JPMorgan (AMJB) offers MQUSLVA-linked callable notes with 50% barrier

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is offering principal-protected contingent automatic-call notes linked to the MerQube US Large-Cap Vol Advantage Index (Bloomberg: MQUSLVA). The notes have a minimum denomination of $1,000, a Barrier Amount of 50.00% of the Initial Value, annual Review Dates with a Final Review Date of March 31, 2031, and a Maturity Date of April 3, 2031. The Underlying reflects a 6.0% per annum daily deduction. If not called and the Final Value is below the Barrier Amount, payment at maturity equals $1,000 plus $1,000 × Underlying Return, which could result in a loss of principal. Estimated value will not be less than $900.00 per $1,000 note.

Insights

Structured Products Analyst

Notes offer capped upside via scheduled Call Premiums and full downside exposure below the Barrier.

The terms specify automatic call tests on annual Review Dates; each Call Value equals 100.00% of the Initial Value with minimum Call Premiums escalating to at least 141.25% by the Final Review Date. The Underlying incurs a 6.0% per annum daily deduction, reducing realized returns versus raw S&P 500 futures exposure.

Cash-flow treatment is explicit: if not called and Final Value < Barrier Amount (50.00% of Initial Value), maturity payment equals $1,000 + ($1,000 × Underlying Return). Subsequent pricing supplements will govern final terms.

Risk & Credit Specialist

Payments depend on Underlying performance and issuer/guarantor creditworthiness.

All payments are subject to the credit risk of JPMorgan Chase Financial Company LLC and guarantor JPMorgan Chase & Co. The document warns holders that the notes do not guarantee principal and that estimated value is at least $900.00 per $1,000 principal amount when terms are set.

Selected risks include leverage and futures-market disruptions, concentration in S&P 500 constituents, limited liquidity and conflicts of interest from affiliates involved in index and pricing functions.

Terms supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the product suppleme nt no. 4 - I dated April 13, 2023, the underlying supplement no. 5 - III dated March 5, 2025 and the prospectus addendum dated June 3, 2024 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated March 3, 2026 Rule 424(b)(3) North America Structured Investments 5yr MQUSLVA Review Notes J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com The following is a summary of the terms of the notes offered by the preliminary pricing supplement hyperlinked below. Index Overview The MerQube US Large - Cap Vol Advantage Index (the “Underlying”) attempts to provide a dynamic rules - based exposure to an unfunde d rolling position in E - Mini ® S&P 500 ® futures (the “Futures Contracts”), which reference the S&P 500 ® Index (the “Constituent”), while targeting a level of implied volatility, with a maximum exposure to the Futures Contracts of 500% and a minimum exposure to t he Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The Constituent consists of stocks of 500 companie s s elected to provide a performance benchmark for the U.S. equity markets. Summary of Terms Issuer: JPMorgan Chase Financial Company LLC Guarantor: JPMorgan Chase & Co. Minimum Denomination: $1,000 Underlying: The MerQube US Large - Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Underlying reflects a deduction of 6.0% per annum that accrues daily. Barrier Amount : 50.00% of the Initial Value Pricing Date: March 31, 2026 Review Dates : Annually Final Review Date : March 31, 2031 Maturity Date: April 3, 2031 CUSIP: 46660MCF0 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/46660MCF0/doctype/Product_Termsheet/document.pdf Estimated Value: The estimated value of the notes, when the terms of the notes are set, will not be less than $900.00 per $1,000 principal amount note. For more information about the estimated value of the notes, which likely will be lower than the price you paid for the notes, please see the hyperlink above. You may lose some or all of your principal at maturity. Any payment on the notes is subject to the credit risk of JPMorgan Ch ase Financial Company LLC, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. Automatic Call If the closing value of the Underlying on any Review Date is greater than or equal to the Call Value, the notes will be autom ati cally called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Call Premium Amount applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes. Review Date Call Value Call Premium* First 100.00% of the Initial Value At least 28.25% Second 100.00% of the Initial Value At least 56.50% Third 100.00% of the Initial Value At least 84.75% Fourth 100.00% of the Initial Value At least 113.00% Final 100.00% of the Initial Value At least 141.25% Payment At Maturity If the notes have not been automatically called and the Final Value is greater than or equal to the Barrier Amount, you will rec eive the principal amount of your notes at maturity. If the notes have not been automatically called and the Final Value is less than the Barrier Amount, your payment at maturity pe r $1,000 principal amount note will be calculated as follows:$1,000 + ($1,000 × Underlying Return) If the notes have not been automatically called and the Final Value is less than the Barrier Amount, you will lose more than 50. 00% of your principal amount at maturity and could lose all of your principal amount at maturity. Investing in the notes linked to the Underlying involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the prospectus supplement and the relevant product supplement and underlying supplement, Annex A to the prospectus addendum and “Selected Risk Considerations” in the relevant pricing supplement. Hypothetical Examples of Amounts Payable Upon Automatic Call or at Maturity** Underlying Return at Review Date Total Return at First Review Date* Total Return at Second Review Date* Total Return at Third Review Date* Total Return at Final Review Date* 100.00% 28.25% 56.50% 84.75% 141.25% 80.00% 28.25% 56.50% 84.75% 141.25% 40.00% 28.25% 56.50% 84.75% 141.25% 20.00% 28.25% 56.50% 84.75% 141.25% 10.00% 28.25% 56.50% 84.75% 141.25% 0.00% 28.25% 56.50% 84.75% 141.25% - 0.01% N/A N/A N/A 0.00% - 5.00% N/A N/A N/A 0.00% - 10.00% N/A N/A N/A 0.00% - 20.00% N/A N/A N/A 0.00% - 40.00% N/A N/A N/A 0.00% - 50.00% N/A N/A N/A 0.00% - 50.01% N/A N/A N/A - 50.01% - 60.00% N/A N/A N/A - 60.00% - 80.00% N/A N/A N/A - 80.00% - 100.00% N/A N/A N/A - 100.00% Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the relevant product supplement, underlying supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a criminal offense. * In each case, to be determined on the Pricing Date, but not less than the minimum Call Premium, as applicable. ** Not all Review Dates reflected. Reflects a Call Premium of 28.25% per annum. The Call Premium will be determined on the Pricing Date and will not be less than 28.25% per annum. The “total return” as used above is the number expressed, as a percentage, that results from comparing the payment on the applicable payment date per $1,000 principal amount note to $1,000. The hypothetical returns on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would likely be lower. Capitalized terms used but not defined herein shall have the meaning set forth in the preliminary pricing supplement.

