JPMorgan offers auto‑call contingent coupon notes linked to MQUSLVA

Q: What coupon rate does JPM (JPMorgan) offer on these contingent interest notes?

The notes pay a Contingent Interest Rate of at least 10.60% per annum, payable quarterly at a rate of at least 2.65% per quarter, subject to the Index meeting the Interest Barrier on Review Dates.

Q: When can the JPM notes be automatically called and what happens then?

The earliest automatic call date is May 27, 2027; if called, each note pays $1,000 plus the applicable Contingent Interest Payment and the notes terminate on the Call Settlement Date.

Q: How does the MerQube Index deduction affect returns on these JPM notes?

The Index is reduced by a 6.0% per annum daily deduction, which lowers index performance over time and is a key driver of the notes’ pricing and the probability of receiving contingent coupons.

Q: What are the expected issue and estimated values per note?

The notes are expected to price on or about May 27, 2026 with an estimated value of approximately $891.50 per $1,000 and an estimated value floor of $880.00 per $1,000 when terms are set.

JPMorgan Chase Financial Company LLC is offering Auto Callable Contingent Interest Notes linked to the MerQube US Large‑Cap Vol Advantage Index, expected to price on or about May 27, 2026 and settle on or about May 29, 2026.

Filing Impact

(Neutral)

Filing Sentiment

(Neutral)

Form Type

424B2

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is offering Auto Callable Contingent Interest Notes linked to the MerQube US Large‑Cap Vol Advantage Index, expected to price on or about May 27, 2026 and settle on or about May 29, 2026. The notes pay contingent quarterly interest only if the Index closes at or above an Interest Barrier equal to 60.00% of the Initial Value, carry an automatic call feature beginning on May 27, 2027, and mature on May 30, 2031.

The Index applies a 6.0% per annum daily deduction that materially reduces index performance. If not called and the Final Value is below the Trigger Value, principal is linked to the Index Return and investors may lose a substantial portion or all principal. The estimated value is approximately $891.50 per $1,000 note (minimum $880.00).

Insights

Auto‑callable contingent coupon notes trade off downside exposure for conditional coupon payments.

The notes offer a contingent quarterly coupon at a stated minimum of 10.60% per annum payable only when the Index on a Review Date is at or above an Interest Barrier of 60.00%. The notes are auto‑callable beginning on May 27, 2027, which can shorten the term and crystallize returns.

The instrument’s economics are driven by a 6.0% per annum daily deduction to the Index and weekly target‑volatility leverage. Both features materially affect the probability of coupon payments and terminal principal outcomes; subsequent pricing and secondary market values will reflect issuer credit spreads and these index mechanics.

Tax treatment is uncertain; issuer expects treatment as a prepaid forward with contingent coupons.

The issuer intends to treat the notes as prepaid forward contracts with contingent coupons and to characterize Contingent Interest Payments as ordinary income for U.S. holders. This position is subject to alternative interpretations by the IRS or a court and to potential regulatory guidance.

Non‑U.S. Holders may face withholding risk; the issuer expects to withhold under general rules unless proper documentation is provided. Consult a tax adviser for individualized analysis.

Key Figures

Contingent Interest Rate: $\geq10.60% per annum Interest Barrier / Trigger: 60.00% Index daily deduction: 6.0% per annum +5 more

8 metrics

Contingent Interest Rate <money>$\geq10.60% per annum</money> payable at least <money>2.65%</money> per quarter

Interest Barrier / Trigger <percent>60.00%</percent> of the Initial Value (Trigger/Interest Barrier)

Index daily deduction <percent>6.0% per annum</percent> deducted daily from Index level

Estimated value per note <money>$891.50 per $1,000</money> estimated value if notes priced today

Minimum estimated value <money>$880.00 per $1,000</money> minimum when terms are set

Pricing/Settlement Pricing on or about <date>May 27, 2026</date>; Settlement <date>May 29, 2026</date> expected dates

Maturity <date>May 30, 2031</date> final maturity date

Earliest automatic call <date>May 27, 2027</date> first callable Review Date

Key Terms

Contingent Interest Payment, daily deduction, excess return index, automatic call, +1 more

5 terms

Contingent Interest Payment financial

"If the notes have not been automatically called and the closing level of the Index on any Review Date is greater than or equal to the Interest Barrier, you will receive"

daily deduction financial

"The Index is subject to a 6.0% per annum daily deduction"

excess return index financial

"The Index is an excess return index that does not reflect "total returns""

automatic call financial

"If the closing level of the Index on any Review Date ... is greater than or equal to the Initial Value, the notes will be automatically called"

An automatic call is a feature of certain bonds or structured notes that forces the issuer to repay the investment early if a preset condition—usually the price of a stock or index—meets or exceeds a set level on a review date. For investors it matters because it can end the investment sooner than expected, locking in a defined payout but also creating reinvestment risk and changing the timing of returns much like an appliance that turns itself off when it reaches a set temperature.

Index Return financial

"Index Return (Final Value – Initial Value) / Initial Value"

Offering Details

other

Offering

Offering Type other

Price Range price to public per note <money>$1,000</money> (selling commissions and components disclosed separately)

Use of Proceeds proceeds used as issuer determines; original issue price equals estimated value plus selling commissions and hedging/structuring costs

FAQ

AI-generated questions and answers. How Rhea-AI works. Not financial advice.

What coupon rate does JPM (JPMorgan) offer on these contingent interest notes?

The notes pay a Contingent Interest Rate of at least 10.60% per annum, payable quarterly at a rate of at least 2.65% per quarter, subject to the Index meeting the Interest Barrier on Review Dates.

When can the JPM notes be automatically called and what happens then?

The earliest automatic call date is May 27, 2027; if called, each note pays $1,000 plus the applicable Contingent Interest Payment and the notes terminate on the Call Settlement Date.

How does the MerQube Index deduction affect returns on these JPM notes?

The Index is reduced by a 6.0% per annum daily deduction, which lowers index performance over time and is a key driver of the notes’ pricing and the probability of receiving contingent coupons.

What principal risk do investors face at maturity for the JPM notes?

If not called and the Final Value is below the Trigger Value (60.00% of Initial Value), maturity payment equals $1,000 + ($1,000 × Index Return), potentially resulting in a loss of more than 40.00% or the full principal.

What are the expected issue and estimated values per note?

The notes are expected to price on or about May 27, 2026 with an estimated value of approximately $891.50 per $1,000 and an estimated value floor of $880.00 per $1,000 when terms are set.

AI-generated analysis. How Rhea-AI works. Not financial advice.

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Accepted by SEC EDGAR 05/15/2026 - 09:39 AM

The information in this preliminary pricing supplement is not complete and may be changed.  This preliminary pricing supplement is not 

an offer to sell nor does it seek an offer to buy these securities in any jurisdiction where the offer or sale is not permitted. 

