JPMorgan Chase Prices $10.3 Million Auto Callable Notes Linked to Volatility Index Through July 2033

Offering Structure and Pricing Details

JPMorgan Chase Financial Company LLC priced the Auto Callable Contingent Interest Notes on July 14, 2026, with a total offering size of $10,354,000. The disclosure indicates that the price to public per note is $1,000, with J.P. Morgan Securities LLC receiving $8.50 per note in fees and commissions, resulting in proceeds to the issuer of $991.50 per note. The total offering generated $88,009 in fees and commissions while delivering $10,265,991 in net proceeds to the issuer. Settlement of the notes was expected to occur on or about July 17, 2026, following a three-day period after the pricing date.

The notes carry a CUSIP identifier of 46661C3J3 and require minimum denominations of $1,000 with integral multiples thereof. The estimated value of the notes when terms were set was disclosed as $921.80 per $1,000 principal amount note, which represents a discount to the public offering price. The pricing supplement indicates this valuation methodology was applied to determine the relationship between the offering price and the estimated fair value at the time of pricing.

Index Reference and Strike Value Determination

The notes are linked to the MerQube US Large-Cap Vol Advantage Index, which trades under the Bloomberg ticker symbol MQUSLVA. A critical structural feature disclosed in the filing is that the Index is subject to a 6.0% per annum daily deduction that accrues on a daily basis. According to the disclosure, this daily deduction will offset any appreciation of the futures contracts included in the Index, heighten any depreciation of those contracts, and generally act as a drag on the Index's performance compared to an identical index without such a deduction.

The strike value for the notes was set at 4,254.96, determined by reference to the closing level of the Index on July 7, 2026, the Strike Date. The filing explicitly notes that the strike value was not based on the closing level of the Index on the Pricing Date of July 14, 2026, a distinction that may be material for investors evaluating the notes' initial positioning. This seven-day gap between the Strike Date and Pricing Date establishes the baseline against which all future Index performance measurements will be calculated.

Contingent Interest Payment Mechanism

The notes are designed to provide contingent monthly interest payments if the underlying Index performs above a specified threshold. If the notes have not been automatically called and the closing level of the Index on any Interest Review Date is greater than or equal to the Interest Barrier of 2,978.472 (which represents 70.00% of the Strike Value), investors will receive on the applicable Interest Payment Date a Contingent Interest Payment equal to $15.2083 per $1,000 principal amount. This equates to a Contingent Interest Rate of 18.25% per annum, payable at a monthly rate of 1.52083%.

The disclosure makes clear that if the closing level of the Index on any Interest Review Date falls below the Interest Barrier, no Contingent Interest Payment will be made with respect to that Interest Review Date. This all-or-nothing monthly structure means investors receive full monthly interest or nothing, with no partial payments. The filing specifies 84 Interest Review Dates scheduled from August 7, 2026, through June 7, 2033, providing monthly measurement opportunities throughout the note term.

Automatic Call Feature and Early Termination

A significant structural component of these notes is the automatic call provision, which permits early redemption if market conditions trigger specified thresholds. According to the disclosure, if the closing level of the Index on any Autocall Review Date is greater than or equal to the Strike Value of 4,254.96, the notes will be automatically called for a cash payment. The earliest date on which an automatic call may be initiated is January 7, 2027, representing approximately six months after the settlement date.

Upon automatic call, investors would receive for each $1,000 principal amount note a cash payment equal to $1,000 plus the Contingent Interest Payment applicable to the Interest Review Date corresponding to that Autocall Review Date. The filing specifies that once the notes are automatically called, no further payments will be made on the notes. This feature creates the possibility that investors' capital could be returned earlier than the stated maturity date, though the timing and probability of such an event depend on the Index's performance relative to its strike level.

Maturity Payoff Structure and Principal Risk

If the notes are not automatically called prior to maturity, the filing discloses that payment at maturity depends on whether the Final Value of the Index reaches the Trigger Value of 2,127.48 (representing 50.00% of the Strike Value). If the Final Value is greater than or equal to the Trigger Value, investors will receive a cash payment at maturity equal to $1,000 plus any Contingent Interest Payment applicable to the final Review Date.