North America Structured Investments 5 y r M Q U S L V A R e v i e w N o t e s J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com S e l e c t e d R i s k s Risks Relating to the Notes Generally ● Y o u r i n v e s t m e n t i n t h e n o t e s m a y r e s u l t i n a l o s s . T h e n o t e s d o n o t g u a r a n t e e a n y r e t u r n o f p r i n c i p a l . ● T h e l e v e l o f t h e U n d e r l y i n g w i l l i n c l u d e a 6 . 0 % p e r a n n u m d a i l y d e d u c t i o n . ● A n y p a y m e n t o n t h e n o t e s i s s u b j e c t t o t h e c r e d i t r i s k s o f J P M o r g a n C h a s e F i n a n c i a l C o m p a n y L L C a n d J P M o r g a n C h a s e & C o . T h e r e f o r e t h e v a l u e o f t h e n o t e s p r i o r t o m a t u r i t y w i l l b e s u b j e c t t o c h a n g e s i n t h e m a r k e t ’ s v i e w o f t h e c r e d i t w o r t h i n e s s o f J P M o r g a n C h a s e F i n a n c i a l C o m p a n y L L C o r J P M o r g a n C h a s e & C o . ● A s a f i n a n c e s u b s i d i a r y , J P M o r g a n C h a s e F i n a n c i a l C o m p a n y L L C h a s n o i n d e p e n d e n t o p e r a t i o n s a n d h a s l i m i t e d a s s e t s . ● T h e a p p r e c i a t i o n p o t e n t i a l o f t h e n o t e s i s l i m i t e d t o a n y C a l l P r e m i u m A m o u n t p a i d o n t h e n o t e s . ● T h e b e n e f i t p r o v i d e d b y t h e B a r r i e r A m o u n t m a y t e r m i n a t e o n t h e f i n a l R e v i e w D a t e . ● T h e a u t o m a t i c c a l l f e a t u r e m a y f o r c e a p o t e n t i a l e a r l y e x i t . ● N o i n t e r e s t p a y m e n t s , d i v i d e n d p a y m e n t s o r v o t i n g r i g h t s . ● L a c k o f l i q u i d i t y : J . P . M o r g a n S e c u r i t i e s L L C ( w h o w e r e f e r t o a s " J P M S " ) , i n t e n d s t o o f f e r t o p u r c h a s e t h e n o t e s i n t h e s e c o n d a r y m a r k e t b u t i s n o t r e q u i r e d t o d o s o . T h e p r i c e , i f a n y , a t w h i c h J P M S w i l l b e w i l l i n g t o p u r c h a s e n o t e s f r o m y o u i n t h e s e c o n d a r y m a r k e t , i f a t a l l , m a y r e s u l t i n a s i g n i f i c a n t l o s s o f y o u r p r i n c i p a l . ● T h e t a x c o n s e q u e n c e s o f t h e n o t e s m a y b e u n c e r t a i n . Y o u s h o u l d c o n s u l t y o u r t a x a d v i s e r r e g a r d i n g t h e U . S . f e d e r a l i n c o m e t a x c o n s e q u e n c e s o f a n i n v e s t m e n t i n t h e n o t e s . Risks Relating to Conflicts of Interest ● P o t e n t i a l c o n f l i c t s : W e a n d o u r a f f i l i a t e s p l a y a v a r i e t y o f r o l e s i n c o n n e c t i o n w i t h t h e i s s u a n c e o f n o t e s , i n c l u d i n g a c t i n g a s c a l c u l a t i o n a g e n t a n d h e d g i n g o u r o b l i g a t i o n s u n d e r t h e n o t e s , a n d m a k i n g t h e a s s u m p t i o n s u s e d t o d e t e r m i n e t h e p r i c i n g o f t h e n o t e s a n d t h e e s t i m a t e d v a l u e o f t h e n o t e s w h e n t h e t e r m s o f t h e n o t e s a r e s e t . I t i s p o s s i b l e t h a t s u c h h e d g i n g o r o t h e r t r a d i n g a c t i v i t i e s o f J . P . M o r g a n o r i t s a f f i l i a t e s c o u l d r e s u l t i n s u b s t a n t i a l r e t u r n s f o r J . P . M o r g a n a n d i t s a f f i l i a t e s w h i l e t h e v a l u e o f t h e n o t e s d e c l i n e s . ● O u r a f f i l i a t e , J P M S , w o r k e d w i t h M e r Q u b e i n d e v e l o p i n g t h e g u i d e