Subject to completion dated May 14, 2026 

May     , 2026  Registration Statement Nos. 333-293684 and 333-293684-01; Rule 424(b)(2) 

Pricing supplement to product supplement no. 3-I dated April 17, 2026, underlying supplement no. 5-I dated April 17, 2026 and the prospectus and 

prospectus supplement, each dated April 17, 2026 

JPMorgan Chase Financial Company LLC 

Structured Investments 

Auto Callable Contingent Interest Notes Linked to the 

MerQube US Large-Cap Vol Advantage Index due May 30, 

2031

Fully and Unconditionally Guaranteed by JPMorgan Chase & Co. 

•  The notes are designed for investors who seek a Contingent Interest Payment with respect to each Review Date for 

which the closing level of the MerQube US Large-Cap Vol Advantage Index, which we refer to as the Index, is greater 

than or equal to 60.00% of the Initial Value, which we refer to as the Interest Barrier.   

•  If the closing level of the Index is greater than or equal to the Interest Barrier on any Review Date, investors will receive, 

in addition to the Contingent Interest Payment with respect to that Review Date, any previously unpaid Contingent 

Interest Payments for prior Review Dates. 

•  The notes will be automatically called if the closing level of the Index on any Review Date (other than the first, second, 

third and final Review Dates) is greater than or equal to the Initial Value. 

•  The earliest date on which an automatic call may be initiated is May 27, 2027. 

•  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 Review Dates.

•  Investors should also be willing to forgo fixed interest and dividend payments, in exchange for the opportunity to receive 

Contingent Interest Payments. 

• The Index is subject to a 6.0% per annum daily deduction.  This daily deduction will offset any appreciation of 

the futures contracts included in the Index, will heighten any depreciation of those futures contracts and will 

generally be a drag on the performance of the Index.  The Index will trail the performance of an identical index 

without a deduction.  See “Selected Risk Considerations — Risks Relating to the Notes Generally — The Level 

of the Index Will Include a 6.0% per Annum Daily Deduction” in this pricing supplement. 

•  The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to 

as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co.  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. 

•  Minimum denominations of $1,000 and integral multiples thereof 

•  The notes are expected to price on or about May 27, 2026 and are expected to settle on or about May 29, 2026.  

•  CUSIP: 46661A5R7 

Investing in the notes involves a number of risks.  See “Risk Factors” beginning on page S-2 of the accompanying 

prospectus supplement, “Risk Factors” beginning on page PS-12 of the accompanying product supplement, “Risk 

Factors” beginning on page US-4 of the accompanying underlying supplement and “Selected Risk Considerations” 

beginning on page PS-6 of this pricing supplement. 

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved 

of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, 

underlying supplement, prospectus supplement and prospectus.  Any representation to the contrary is a criminal offense. 

Price to Public (1) 

Fees and Commissions (2) 

Proceeds to Issuer 

Per note 

$1,000 

$

$

Total 

$

$

$

(1) See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the 

notes. 

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling 

commissions it receives from us to other affiliated or unaffiliated dealers.  In no event will these selling commissions exceed $50.00 per 

$1,000 principal amount note.  See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.   

If the notes priced today, the estimated value of the notes would be approximately $891.50 per $1,000 principal amount 

note.  The estimated value of the notes, when the terms of the notes are set, will be provided in the pricing supplement 

and will not be less than $880.00 per $1,000 principal amount note.  See “The Estimated Value of the Notes” in this 

pricing supplement for additional information.   

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.

PS-1 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Key Terms 

Issuer: JPMorgan Chase Financial Company LLC, a direct, 

wholly owned finance subsidiary of JPMorgan Chase & Co. 

Guarantor: JPMorgan Chase & Co. 

Index: The MerQube US Large-Cap Vol Advantage Index 

(Bloomberg ticker: MQUSLVA).  The level of the Index reflects a 

deduction of 6.0% per annum that accrues daily. 

Contingent Interest Payments: If the notes have not been 

automatically called and the closing level of the Index on any 

Review Date is greater than or equal to the Interest Barrier, you 

will receive on the applicable Interest Payment Date for each 

$1,000 principal amount note a Contingent Interest Payment 

equal to at least $26.50 (equivalent to a Contingent Interest 

Rate of at least 10.60% per annum, payable at a rate of at least 

2.65% per quarter) (to be provided in the pricing supplement), 

plus any previously unpaid Contingent Interest Payments for 

any prior Review Dates. 

If the Contingent Interest Payment is not paid on any Interest 

Payment Date, that unpaid Contingent Interest Payment will be 

paid on a later Interest Payment Date if the closing level of the 

Index on the Review Date related to that later Interest Payment 

Date is greater than or equal to the Interest Barrier.  You will not 

receive any unpaid Contingent Interest Payments if the closing 

level of the Index on each subsequent Review Date is less than 

the Interest Barrier. 

Contingent Interest Rate: At least 10.60% per annum, payable 

at a rate of at least 2.65% per quarter (to be provided in the 

pricing supplement) 

Interest Barrier / Trigger Value: 60.00% of the Initial Value 

Pricing Date: On or about May 27, 2026 

Original Issue Date (Settlement Date): On or about May 29, 

2026

Review Dates*: August 27, 2026, November 27, 2026, March 

1, 2027, May 27, 2027, August 27, 2027, November 29, 2027, 

February 28, 2028, May 30, 2028, August 28, 2028, November 

27, 2028, February 27, 2029, May 29, 2029, August 27, 2029, 

November 27, 2029, February 27, 2030, May 28, 2030, August 

27, 2030, November 27, 2030, February 27, 2031 and May 27, 

2031 (final Review Date) 

Interest Payment Dates*: September 1, 2026, December 2, 

2026, March 4, 2027, June 2, 2027, September 1, 2027, 

December 2, 2027, March 2, 2028, June 2, 2028, August 31, 

2028, November 30, 2028, March 2, 2029, June 1, 2029, 

August 30, 2029, November 30, 2029, March 4, 2030, May 31, 

2030, August 30, 2030, December 3, 2030, March 4, 2031 and 

the Maturity Date 

Maturity Date*: May 30, 2031 

Call Settlement Date*: If the notes are automatically called on 

any Review Date (other than the first, second, third and final 

Review Dates), the first Interest Payment Date immediately 

following that Review Date 

* Subject to postponement in the event of a market disruption event 

and as described under “Supplemental Terms of the Notes — 

Postponement of a Determination Date — Notes Linked Solely to 

an Index” in the accompanying underlying supplement and “General 

Terms of Notes — Postponement of a Payment Date” in the 

accompanying product supplement   

Automatic Call: 

If the closing level of the Index on any Review Date (other than 

the first, second, third and final Review Dates) is greater than or 

equal to the Initial Value, the notes will be automatically called 

for a cash payment, for each $1,000 principal amount note, 

equal to (a) $1,000 plus (b) the Contingent Interest Payment 

applicable to that Review Date plus (c) any previously unpaid 

Contingent Interest Payments for any prior Review Dates, 

payable on the applicable Call Settlement Date.  No further 

payments will be made on the notes. 

