. If the closing level of the MerQube US Large-Cap Vol Advantage Index reaches or exceeds the Initial Value on any Autocall Review Date, the notes will automatically redeem for a cash payment equal to $1,000 principal plus the applicable contingent interest payment. This mechanism benefits investors by locking in returns if the index appreciates, while reducing the issuer's exposure to continued market movements.

The earliest date an automatic call may be initiated is January 25, 2027, providing investors with approximately six months of holding period before potential early redemption becomes possible. The filing specifies that if automatic call occurs, investors receive payment on the first Interest Payment Date following the Autocall Review Date on which the trigger was met. This structure means that even if an index barrier is triggered on a specific review date, the actual cash settlement occurs on the subsequent scheduled payment date. The automatic call feature eliminates further potential for contingent interest payments once redemption occurs.

Monthly Contingent Interest Payments and Income Generation

The notes are structured to deliver contingent interest payments on a monthly basis, conditional upon the MerQube US Large-Cap Vol Advantage Index maintaining levels above the Interest Barrier. The filing discloses that contingent interest payments equal at least $15.00 per $1,000 principal amount, which translates to at least 18.00% per annum payable at a rate of at least 1.50% per month. These payments are only made on Interest Review Dates when the index closes at or above 70.00% of its Initial Value; no payment occurs if the index falls below this threshold on any given monthly review date.

The contingent nature of these payments represents a critical distinction from traditional fixed-rate bonds or notes. Investors forgo standard fixed interest and dividend income in exchange for the opportunity to receive substantially higher monthly payments that depend entirely on index performance. The filing warns that investors must be willing to accept the risk that no contingent interest payment may be made with respect to some or all Interest Review Dates if market conditions drive the index below the Interest Barrier. This income uncertainty makes the investment suitable only for investors with appropriate risk tolerance and investment objectives aligned with structured products.

Index Design and the 6.0% Annual Deduction Mechanism

The MerQube US Large-Cap Vol Advantage Index, referenced by Bloomberg ticker MQUSLVA, incorporates a 6.0% per annum daily deduction that accrues automatically throughout the holding period. This deduction mechanism represents a structural headwind to index performance, offsetting any appreciation from the underlying futures contracts and heightening the impact of any depreciation. The filing explicitly notes that this daily deduction will generally create a drag on overall index performance, meaning the index will trail the performance of an identical index without such deductions applied.

Understanding the impact of this 6.0% annual deduction is essential for investors evaluating the attractiveness of contingent interest payments and return potential. Over a six-year holding period to maturity, the cumulative impact of daily deductions represents a significant erosion of index value independent of actual market movements. The filing positions this deduction as creating a performance hurdle that investors must overcome through index appreciation to achieve positive returns. Investors should carefully assess whether the contingent income payments and automatic call opportunity adequately compensate for this structural performance drag.

Principal Risk and Payment Scenarios at Maturity

The notes incorporate a Trigger Value mechanism set at 50.00% of the Initial Value that determines final maturity payments. If the notes have not been automatically called and the Final Value exceeds this trigger level, investors receive their $1,000 principal plus any applicable contingent interest payment from the final review date. However, if the Final Value falls below the 50.00% Trigger Value at maturity, the payment formula switches to $1,000 plus the Index Return, calculated as (Final Value minus Initial Value) divided by Initial Value, multiplied by $1,000.

The filing explicitly warns that if the Final Value falls below the Trigger Value, investors will lose more than 50.00% of their principal amount at maturity and could lose all of their principal amount at maturity. This scenario represents a complete loss of investment for certain market conditions. For example, if the index declines 75% from its Initial Value, investors receive only $250 per $1,000 invested. If the index declines 100% or becomes zero, investors would receive zero proceeds. This substantial downside risk means the notes are appropriate only for investors who can afford to lose their entire investment amount.

Pricing and Estimated Value Disclosure

The preliminary pricing supplement indicates that if the notes priced on the announcement date, the estimated value would be approximately $927.00 per $1,000 principal amount note, representing an immediate discount to par value. The filing specifies that when the actual pricing terms are finalized, the estimated value will be provided in the final pricing supplement and will not be less than $900.00 per $1,000 principal amount note. This minimum valuation floor of $900 establishes a downside boundary for estimated fair value at pricing.

