JPMorgan Issues Five-Year Accelerated Barrier Notes Linked to MerQube US Tech+ Vol Advantage Index

Index Structure and Underlying Asset Composition

The MerQube US Tech+ Vol Advantage Index operates as a rules-based investment vehicle designed to deliver exposure to technology equities while managing volatility exposure. The disclosure states that since February 9, 2024, the underlying asset has been an unfunded position in the Invesco QQQ Trust Series 1, calculated as the excess of the QQQ Fund's total return over a notional financing cost. Prior to this amendment date, the index tracked an unfunded rolling position in E-Mini Nasdaq-100 futures. The index carries a maximum exposure to the underlying asset of 500% and a minimum exposure of 0%, allowing for dynamic allocation adjustments based on volatility conditions.

The QQQ Fund itself seeks to track the investment results of the Nasdaq-100 Index before fees and expenses, providing broad exposure to 100 non-financial stocks listed on the Nasdaq exchange. The index methodology incorporates daily deductions, including a 6.0% per annum charge that accrues daily and a notional financing cost that also accrues on a daily basis. These embedded costs represent a structural drag on returns that investors should account for when evaluating potential performance scenarios.

Payment Structure and Upside Participation Framework

The notes feature a tiered payment structure at maturity that determines investor returns based on the final index value relative to its initial value. If the final index value exceeds the initial value, investors receive $1,000 plus the index return multiplied by the upside leverage factor per $1,000 principal amount. The disclosure indicates that the upside leverage factor will be at least 2.925, meaning investors capture at minimum approximately 2.91 times the index appreciation above the initial level. This leverage component amplifies gains when the index rises, enabling the substantial hypothetical returns shown in the filing's illustration table.

When the final index value equals the initial value or declines but remains above the barrier amount of 50%, investors receive only their principal amount of $1,000 per note, with zero return. The barrier provides downside protection within a defined range, preserving capital for index declines up to 50%. However, if the final index value falls below 50% of the initial value, the payment formula reverts to $1,000 plus the unlevered index return, meaning investors experience the full loss on the declining index without leverage amplification. The disclosure emphasizes that losses exceeding 50% of principal are possible, and investors could lose the entire principal amount at maturity.

Pricing and Estimated Value Considerations

The notes carry a minimum denomination of $1,000 and received a pricing date of August 3, 2026, with observation occurring on August 4, 2031 and final maturity on August 7, 2031. The disclosure specifies that the estimated value of the notes when terms are set will not be less than $920 per $1,000 principal amount note. This $80 difference between the estimated value and issue price reflects the embedded cost structure of the product, including dealer markup and the present value of the embedded deductions and fees that accrue over the five-year term.

The filing warns that estimated value represents an internal valuation calculation and likely will be lower than the price investors pay at issuance. The disclosure further notes that estimated value does not represent future values and may differ from other market participants' valuations. Secondary market pricing could vary substantially from both the estimated value and original purchase price, particularly as market conditions and interest rates change. The filing emphasizes these valuations do not include fees or expenses associated with any secondary market sale, which would likely reduce hypothetical returns if investors liquidate before maturity.

Credit Risk and Issuer Guarantees

Any payment on the notes is subject to the credit risk of both JPMorgan Chase Financial Company LLC, which serves as the issuer, and JPMorgan Chase & Co., which provides a guarantee. The value of the notes prior to maturity will fluctuate based on the market's assessment of the creditworthiness of these two JPMorgan entities. As a finance subsidiary, JPMorgan Chase Financial Company LLC operates with no independent operations and possesses limited assets, meaning the guarantee from JPMorgan Chase & Co. provides the primary credit backstop for note holders.

The filing explicitly states that neither issuer nor guarantor is obligated to repay the notes if financial conditions deteriorate. The disclosure indicates that changes in market perception of JPMorgan's credit quality—whether positive or negative—will directly impact the secondary market value of the notes independent of index performance. This credit dimension adds a counterparty risk layer distinct from market risk, potentially affecting liquidity and pricing in secondary trading.

Index Volatility Targeting and Dynamic Leverage Mechanics

The MerQube US Tech+ Vol Advantage Index attempts to provide dynamic rules-based exposure to the QQQ Fund while targeting a specific level of implied volatility. This design differentiates the index from static buy-and-hold strategies by adjusting leverage based on observed volatility conditions. When implied volatility is elevated, the index reduces its exposure to the underlying asset; when volatility subsides, the index increases exposure. The maximum leverage cap of 500% and minimum floor of 0% define the boundaries within which this dynamic adjustment operates.

The disclosure notes that the index may not successfully approximate its target volatility, and may not outperform alternative strategies applied to the same underlying asset. Historical and hypothetical back-tested performance data included in supporting materials do not represent actual historical returns and are subject to inherent limitations. The index was established on June 22, 2021, meaning it has limited historical performance history, and may perform in unanticipated ways under market conditions not previously experienced. The filing warns that leverage usage introduces substantial risk, and the index may be significantly uninvested during periods when volatility conditions warrant reduced exposure.