Payment at Maturity: 

If the notes have not been automatically called and the Final 

Value is greater than or equal to the Trigger Value, you will 

receive a cash payment at maturity, for each $1,000 principal 

amount note, equal to (a) $1,000 plus (b) the Contingent 

Interest Payment applicable to the final Review Date plus (c) 

any previously unpaid Contingent Interest Payments for any 

prior Review Dates. 

If the notes have not been automatically called and the Final 

Value is less than the Trigger Value, your payment at maturity 

per $1,000 principal amount note will be calculated as follows: 

$1,000 + ($1,000 × Index Return) 

If the notes have not been automatically called and the Final 

Value is less than the Trigger Value, you will lose more than 

40.00% of your principal amount at maturity and could lose all 

of your principal amount at maturity. 

Index Return: 

(Final Value – Initial Value) 

Initial Value 

Initial Value: The closing level of the Index on the Pricing Date 

Final Value: The closing level of the Index on the final Review 

Date 

PS-2 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

The MerQube US Large-Cap Vol Advantage Index 

The MerQube US Large-Cap Vol Advantage Index (the “Index”) was developed by MerQube (the “Index Sponsor” and “Index 

Calculation Agent”), in coordination with JPMS, and is maintained by the Index Sponsor and is calculated and published by the Index 

Calculation Agent.  The Index was established on February 11, 2022. An affiliate of ours currently has an approximately 10% equity 

interest in the Index Sponsor, and an employee of JPMS, another of our affiliates, is a member of the board of directors of the Index 

Sponsor. 

The Index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini® S&P 500® futures (the 

“Futures Contracts”), which reference the S&P 500® Index, while targeting a level of implied volatility, with a maximum exposure to the 

Futures Contracts of 500% and a minimum exposure to the Futures Contracts of 0%.  The Index is subject to a 6.0% per annum daily 

deduction.  The S&P 500® Index consists of stocks of 500 companies selected to provide a performance benchmark for the U.S. equity 

markets.  For more information about the Futures Contracts and the S&P 500® Index, see “Background on the Futures Contracts — 

Background on E-mini® S&P 500® Futures” and “Background on the S&P 500® Index,” respectively, in the accompanying underlying 

supplement. 

On each weekly Index rebalance day, the exposure to the Futures Contracts is set equal to (a) the 35% implied volatility target (the 

“target volatility”) divided by (b) the one-week implied volatility of the State Street® SPDR® S&P 500® ETF Trust (the “SPY Fund”), 

subject to a maximum exposure of 500%.  For example, if the implied volatility of the SPY Fund is equal to 17.5%, the exposure to the 

Futures Contracts will equal 200% (or 35% / 17.5%) and if the implied volatility of the SPY Fund is equal to 40%, the exposure to the 

Futures Contracts will equal 87.5% (or 35% / 40%).  The Index’s exposure to the Futures Contracts will be greater than 100% when the 

implied volatility of the SPY Fund is below 35%, and the Index’s exposure to the Futures Contracts will be less than 100% when the 

implied volatility of the SPY Fund is above 35%.  In general, the Index’s target volatility feature is expected to result in the volatility of 

the Index being more stable over time than if no target volatility feature were employed.  No assurance can be provided that the 

volatility of the Index will be stable at any time. 

The investment objective of the SPY Fund is to provide investment results that, before expenses, correspond generally to the price and 

yield performance of the S&P 500® Index.  For more information about the SPY Fund, see “Background on the State Street® SPDR® 

S&P 500® ETF Trust” in the accompanying underlying supplement.  The Index uses the implied volatility of the SPY Fund as a proxy for 

the volatility of the Futures Contracts. 

The 6.0% per annum daily deduction will offset any appreciation of the Futures Contracts, will heighten any depreciation of the Futures 

Contracts and will generally be a drag on the performance of the Index.  The Index will trail the performance of an identical index 

without a deduction.   

Holding the estimated value of the notes and market conditions constant, the Contingent Interest Rate, the Interest Barrier, the Trigger 

Value and the other economic terms available on the notes are more favorable to investors than the terms that would be available on a 

hypothetical note issued by us linked to an identical index without a daily deduction.  However, there can be no assurance that any 

improvement in the terms of the notes derived from the daily deduction will offset the negative effect of the daily deduction on the 

performance of the Index.  The return on the notes may be lower than the return on a hypothetical note issued by us linked to an 

identical index without a daily deduction. 

The daily deduction and the volatility of the Index (as influenced by the Index’s target volatility feature) are two of the primary variables 

that affect the economic terms of the notes.  Additionally, the daily deduction and volatility of the Index are two of the inputs our 

affiliates’ internal pricing models use to value the derivative or derivatives underlying the economic terms of the notes for purposes of 

determining the estimated value of the notes set forth on the cover of this pricing supplement.  The daily deduction will effectively 

reduce the value of the derivative or derivatives underlying the economic terms of the notes.  See “The Estimated Value of the Notes” 

and “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes” in this pricing 

supplement.  

The Index is subject to risks associated with the use of significant leverage.  In addition, the Index may be significantly 

uninvested on any given day, and, in that case, will realize only a portion of any gains due to appreciation of the Futures 

Contracts on that day.  The index deduction is deducted daily at a rate of 6.0% per annum, even when the Index is not fully 

invested. 

No assurance can be given that the investment strategy used to construct the Index will achieve its intended results or that 

the Index will be successful or will outperform any alternative index or strategy that might reference the Futures Contracts. 

For additional information about the Index, see “The MerQube Vol Advantage Index Series” in the accompanying underlying 

supplement. 

PS-3 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Supplemental Terms of the Notes 

The notes are not futures contracts or swaps and are not regulated under the Commodity Exchange Act, as amended (the 

“Commodity Exchange Act”).  The notes are offered pursuant to an exemption from regulation under the Commodity Exchange Act, 

commonly known as the hybrid instrument exemption, that is available to securities that have one or more payments indexed to the 

value, level or rate of one or more commodities, as set out in section 2(f) of that statute.  Accordingly, you are not afforded any 

protection provided by the Commodity Exchange Act or any regulation promulgated by the Commodity Futures Trading Commission. 

How the Notes Work 

Payments in Connection with the First, Second and Third Review Dates 

Payments in Connection with Review Dates (Other than the First, Second, Third and Final Review Dates) 

The closing level of the Index is greater than or 

equal to the Interest Barrier.

The closing level of the Index is less than the Interest 

Barrier.

First, Second and Third Review Dates

Compare the closing level of the Index to the Interest Barrier on each Review Date.