The discount to par reflects the value of issuer benefits embedded in the structure, including the benefit of the automatic call feature and the contingent nature of interest payments. Investors purchasing at $927 per $1,000 face an immediate valuation loss compared to par, though this reflects market pricing of the embedded derivatives and risks. The pricing mechanism indicates that J.P. Morgan Securities LLC, acting as agent, will pay all selling commissions to dealers, with commissions not exceeding $9.00 per $1,000 principal amount note. Investors should understand that the $927 estimated value represents a preliminary calculation subject to change when actual pricing occurs.

Guarantee Structure and Credit Considerations

The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, a direct wholly-owned finance subsidiary of JPMorgan Chase & Co. Critically, payment on the notes is fully and unconditionally guaranteed by JPMorgan Chase & Co., the parent company. This guarantee structure ensures that note payments depend on the financial condition and creditworthiness of one of the world's largest banking institutions rather than solely on the subsidiary issuer. The full guarantee reduces credit risk substantially compared to notes issued by the subsidiary without such backing.

However, investors retain exposure to the credit risk of both JPMorgan Financial as the note issuer and JPMorgan Chase & Co. as guarantor. Any material deterioration in either entity's credit quality could theoretically affect note valuations, though the probability of default by JPMorgan Chase & Co. remains exceptionally low given its systemic importance and regulatory oversight. The filing emphasizes that the notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation, and are not obligations of or guaranteed by any bank, clarifying the exact nature of the security holders' position. This distinction is important for investors seeking FDIC protection or bank-level safety.

Timeline and Settlement Details

The preliminary pricing supplement dated July 21, 2026 indicates expected pricing on or about July 24, 2026 with expected settlement on or about July 29, 2026. The July 29, 2026 settlement date becomes both the Original Issue Date and the date used to calculate the Initial Value of the MerQube US Large-Cap Vol Advantage Index for comparison purposes throughout the note term. All subsequent review dates and payment dates are calculated relative to this initial settlement and pricing date. Interest Review Dates commence August 24, 2026, one month after settlement, and continue monthly through the life of the notes.

The notes mature on July 29, 2032, providing a six-year holding period for investors. The filing specifies the complete schedule of Interest Review Dates extending through mid-2031 based on the partial disclosure provided. All determination dates are subject to postponement in the event of a market disruption event, as described in the underlying supplement and product supplement. Investors should note that the exact number of months available for contingent interest collection extends approximately 72 months, though early redemption via automatic call is possible beginning January 25, 2027 if index performance warrants early redemption.

Risk Considerations and Investor Suitability

The preliminary pricing supplement emphasizes multiple risk factors that investors must understand before investing. The filing states 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 Interest Review Dates. The 6.0% annual index deduction creates a structural performance drag independent of market conditions. Combined with the potential for complete principal loss if the index falls below 50% of its initial value, these risks create a complex investment profile requiring sophisticated analysis.

The filing further notes that investors must also be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive contingent payments, emphasizing the trade-off between income certainty and income potential. These notes are structured investments appropriate only for investors with substantial risk tolerance, investment sophistication, and the financial capacity to withstand complete loss of principal. The documentation directs investors to review comprehensive risk factor discussions beginning on page S-2 of the prospectus supplement, page PS-12 of the product supplement, and page US-4 of the underlying supplement for detailed risk analysis beyond the preliminary pricing supplement.

Registration and Compliance Framework

The notes are registered under Registration Statement Nos. 333-293684 and 333-293684-01, filed under Rule 424(b)(2). The preliminary pricing supplement constitutes part of a comprehensive disclosure package including a prospectus, prospectus supplement, product supplement number 3-I dated April 17, 2026, and underlying supplement number 5-I dated April 17, 2026. Investors receive the complete disclosure framework through these integrated documents rather than the pricing supplement alone. The CUSIP number for the notes is 46661KTX6, providing the unique identifier necessary for trading and settlement through standard securities clearance systems.

The preliminary nature of the pricing supplement means that final terms, including the exact estimated value and precise contingent interest payment rate, will be provided in the definitive pricing supplement upon completion of pricing. Minimum denominations are $1,000 with integral multiples thereafter. The filing notes 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 any disclosure documents, clarifying that regulatory approval does not extend to the investment merits or appropriateness of these securities for particular investors.