l i n e s a n d p o l i c i e s g o v e r n i n g t h e c o m p o s i t i o n a n d c a l c u l a t i o n o f t h e U n d e r l y i n g . S e l e c t e d R i s k s ( c o n t i n u e d ) Risks Relating to the Estimated Value and Secondary Market Prices of the Notes ● T h e e s t i m a t e d v a l u e o f t h e n o t e s w i l l b e l o w e r t h a n t h e o r i g i n a l i s s u e p r i c e ( p r i c e t o p u b l i c ) o f t h e n o t e s . ● T h e e s t i m a t e d v a l u e o f t h e n o t e s i s d e t e r m i n e d b y r e f e r e n c e t o a n i n t e r n a l f u n d i n g r a t e . ● T h e e s t i m a t e d v a l u e o f t h e n o t e s d o e s n o t r e p r e s e n t f u t u r e v a l u e s a n d m a y d i f f e r f r o m o t h e r s ’ e s t i m a t e s . ● T h e v a l u e o f t h e n o t e s , w h i c h m a y b e r e f l e c t e d i n c u s t o m e r a c c o u n t s t a t e m e n t s , m a y b e h i g h e r t h a n t h e t h e n - c u r r e n t e s t i m a t e d v a l u e o f t h e n o t e s f o r a l i m i t e d t i m e p e r i o d . Risks Relating to the Underlying ● T h e U n d e r l y i n g m a y n o t b e s u c c e s s f u l o r o u t p e r f o r m a n y a l t e r n a t i v e s t r a t e g y . ● T h e U n d e r l y i n g m a y n o t a p p r o x i m a t e i t s t a r g e t v o l a t i l i t y . ● T h e U n d e r l y i n g i s s u b j e c t t o r i s k s a s s o c i a t e d w i t h t h e u s e o f s i g n i f i c a n t l e v e r a g e . ● T h e U n d e r l y i n g m a y b e s i g n i f i c a n t l y u n i n v e s t e d . ● T h e U n d e r l y i n g m a y b e a d v e r s e l y a f f e c t e d i f l a t e r f u t u r e s c o n t r a c t s h a v e h i g h e r p r i c e s t h a n a n e x p i r i n g f u t u r e s c o n t r a c t i n c l u d e d i n t h e U n d e r l y i n g . ● T h e U n d e r l y i n g i s a n e x c e s s r e t u r n i n d e x t h a t d o e s n o t r e f l e c t “ t o t a l r e t u r n s . ” ● J P M o r g a n C h a s e & C o . i s c u r r e n t l y o n e o f t h e c o m p a n i e s t h a t m a k e u p t h e S & P 5 0 0 ® I n d e x . ● C o n c e n t r a t i o n r i s k s a s s o c i a t e d w i t h t h e U n d e r l y i n g m a y a d v e r s e l y a f f e c t t h e v a l u e o f y o u r n o t e s . ● T h e U n d e r l y i n g i s s u b j e c t t o s i g n i f i c a n t r i s k s a s s o c i a t e d w i t h f u t u r e s c o n t r a c t s , i n c l u d i n g v o l a t i l i t y . ● S u s p e n s i o n o r d i s r u p t i o n s o f m a r k e t t r a d i n g i n f u t u r e s c o n t r a c t s m a y a d v e r s e l y a f f e c t t h e v a l u e o f y o u r n o t e s . ● T h e o f f i c i a l s e t t l e m e n t p r i c e a n d i n t r a d a y t r a d i n g p r i c e s o f t h e r e l e v a n t f u t u r e s c o n t r a c t s m a y n o t b e r e a d i l y a v a i l a b l e . ● C h a n g e s i n t h e m a r g i n r e q u i r e m e n t s f o r t h e f u t u r e s c o n t r a c t s i n c l u d e d i n t h e U n d e r l y i n g m a y a d v e r s e l y a f f e c t t h e v a l u e o f t h e n o t e s . ● T h e U n d e r l y i n g w a s e s t a b l i s h e d o n F e b r u a r y 1 1 , 2 0 2 2 a n d m a y p e r f o r m i n u n a n t i c i p a t e d w a y s . T h e r i s k s i d e n t i f i e d a b o v e a r e n o t e x h a u s t i v e . P l e a s e s e e “ R i s k F a c t o r s ” i n t h e p r o s p e c t u s s u p p l e m e n t a n d t h e a p p l i c a b l e p r o d u c t s u p p l e m e n t a n d u n d e r l y i n g s u p p l e m e n t , A n n e x A t o t h e p r o s p e c t u s a d d e n d u m a n d “ S e l e c t e