You will receive (a) a Contingent Interest Payment on the

applicable Interest Payment Date plus (b) any previously unpaid 

Contingent Interest Payments for any prior Review Dates.

Proceed to the next Review Date.

No Contingent Interest Payment will be made with respect to

the applicable Review Date.

Proceed to the next Review Date.

The notes will be automatically called on the applicable Call Settlement Date and you will 

receive (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date 

plus (c) any previously unpaid Contingent Interest Payments for any prior Review Dates. 

No further payments will be made on the notes.

Review Dates (Other than the First, Second, Third and Final Review Dates)

Automatic Call

The closing level of the 

Index is greater than or 

equal to the Initial Value.

The closing level of the 

Index is less than the 

Initial Value.

Initial 

Value You will receive (a) a Contingent 

Interest Payment on the applicable 

Interest Payment Date plus (b) any 

previously unpaid Contingent Interest 

Payments for any prior Review 

Dates. 

Proceed to the next Review Date.

The closing level of the 

Index is greater than or 

equal to the Interest 

Barrier.

No

Automatic

Call No Contingent Interest Payment will 

be made with respect to the 

applicable Review Date.

Proceed to the next Review Date.

The closing level of the Index 

is less than the Interest 

Barrier.

Compare the closing level of the Index to the Initial Value and the Interest Barrier on each Review Date until the final Review 

Date or any earlier automatic call.

PS-4 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Payment at Maturity If the Notes Have Not Been Automatically Called  

Total Contingent Interest Payments 

The table below illustrates the hypothetical total Contingent Interest Payments per $1,000 principal amount note over the term of the 

notes based on a hypothetical Contingent Interest Rate of 10.60% per annum, depending on how many Contingent Interest Payments 

are made prior to automatic call or maturity.  The actual Contingent Interest Rate will be provided in the pricing supplement and will be 

at least 10.60% per annum (payable at a rate of at least 2.65% per quarter). 

Number of Contingent 

Interest Payments 

Total Contingent Interest 

Payments 

20

$530.00 

19

$503.50 

18

$477.00 

17

$450.50 

16

$424.00 

15

$397.50 

14

$371.00 

13

$344.50 

12

$318.00 

11

$291.50 

10

$265.00 

9

$238.50 

8

$212.00 

7

$185.50 

6

$159.00 

5

$132.50 

4

$106.00 

3

$79.50 

2

$53.00 

1

$26.50 

0

$0.00 

Review Dates Preceding the 

Final Review Date

You will receive (a) $1,000 plus (b) the 

Contingent Interest Payment  

applicable to the final Review Date 

plus (c) any previously unpaid 

Contingent Interest Payments for any 

prior Review Dates.

The notes are not 

automatically called.

Proceed to maturity

Final Review Date Payment at Maturity

The Final Value is greater than or equal to the 

Trigger Value.

You will receive:

$1,000 + ($1,000 ×Index Return)

Under these circumstances, you will 

lose a significant portion or all of your 

principal amount at maturity.

The Final Value is less than the Trigger Value.

PS-5 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Hypothetical Payout Examples  

The following examples illustrate payments on the notes linked to a hypothetical Index, assuming a range of performances for the 

hypothetical Index on the Review Dates.  The hypothetical payments set forth below assume the following: 

• an Initial Value of 100.00;  

•  an Interest Barrier and a Trigger Value of 60.00 (equal to 60.00% of the hypothetical Initial Value); and

•  a Contingent Interest Rate of 10.60% per annum. 

The hypothetical Initial Value of 100.00 has been chosen for illustrative purposes only and may not represent a likely actual Initial 

Value.  The actual Initial Value will be the closing level of the Index on the Pricing Date and will be provided in the pricing supplement.  

For historical data regarding the actual closing levels of the Index, please see the historical information set forth under “Hypothetical 

Back-Tested Data and Historical Information” in this pricing supplement. 

Each hypothetical payment set forth below is for illustrative purposes only and may not be the actual payment applicable to a purchaser 

of the notes.  The numbers appearing in the following examples have been rounded for ease of analysis. 

Example 1 — Notes are automatically called on the fourth Review Date. 

Date 

Closing Level 

Payment (per $1,000 principal amount note) 

First Review Date 

105.00 

$26.50 

Second Review Date 

115.00 

$26.50 

Third Review Date 

110.00 

$26.50 

Fourth Review Date 

110.00 

$1,026.50 

Total Payment 

$1,106.00 (10.60% return) 

Because the closing level of the Index on the fourth Review Date is greater than or equal to the Initial Value, the notes will be 

automatically called for a cash payment, for each $1,000 principal amount note, of $1,026.50 (or $1,000 plus the Contingent Interest 

Payment applicable to the fourth Review Date), payable on the applicable Call Settlement Date.  The notes are not automatically 

callable before the fourth Review Date, even though the closing level of the Index on each of the first, second and third Review Dates is 

greater than the Initial Value.  When added to the Contingent Interest Payments received with respect to the prior Review Dates, the 

total amount paid, for each $1,000 principal amount note, is $1,106.00.  No further payments will be made on the notes. 

Example 2 — Notes have NOT been automatically called and the Final Value is greater than or equal to the Trigger Value. 

Date 

Closing Level 

Payment (per $1,000 principal amount note) 

First Review Date 

90.00 

$26.50 

Second Review Date 

85.00 

$26.50 

Third through Nineteenth 

Review Dates 

Less than Interest Barrier 

$0

Final Review Date 

90.00 

$1,477.00 

Total Payment 

$1,530.00 (53.00% return) 

Because the notes have not been automatically called and the Final Value is greater than or equal to the Trigger Value, the payment at 

maturity, for each $1,000 principal amount note, will be $1,477.00 (or $1,000 plus the Contingent Interest Payment applicable to the 

final Review Date plus the unpaid Contingent Interest Payments for any prior Review Dates).  When added to the Contingent Interest 

Payments received with respect to the prior Review Dates, the total amount paid, for each $1,000 principal amount note, is $1,530.00. 

Example 3 — Notes have NOT been automatically called and the Final Value is less than the Trigger Value. 

Date 

Closing Level 

Payment (per $1,000 principal amount note) 

First Review Date 

40.00 

$0

Second Review Date 

45.00 

$0

Third through Nineteenth 

Review Dates 

Less than Interest Barrier 

$0

Final Review Date 

40.00 

$400.00 

Total Payment 

$400.00 (-60.00% return) 

PS-6 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Because the notes have not been automatically called, the Final Value is less than the Trigger Value and the Index Return is -60.00%, 

the payment at maturity will be $400.00 per $1,000 principal amount note, calculated as follows: 

$1,000 + [$1,000 × (-60.00%)] = $400.00 

The hypothetical returns and hypothetical payments 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 the fees or expenses that would be associated with any sale in the 

secondary market.  If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would 

likely be lower. 