Hypothetical Return Scenarios and Limitations

The disclosure provides an illustration table showing hypothetical total returns across a range of index return scenarios, assuming the minimum upside leverage factor of 2.91. The table demonstrates that a 65% index return would yield a 189.15% total return on the notes, while a 40% index return generates a 116.40% return. These scenarios illustrate the amplification effect of leverage in rising markets. Conversely, the table shows that index declines up to 50% result in zero note return due to the barrier protection, while index declines exceeding 50% produce proportional principal losses.

The filing explicitly states these hypothetical scenarios apply only at maturity and do not reflect fees or expenses associated with secondary market sales. If investors sell notes prior to maturity or incur secondary market transaction costs, actual returns would likely be substantially lower than the hypothetical figures illustrated. The table uses minimum leverage assumptions for illustration purposes, meaning actual leverage may be higher if the final upside leverage factor exceeds 2.925. The disclosure cautions that these returns are illustrative only and no assurance is given that indicated returns will be achieved.

Index Composition Risks and QQQ Fund Management

The MerQube US Tech+ Vol Advantage Index incorporates non-U.S. securities through its underlying exposure to the QQQ Fund, subjecting investors to risks associated with international equity holdings. The QQQ Fund itself is subject to management risk, as its performance depends on the investment decisions of the fund sponsor's portfolio management team. The filing indicates that performance and market value of the QQQ Fund, particularly during periods of market volatility, may not correlate reliably with the fund's underlying Nasdaq-100 Index, and net asset value per share may diverge from market pricing.

The Index Sponsor may adjust the index in ways that affect its level without obligation to consider investor interests. The disclosure specifically notes that JPMorgan affiliate J.P. Morgan Securities LLC worked with MerQube in developing guidelines and policies governing index composition and calculation. This involvement creates a potential conflict of interest, as the same entity that developed the index also structures and markets notes linked to that index. Investors should understand that index methodology changes are possible and may affect note performance without requiring investor consent.

Liquidity and Secondary Market Trading Constraints

The disclosure indicates that J.P. Morgan Securities LLC intends to offer to purchase the notes in the secondary market but is not required to do so. This statement reveals that secondary market liquidity is not guaranteed, and investors should not assume they can easily sell notes before maturity. The price at which J.P. Morgan Securities would be willing to purchase notes, if offered at all, may result in a significant loss of principal even before accounting for interest rate or credit spread changes.

The lack of liquidity represents a material constraint on investor flexibility. Unlike exchange-traded securities, these structured notes may be difficult or impossible to liquidate at reasonable prices, effectively locking investors into a five-year holding period. The filing does not disclose specific secondary market trading procedures, minimum bid-ask spreads, or historical trading volumes, leaving investors uncertain about realistic exit opportunities should financial circumstances require early liquidation.

Conflicts of Interest and Hedging Activities

The disclosure identifies multiple potential conflicts of interest inherent in JPMorgan's role as both note issuer and market maker. JPMorgan and its affiliates play multiple roles including serving as calculation agent, establishing index methodology in partnership with MerQube, hedging obligations under the notes, and determining pricing assumptions used in note valuation and estimated value calculations. This concentration of functions creates scenarios where hedging or other trading activities by JPMorgan could generate substantial returns for the firm while note values decline.

The filing specifically acknowledges that it is possible JPMorgan's hedging activities could result in significant firm profitability even as investors experience losses on their notes. The internal funding rate used to determine estimated value is set by JPMorgan without independent verification or competitive benchmarking, potentially incorporating assumptions favorable to the issuer. Investors should recognize that JPMorgan's economic incentives in structuring, pricing, and managing these notes may diverge materially from investor interests in maximizing returns.

Tax Implications and Regulatory Status

The filing states that tax consequences of the notes may be uncertain and advises investors to consult tax advisers regarding U.S. federal income tax consequences of an investment in the notes. The disclosure does not provide specific guidance on whether these notes would be taxed as debt instruments, derivatives, or under other categories, leaving significant tax planning uncertainty. The filing indicates that taxation depends on how the notes are classified and how index performance and leverage mechanics are treated under applicable tax law.

The notes are issued pursuant to registration statement numbers 333-293684 and 333-293684-01, dated May 19, 2026, and the disclosure represents a terms supplement under Rule 424(b)(3). The SEC has neither approved nor disapproved the notes, and no state securities commission has reviewed accuracy or adequacy of the offering materials. The filing includes the standard regulatory disclaimer that any representation of SEC approval would constitute a criminal offense. Investors should review the complete prospectus, prospectus supplement, and product supplement documents referenced in the filing before investing.