d R i s k C o n s i d e r a t i o n s ” i n t h e a p p l i c a b l e p r e l i m i n a r y p r i c i n g s u p p l e m e n t f o r a d d i t i o n a l i n f o r m a t i o n . A d d i t i o n a l I n f o r m a t i o n A n y i n f o r m a t i o n r e l a t i n g t o p e r f o r m a n c e c o n t a i n e d i n t h e s e m a t e r i a l s i s i l l u s t r a t i v e a n d n o a s s u r a n c e i s g i v e n t h a t a n y i n d i c a t i v e r e t u r n s , p e r f o r m a n c e o r r e s u l t s , w h e t h e r h i s t o r i c a l o r h y p o t h e t i c a l , w i l l b e a c h i e v e d . T h e s e t e r m s a r e s u b j e c t t o c h a n g e , a n d J . P . M o r g a n u n d e r t a k e s n o d u t y t o u p d a t e t h i s i n f o r m a t i o n . T h i s d o c u m e n t s h a l l b e a m e n d e d , s u p e r s e d e d a n d r e p l a c e d i n i t s e n t i r e t y b y a s u b s e q u e n t p r e l i m i n a r y p r i c i n g s u p p l e m e n t a n d / o r p r i c i n g s u p p l e m e n t , a n d t h e d o c u m e n t s r e f e r r e d t o t h e r e i n . I n t h e e v e n t a n y i n c o n s i s t e n c y b e t w e e n t h e i n f o r m a t i o n p r e s e n t e d h e r e i n a n d a n y s u c h p r e l i m i n a r y p r i c i n g s u p p l e m e n t a n d / o r p r i c i n g s u p p l e m e n t , s u c h p r e l i m i n a r y p r i c i n g s u p p l e m e n t a n d / o r p r i c i n g s u p p l e m e n t s h a l l g o v e r n . P a s t p e r f o r m a n c e , a n d e s p e c i a l l y h y p o t h e t i c a l b a c k - t e s t e d p e r f o r m a n c e , i s n o t i n d i c a t i v e o f f u t u r e r e s u l t s . A c t u a l p e r f o r m a n c e m a y v a r y s i g n i f i c a n t l y f r o m p a s t p e r f o r m a n c e o r a n y h y p o t h e t i c a l b a c k - t e s t e d p e r f o r m a n c e . T h i s t y p e o f i n f o r m a t i o n h a s i n h e r e n t l i m i t a t i o n s a n d y o u s h o u l d c a r e f u l l y c o n s i d e r t h e s e l i m i t a t i o n s b e f o r e p l a c i n g r e l i a n c e o n s u c h i n f o r m a t i o n . I R S C i r c u l a r 2 3 0 D i s c l o s u r e : J P M o r g a n C h a s e & C o . a n d i t s a f f i l i a t e s d o n o t p r o v i d e t a x a d v i c e . A c c o r d i n g l y , a n y d i s c u s s i o n o f U . S . t a x m a t t e r s c o n t a i n e d h e r e i n ( i n c l u d i n g a n y a t t a c h m e n t s ) i s n o t i n t e n d e d o r w r i t t e n t o b e u s e d , a n d c a n n o t b e u s e d , i n c o n n e c t i o n w i t h t h e p r o m o t i o n , m a r k e t i n g o r r e c o m m e n d a t i o n b y a n y o n e u n a f f i l i a t e d w i t h J P M o r g a n C h a s e & C o . o f a n y o f t h e m a t t e r s a d d r e s s e d h e r e i n o r f o r t h e p u r p o s e o f a v o i d i n g U . S . t a x - r e l a t e d p e n a l t i e s . I n v e s t m e n t s u i t a b i l i t y m u s t b e d e t e r m i n e d i n d i v i d u a l l y f o r e a c h i n v e s t o r , a n d t h e f i n a n c i a l i n s t r u m e n t s d e s c r i b e d h e r e i n m a y n o t b e s u i t a b l e f o r a l l i n v e s t o r s . T h i s i n f o r m a t i o n i s n o t i n t e n d e d t o p r o v i d e a n d s h o u l d n o t b e r e l i e d u p o n a s p r o v i d i n g a c c o u n t i n g , l e g a l , r e g u l a t o r y o r t a x a d v i c e . I n v e s t o r s s h o u l d c o n s u l t w i t h t h e i r o w n a d v i s e r s a s t o t h e s e m a t t e r s . T h i s m a t e r i a l i s n o t a p r o d u c t o f J . P . M o r g a n R e s e a r c h D e p a r t m e n t s .