Selected Risk Considerations 

An investment in the notes involves significant risks.  These risks are explained in more detail in the “Risk Factors” sections of the 

accompanying prospectus supplement, product supplement and underlying supplement. 

Risks Relating to the Notes Generally 

• YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS —  

The notes do not guarantee any return of principal.  If the notes have not been automatically called and the Final Value is less than 

the Trigger Value, you will lose 1% of the principal amount of your notes for every 1% that the Final Value is less than the Initial 

Value.  Accordingly, under these circumstances, you will lose more than 40.00% of your principal amount at maturity and could 

lose all of your principal amount at maturity. 

• THE NOTES DO NOT GUARANTEE THE PAYMENT OF INTEREST AND MAY NOT PAY ANY INTEREST AT ALL — 

If the notes have not been automatically called, we will make a Contingent Interest Payment with respect to a Review Date (and we 

will pay you any previously unpaid Contingent Interest Payments for any prior Review Dates) only if the closing level of the Index 

on that Review Date is greater than or equal to the Interest Barrier.  If the closing level of the Index on a Review Date is less than 

the Interest Barrier, no Contingent Interest Payment will be made with respect to that Review Date.  You will not receive any unpaid 

Contingent Interest Payments if the closing level of the Index on each subsequent Review Date is less than the Interest Barrier.  

Accordingly, if the closing level of the Index on each Review Date is less than the Interest Barrier, you will not receive any interest 

payments over the term of the notes. 

• THE LEVEL OF THE INDEX WILL INCLUDE A 6.0% PER ANNUM DAILY DEDUCTION — 

The Index is subject to a 6.0% per annum daily deduction.  The level of the Index will trail the value of an identically constituted 

synthetic portfolio that is not subject to any such deduction. 

The index deduction will place a significant drag on the performance of the Index, potentially offsetting positive returns on the 

Index’s investment strategy, exacerbating negative returns of its investment strategy and causing the level of the Index to decline 

steadily if the return of its investment strategy is relatively flat.  The Index will not appreciate unless the return of its investment 

strategy is sufficient to offset the negative effects of the index deduction, and then only to the extent that the return of its investment 

strategy is greater than the index deduction.  As a result of the index deduction, the level of the Index may decline even if the return 

of its investment strategy is positive. 

The daily deduction is one of the inputs our affiliates’ internal pricing models use to value the derivative or derivatives underlying 

the economic terms of the notes for purposes of determining the estimated value of the notes set forth on the cover of this pricing 

supplement.  The daily deduction will effectively reduce the value of the derivative or derivatives underlying the economic terms of 

the notes.  See “The Estimated Value of the Notes” and “— Risks Relating to the Estimated Value and Secondary Market Prices of 

the Notes” in this pricing supplement. 

• CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. —  

Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes.  Any actual or potential 

change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit 

risk, is likely to adversely affect the value of the notes.  If we and JPMorgan Chase & Co. were to default on our payment 

obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment. 

• AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT ACTIVITIES AND HAS LIMITED ASSETS —  

As a finance subsidiary of JPMorgan Chase & Co., we have no independent activities beyond the issuance and administration of 

our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., 

substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to 

JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan 

PS-7 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Chase & Co. to meet our obligations under the notes. We are not an operating subsidiary of JPMorgan Chase & Co. and in a 

bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in 

respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make 

payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that 

guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more 

information, see “Risk Factors — Holders of securities issued by JPMorgan Financial may be subject to losses if JPMorgan Chase 

& Co. were to enter into a resolution” in the accompanying prospectus supplement. 

• THE APPRECIATION POTENTIAL OF THE NOTES IS LIMITED TO THE SUM OF ANY CONTINGENT INTEREST PAYMENTS 

THAT MAY BE PAID OVER THE TERM OF THE NOTES,  

regardless of any appreciation of the Index, which may be significant.  You will not participate in any appreciation of the Index. 

• THE BENEFIT PROVIDED BY THE TRIGGER VALUE MAY TERMINATE ON THE FINAL REVIEW DATE —  

If the Final Value is less than the Trigger Value and the notes have not been automatically called, the benefit provided by the 

Trigger Value will terminate and you will be fully exposed to any depreciation of the Index.  

• THE AUTOMATIC CALL FEATURE MAY FORCE A POTENTIAL EARLY EXIT — 

If your notes are automatically called, the term of the notes may be reduced to as short as approximately one year and you will not 

receive any Contingent Interest Payments after the applicable Call Settlement Date.  There is no guarantee that you would be able 

to reinvest the proceeds from an investment in the notes at a comparable return and/or with a comparable interest rate for a similar 

level of risk.  Even in cases where the notes are called before maturity, you are not entitled to any fees and commissions described 

on the front cover of this pricing supplement. 

• YOU WILL NOT RECEIVE DIVIDENDS OR OTHER DISTRIBUTIONS ON THE SECURITIES UNDERLYING THE S&P 500® 

INDEX OR HAVE ANY RIGHTS WITH RESPECT TO THOSE SECURITIES OR THE FUTURES CONTRACTS UNDERLYING 

THE INDEX. 

• THE RISK OF THE CLOSING LEVEL OF THE INDEX FALLING BELOW THE INTEREST BARRIER OR THE TRIGGER VALUE 

IS GREATER IF THE LEVEL OF THE INDEX IS VOLATILE. 

• JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH, EXPRESSED OPINIONS OR PROVIDED 

RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES, AND MAY DO SO IN 

THE FUTURE — 

Any research, opinions or recommendations could affect the market value of the notes.  Investors should undertake their own 

independent investigation of the merits of investing in the notes, the Index and the futures contracts composing the Index. 

• LACK OF LIQUIDITY —  

The notes will not be listed on any securities exchange.  Accordingly, the price at which you may be able to trade your notes is 

likely to depend on the price, if any, at which JPMS is willing to buy the notes.  You may not be able to sell your notes.  The notes 

are not designed to be short-term trading instruments.  Accordingly, you should be able and willing to hold your notes to maturity. 

• THE FINAL TERMS AND VALUATION OF THE NOTES WILL BE PROVIDED IN THE PRICING SUPPLEMENT — 

You should consider your potential investment in the notes based on the minimums for the estimated value of the notes and the 

Contingent Interest Rate. 

Risks Relating to Conflicts of Interest 

• POTENTIAL CONFLICTS —  

We and our affiliates play a variety of roles in connection with the notes.  In performing these duties, our and JPMorgan Chase & 

Co.’s economic interests are potentially adverse to your interests as an investor in the notes.  It is possible that hedging or trading 

activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the 

value of the notes declines.  Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product 

supplement. 