However, if the notes have not been automatically called and the Final Value is less than the Trigger Value, the payment at maturity per $1,000 principal amount note will be calculated using a formula: $1,000 plus ($1,000 multiplied by the Index Return). The Index Return is calculated as (Final Value minus Strike Value) divided by Strike Value. The disclosure explicitly warns that under this scenario, investors will lose more than 50.00% of their principal amount at maturity and could lose all of their principal amount at maturity if the Index declines substantially. This downside participation creates significant principal risk for note holders.

Guarantee Structure and Credit Risk

The notes are issued by JPMorgan Chase Financial Company LLC, which 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 filing discloses that the notes are unsecured and unsubordinated obligations of the financial company issuer, with the guarantee backed by the parent company.

The disclosure emphasizes that any payment on the notes is subject to the credit risk of JPMorgan Chase Financial Company LLC as the issuer of the notes and the credit risk of JPMorgan Chase & Co. as the guarantor. Additionally, the filing states 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. This characterization clarifies that investors are taking on counterparty credit risk despite the corporate guarantee structure.

Index Performance Drag and Structural Costs

The disclosure provides specific detail about the ongoing costs embedded in the Index that will affect note performance throughout the holding period. The MerQube US Large-Cap Vol Advantage Index incorporates a 6.0% per annum daily deduction that accrues continuously. According to the filing, this daily deduction will offset any appreciation of the futures contracts included in the Index, heighten any depreciation of those contracts, and generally represent a drag on the performance of the Index when compared to an identical index without such a deduction.

This structural feature means that the Index must overcome a 6.0% annual performance hurdle simply to remain flat in nominal terms. For note holders seeking to benefit from contingent interest payments, the Index must clear the 70% Interest Barrier threshold despite this ongoing deduction working against index appreciation. The filing does not disclose detailed information about the composition of the Index or the specific futures contracts included within it beyond noting the deduction mechanism.

Risk Disclosures and Investor Suitability

The pricing supplement contains explicit risk warnings directed at prospective investors. The disclosure states 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 Interest Review Dates. The filing also notes that investors should be willing to forgo fixed interest and dividend payments in exchange for the opportunity to receive Contingent Interest Payments, recognizing the trade-off inherent in the note structure.

The document references comprehensive risk factor sections contained in accompanying prospectus supplements and product supplements, indicating that the full scope of risks extends beyond the pricing supplement itself. The filing includes a standard SEC disclaimer noting that the Securities and Exchange Commission and state securities commissions have not approved or disapproved the notes and have not passed upon the accuracy or adequacy of the pricing supplement or accompanying documents. The disclosure makes clear that any representation that such approval occurred would constitute a criminal offense.

Settlement Timeline and Review Dates Schedule

The notes priced on July 14, 2026, with expected settlement on or about July 17, 2026, marking the Original Issue Date. The filing provides a comprehensive schedule of 84 Interest Review Dates, Autocall Review Dates, and Interest Payment Dates extending from August 7, 2026, through June 7, 2033. The Interest Review Dates occur monthly, with the first review occurring on August 7, 2026, less than one month after settlement.

Autocall Review Dates occur on a quarterly basis, with the initial quarterly review scheduled for January 7, 2027, which represents the earliest date on which an automatic call may be initiated. The filing specifies that all determination and payment dates are subject to postponement in the event of a market disruption event as described in the underlying supplement and product supplement. The maturity date of July 12, 2033, represents the final date by which any remaining outstanding notes will be paid in full barring earlier redemption through the automatic call feature.

Distribution and Selling Arrangements

J.P. Morgan Securities LLC acts as agent for JPMorgan Chase Financial Company LLC in the distribution of the notes. According to the filing, JPMS will pay all selling commissions of $8.50 per $1,000 principal amount note to other affiliated or unaffiliated dealers. The disclosure indicates a total of $88,009 in fees and commissions across the $10,354,000 offering, reflecting the uniform per-note commission structure.

The pricing supplement references a "Plan of Distribution (Conflicts of Interest)" section in the accompanying product supplement, indicating that additional disclosures regarding distribution arrangements and potential conflicts are contained in that separate document. The filing notes that the notes are registered under Registration Statement Nos. 333-293684 and 333-293684-01 pursuant to Securities Act Rule 424(b)(2), establishing the regulatory framework under which the offering was conducted.