FAQ

What is the payoff structure of AMJB-linked notes?

The notes pay scheduled automatic-call amounts if the Underlying meets Call Values on annual Review Dates, with minimum Call Premiums up to 141.25%. If not called, maturity pays $1,000 if Final Value ≥ Barrier (50.00%); otherwise $1,000 + $1,000×Underlying Return.

What is the role of the MerQube index (MQUSLVA) in these notes?

The MerQube index provides dynamic exposure to rolling E-Mini S&P 500 futures with a maximum Futures exposure of 500% and a 6.0% per annum daily deduction that is applied to the Underlying level and affects returns used to determine payments.

How much principal could I lose at maturity for AMJB notes?

If the Final Value is below the Barrier Amount (50.00% of Initial Value), investors can lose more than 50.00% of principal and potentially all principal because maturity equals $1,000 + $1,000×Underlying Return, which can be zero or negative.

What is the estimated value and secondary market liquidity?

The estimated value will be at least $900.00 per $1,000 note when terms are set, likely below the public price. J.P. Morgan Securities LLC may offer secondary purchases but is not required; secondary prices may result in significant principal loss.

Who bears credit risk for payments on these notes?

All payments are subject to the credit risk of JPMorgan Chase Financial Company LLC as issuer and JPMorgan Chase & Co. as guarantor; any payment depends on their ability to meet obligations under the notes.