An affiliate of ours currently has an approximately 10% equity interest in the Index Sponsor, and an employee of JPMS, another of 

our affiliates, is a member of the board of directors of the Index Sponsor.  The Index Sponsor can implement policies, make 

judgments or enact changes to the Index methodology that could negatively affect the performance of the Index.  The Index 

Sponsor can also alter, discontinue or suspend calculation or dissemination of the Index.  Any of these actions could adversely 

PS-8 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

affect the value of the notes.  The Index Sponsor has no obligation to consider your interests in calculating, maintaining or revising 

the Index, and we, JPMS, our other affiliates and our respective employees are under no obligation to consider your interests as an 

investor in the notes in connection with the role of our affiliate as an owner of an equity interest in the Index Sponsor or the role of 

an employee of JPMS as a member of the board of directors of the Index Sponsor. 

In addition, JPMS worked with the Index Sponsor in developing the guidelines and policies governing the composition and 

calculation of the Index.  Although judgments, policies and determinations concerning the Index were made by JPMS, JPMorgan 

Chase & Co., as the parent company of JPMS, ultimately controls JPMS.  The policies and judgments for which JPMS was 

responsible could have an impact, positive or negative, on the level of the Index and the value of your notes.  JPMS is under no 

obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the 

Index or making judgments that may affect the level of the Index. 

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes 

• THE ESTIMATED VALUE OF THE NOTES WILL BE LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF 

THE NOTES —  

The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the 

notes will exceed the estimated value of the notes because costs associated with selling, structuring and hedging the notes are 

included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our 

affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, the estimated cost of hedging our 

obligations under the notes and the fees, if any, paid for third-party data analytics and/or electronic platform services. See “The 

Estimated Value of the Notes” in this pricing supplement. 

• THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER 

FROM OTHERS’ ESTIMATES —  

See “The Estimated Value of the Notes” in this pricing supplement. 

• THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE —  

The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding 

rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates.  Any difference may 

be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, 

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income 

instruments of JPMorgan Chase & Co.  This internal funding rate is based on certain market inputs and assumptions, which may 

prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.  The use of an 

internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any 

secondary market prices of the notes.  See “The Estimated Value of the Notes” in this pricing supplement. 

• THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT 

STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME 

PERIOD —  

We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in 

connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period.  

See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period.  

Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by 

JPMS (and which may be shown on your customer account statements). 

• SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE 

NOTES —  

Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other 

things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, 

also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, estimated hedging 

costs and fees, if any, paid for third-party data analytics and/or electronic platform services that are included in the original issue 

price of the notes.  As a result, the price, if any, at which JPMS will be willing to buy the notes from you in secondary market 

transactions, if at all, is likely to be lower than the original issue price.  Furthermore, if you sell your notes, you will likely be charged 

a commission for secondary market transactions, or the price will likely reflect a dealer discount and/or fees for use of an electronic 

platform to facilitate secondary market activity.  Any sale by you prior to the Maturity Date could result in a substantial loss to you. 

PS-9 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

• SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS —  

The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which 

may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging 

costs and the level of the Index.  Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for 

the notes, which may also be reflected on customer account statements.  This price may be different (higher or lower) than the 

price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market.  See “Risk Factors — 

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be 

impacted by many economic and market factors” in the accompanying product supplement. 

Risks Relating to the Index  

• JPMORGAN CHASE & CO. IS CURRENTLY ONE OF THE COMPANIES THAT MAKE UP THE S&P 500® INDEX, 

but JPMorgan Chase & Co. will not have any obligation to consider your interests in taking any corporate action that might affect 

the level of the S&P 500® Index. 

• THE INDEX SPONSOR MAY ADJUST THE INDEX IN A WAY THAT AFFECTS ITS LEVEL, AND THE INDEX SPONSOR HAS 

NO OBLIGATION TO CONSIDER YOUR INTERESTS —  

The Index Sponsor is responsible for maintaining the Index. The Index Sponsor can add, delete or substitute the components of 

the Index or make other methodological changes that could affect the level of the Index. The Index Sponsor has no obligation to 

consider your interests in calculating or revising the Index. 

• THE INDEX MAY NOT BE SUCCESSFUL OR OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED 

IN RESPECT OF THE FUTURES CONTRACTS — 

No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will 

outperform any alternative strategy that might be employed with respect to the Futures Contracts. 

• THE INDEX MAY NOT APPROXIMATE ITS TARGET VOLATILITY — 

No assurance can be given that the Index will maintain an annualized realized volatility that approximates its target volatility of 

35%.  The Index’s target volatility is a level of implied volatility and therefore the actual realized volatility of the Index may be 

greater or less than the target volatility.  On each weekly Index rebalance day, the Index’s exposure to the Futures Contracts is set 

equal to (a) the 35% implied volatility target divided by (b) the one-week implied volatility of the SPY Fund, subject to a maximum 

exposure of 500%.  The Index uses the implied volatility of the SPY Fund as a proxy for the volatility of the Futures Contracts.  

However, there is no guarantee that the methodology used by the Index to determine the implied volatility of the SPY Fund will be 

representative of the implied or realized volatility of the Futures Contracts.  The performance of the SPY Fund may not correlate 

with the performance of the Futures Contracts, particularly during periods of market volatility.  In addition, the volatility of the 

Futures Contracts on any day may change quickly and unexpectedly and realized volatility may differ significantly from implied 

volatility.  In general, over time, the realized volatilities of the SPY Fund and the Futures Contracts have tended to be lower than 

their respective implied volatilities; however, at any time those realized volatilities may exceed their respective implied volatilities, 

particularly during periods of market volatility.  Accordingly, the actual annualized realized volatility of the Index may be greater 

than or less than the target volatility, which may adversely affect the level of the Index and the value of the notes. 

• THE INDEX IS SUBJECT TO RISKS ASSOCIATED WITH THE USE OF SIGNIFICANT LEVERAGE — 

On a weekly Index rebalance day, the Index will employ leverage to increase the exposure of the Index to the Futures Contracts if 

the implied volatility of the SPY Fund is below 35%, subject to a maximum exposure of 500%.  Under normal market conditions in 

the past, the SPY Fund has tended to exhibit an implied volatility below 35%.  Accordingly, the Index has generally employed 

leverage in the past, except during periods of elevated volatility.  When leverage is employed, any movements in the prices of the 

Futures Contracts will result in greater changes in the level of the Index than if leverage were not used.  In particular, the use of 

leverage will magnify any negative performance of the Futures Contracts, which, in turn, would negatively affect the performance of 

the Index.  Because the Index’s leverage is adjusted only on a weekly basis, in situations where a significant increase in volatility is 

accompanied by a significant decline in the value of the Futures Contracts, the level of the Index may decline significantly before 

the following Index rebalance day when the Index’s exposure to the Futures Contracts would be reduced. 

• THE INDEX MAY BE ADVERSELY AFFECTED BY A “VOLATILITY DRAG” EFFECT — 

If the Index is not consistently successful in increasing exposure to the Futures Contracts in advance of increases in the value of 

the Futures Contracts and reducing exposure to the Futures Contracts in advance of declines in the value of the Futures Contracts, 

then the Index is also expected to be subject to a “volatility drag” effect, which will exacerbate the decline that results from having 

highly leveraged exposure to the declines in the value of the Futures Contracts.  The decay effect would result from the fact that 

the Index resets the leveraged exposure to the Futures Contracts on a weekly basis and would manifest any time the value of the 

PS-10 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Futures Contracts moves in one direction prior to a reset and another direction following the reset.  The decay effect would result 

because resetting leverage after an increase but in advance of a decline would cause the Index to have increased exposure to that 

decline, and resetting leverage following a decline but in advance of an increase would cause the Index to have decreased 

exposure to that increase.  The more this fact pattern repeats, the lower the performance of the Index would be relative to the 

performance of the Futures Contracts.  As a consequence of this effect, if the value of the Futures Contracts falls but later returns 

to its original value, the Index may not fully recover from the loss at the same time.  Under these circumstances, the Futures 

Contracts may need to appreciate, perhaps significantly, above its original value in order for the Index to fully recover from the loss. 

• THE INDEX MAY BE SIGNIFICANTLY UNINVESTED —  

On a weekly Index rebalance day, the Index’s exposure to the Futures Contracts will be less than 100% when the implied volatility 

of the SPY Fund is above 35%.  If the Index’s exposure to the Futures Contracts is less than 100%, the Index will not be fully 

invested, and any uninvested portion will earn no return.  The Index may be significantly uninvested on any given day, and will 

realize only a portion of any gains due to appreciation of the Futures Contracts on any such day.  The 6.0% per annum deduction 

is deducted daily, even when the Index is not fully invested. 

• THE INDEX MAY BE ADVERSELY AFFECTED IF LATER FUTURES CONTRACTS HAVE HIGHER PRICES THAN AN 

EXPIRING FUTURES CONTRACT INCLUDED IN THE INDEX — 

As the Futures Contracts included in the Index come to expiration, they are replaced by Futures Contracts that expire three months 

later.  This is accomplished by synthetically selling the expiring Futures Contract and synthetically purchasing the Futures Contract 

that expires three months from that time.  This process is referred to as “rolling.”  Excluding other considerations, if the market for 

the Futures Contracts is in “contango,” where the prices are higher in the distant delivery months than in the nearer delivery 

months, the purchase of the later Futures Contract would take place at a price that is higher than the price of the expiring Futures 

Contract, thereby creating a negative “roll yield.”  In addition, excluding other considerations, if the market for the Futures Contracts 

is in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the purchase of 

the later Futures Contract would take place at a price that is lower than the price of the expiring Futures Contract, thereby creating 

a positive “roll yield.”  The presence of contango in the market for the Futures Contracts could adversely affect the level of the 

Index and, accordingly, any payment on the notes. 

• THE INDEX IS AN EXCESS RETURN INDEX THAT DOES NOT REFLECT “TOTAL RETURNS” — 

The Index is an excess return index that does not reflect total returns.  The return from investing in futures contracts derives from 

three sources: (a) changes in the price of the relevant futures contracts (which is known as the “price return”); (b) any profit or loss 

realized when rolling the relevant futures contracts (which is known as the “roll return”); and (c) any interest earned on the cash 

deposited as collateral for the purchase of the relevant futures contracts (which is known as the “collateral return”). 

The Index measures the returns accrued from investing in uncollateralized futures contracts (i.e., the sum of the price return and 

the roll return associated with an investment in the Futures Contracts).  By contrast, a total return index, in addition to reflecting 

those returns, would also reflect interest that could be earned on funds committed to the trading of the Futures Contracts (i.e., the 

collateral return associated with an investment in the Futures Contracts).  Investing in the notes will not generate the same return 

as would be generated from investing in a total return index related to the Futures Contracts. 

• CONCENTRATION RISKS ASSOCIATED WITH THE INDEX MAY ADVERSELY AFFECT THE VALUE OF YOUR NOTES —  

The Index generally provides exposure to a single futures contract on the S&P 500® Index that trades on the Chicago Mercantile 

Exchange.  Accordingly, the notes are less diversified than other funds, investment portfolios or indices investing in or tracking a 

broader range of products and, therefore, could experience greater volatility.  You should be aware that other indices may be more 

diversified than the Index in terms of both the number and variety of futures contracts.  You will not benefit, with respect to the 

notes, from any of the advantages of a diversified investment and will bear the risks of a highly concentrated investment. 

• THE INDEX IS SUBJECT TO SIGNIFICANT RISKS ASSOCIATED WITH FUTURES CONTRACTS, INCLUDING VOLATILITY — 

The Index tracks the returns of futures contracts.  The price of a futures contract depends not only on the price of the underlying 

asset referenced by the futures contract, but also on a range of other factors, including but not limited to changing supply and 

demand relationships, interest rates, governmental and regulatory policies and the policies of the exchanges on which the futures 

contracts trade.  In addition, the futures markets are subject to temporary distortions or other disruptions due to various factors, 

including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention.  These 

factors and others can cause the prices of futures contracts to be volatile. 

PS-11 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

• SUSPENSION OR DISRUPTIONS OF MARKET TRADING IN FUTURES CONTRACTS MAY ADVERSELY AFFECT THE 

VALUE OF YOUR NOTES — 

Futures markets like the Chicago Mercantile Exchange, the market for the Futures Contracts, are subject to temporary distortions 

or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and 

government regulation and intervention.  In addition, futures exchanges have regulations that limit the amount of fluctuation in 

some futures contract prices that may occur during a single day.  These limits are generally referred to as “daily price fluctuation 

limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.”  

Once the limit price has been reached in a particular contract, no trades may be made at a price beyond the limit, or trading may 

be limited for a set period of time.  Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation 

of contracts at potentially disadvantageous times or prices.  These circumstances could affect the level of the Index and therefore 

could affect adversely the value of your notes. 

• THE OFFICIAL SETTLEMENT PRICE AND INTRADAY TRADING PRICES OF THE RELEVANT FUTURES CONTRACTS MAY 

NOT BE READILY AVAILABLE — 

The official settlement price and intraday trading prices of the Futures Contracts are calculated and published by the Chicago 

Mercantile Exchange and are used to calculate the levels of the Index.  Any disruption in trading of the Futures Contracts could 

delay the release or availability of the official settlement price and intraday trading prices and may delay or prevent the calculation 

of the Index. 

• CHANGES IN THE MARGIN REQUIREMENTS FOR THE FUTURES CONTRACTS INCLUDED IN THE INDEX MAY 

ADVERSELY AFFECT THE VALUE OF THE NOTES — 

Futures exchanges require market participants to post collateral in order to open and to keep open positions in futures contracts.  If 

an exchange changes the amount of collateral required to be posted to hold positions in the Futures Contracts, market participants 

may adjust their positions, which may affect the prices of the Futures Contracts.  As a result, the level of the Index may be affected, 

which may adversely affect the value of the notes. 

• HYPOTHETICAL BACK-TESTED DATA RELATING TO THE INDEX DO NOT REPRESENT ACTUAL HISTORICAL DATA AND 

ARE SUBJECT TO INHERENT LIMITATIONS —  

The hypothetical back-tested performance of the Index set forth under “Hypothetical Back-Tested Data and Historical Information” 

in this pricing supplement is purely theoretical and does not represent the actual historical performance of the Index and has not 

been verified by an independent third party.  Hypothetical back-tested performance measures have inherent limitations.  

Hypothetical back-tested performance is derived by means of the retroactive application of a back-tested model that has been 

designed with the benefit of hindsight.  Alternative modelling techniques might produce significantly different results and may prove 

to be more appropriate.  Past performance, and especially hypothetical back-tested performance, is not indicative of future results.  

This type of information has inherent limitations, and you should carefully consider these limitations before placing reliance on such 

information. 

• OTHER KEY RISKS: 

o  THE INDEX WAS ESTABLISHED ON FEBRUARY 11, 2022 AND MAY PERFORM IN UNANTICIPATED WAYS. 

o  HISTORICAL PERFORMANCE OF THE INDEX SHOULD NOT BE TAKEN AS AN INDICATION OF THE FUTURE 

PERFORMANCE OF THE INDEX DURING THE TERM OF THE NOTES. 

Please refer to the “Risk Factors” section of the accompanying underlying supplement for more details regarding the above-

listed and other risks. 

PS-12 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

Hypothetical Back-Tested Data and Historical Information 

The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly 

closing levels of the Index from January 8, 2021 through February 4, 2022, and the historical performance of the Index based on the 

weekly historical closing levels of the Index from February 11, 2022 through May 8, 2026.  The Index was established on February 11, 

2022, as represented by the vertical line in the following graph.  All data to the left of that vertical line reflect hypothetical back-tested 

performance of the Index.  All data to the right of that vertical line reflect actual historical performance of the Index.  The closing level of 

the Index on May 13, 2026 was 4,390.13.  We obtained the closing levels above and below from the Bloomberg Professional® service 

(“Bloomberg”), without independent verification. 

The data for the hypothetical back-tested performance of the Index set forth in the following graph are purely theoretical and do not 

represent the actual historical performance of the Index.  See “Selected Risk Considerations — Risks Relating to the Index — 

Hypothetical Back-Tested Data Relating to the Index Do Not Represent Actual Historical Data and Are Subject to Inherent Limitations” 

above. 

The hypothetical back-tested and historical closing levels of the Index should not be taken as an indication of future performance, and 

no assurance can be given as to the closing level of the Index on the Pricing Date or any Review Date.  There can be no assurance 

that the performance of the Index will result in the return of any of your principal amount or the payment of any interest.  

The hypothetical back-tested closing levels of the Index have inherent limitations and have not been verified by an independent third 

party.  These hypothetical back-tested closing levels are determined by means of a retroactive application of a back-tested model 

designed with the benefit of hindsight.  Hypothetical back-tested results are neither an indicator nor a guarantee of future returns.  No 

representation is made that an investment in the notes will or is likely to achieve returns similar to those shown.  Alternative modeling 

techniques or assumptions would produce different hypothetical back-tested closing levels of the Index that might prove to be more 

appropriate and that might differ significantly from the hypothetical back-tested closing levels of the Index set forth above. 

Tax Treatment  

You should review carefully the section entitled “United States Federal Taxation” in the accompanying prospectus supplement. In 

determining our reporting responsibilities we intend to treat (i) the notes for U.S. federal income tax purposes as prepaid forward 

contracts with associated contingent coupons and (ii) any Contingent Interest Payments as ordinary income, as described in the section 

entitled “United States Federal Taxation — Tax Consequences to U.S. Holders — Program Securities Treated as Prepaid Financial 

Contracts with Associated Coupons” in the accompanying prospectus supplement. Based on the advice of Davis Polk & Wardwell LLP, 

our special tax counsel, we believe that this is a reasonable treatment, but that there are other reasonable treatments that the IRS or a 

court may adopt, in which case the timing and character of any income or loss on the notes could be materially affected. In addition, in 

2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward 

contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue 

income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or 

loss with respect to these instruments and the relevance of factors such as the nature of the underlying property to which the 

instruments are linked. While the notice requests comments on appropriate transition rules and effective dates, any Treasury 

PS-13 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences of an 

investment in the notes, possibly with retroactive effect. The discussions above and in the accompanying prospectus supplement do not 

address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code. You should consult 

your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative 

treatments and the issues presented by the notice described above. 

Non-U.S. Holders — Tax Considerations.  The U.S. federal income tax treatment of Contingent Interest Payments is uncertain, and 

although we believe it is reasonable to take a position that Contingent Interest Payments are not subject to U.S. withholding tax (at least 

if an applicable Form W-8 is provided), it is expected that withholding agents will (and we, if we are the withholding agent, intend to) 

withhold on any Contingent Interest Payment paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an 

applicable income tax treaty under an “other income” or similar provision. We will not be required to pay any additional amounts with 

respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the 

notes must comply with certification requirements to establish that it is not a U.S. person and is eligible for such an exemption or 

reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment 

of the notes, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above. 

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% withholding 

tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain 

financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this 

withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable 

Treasury regulations. Additionally, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January 

1, 2027 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal 

income tax purposes (each an “Underlying Security”). Based on certain determinations made by us, we expect that Section 871(m) will 

not apply to the notes with regard to Non-U.S. Holders. Our determination is not binding on the IRS, and the IRS may disagree with this 

determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter 

into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of 

Section 871(m) will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential 

application of Section 871(m) to the notes. 

In the event of any withholding on the notes, we will not be required to pay any additional amounts with respect to amounts so withheld. 

The Estimated Value of the Notes 

The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following 

hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding 

rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes.  The estimated value of the 

notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at 

any time.  The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied 

funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates.  Any difference 

may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, 

operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income 

instruments of JPMorgan Chase & Co.  This internal funding rate is based on certain market inputs and assumptions, which may prove 

to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes.  The use of an internal 

funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market 

prices of the notes.  For additional information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and 

Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this 

pricing supplement. 

The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our 

affiliates.  These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on 

various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates and other 

factors, as well as assumptions about future market events and/or environments.  Accordingly, the estimated value of the notes is 

determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that 

time. 

The estimated value of the notes does not represent future values of the notes and may differ from others’ estimates.  Different pricing 

models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes.  In 

addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect.  On 

future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or 

PS-14 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at 

which JPMS would be willing to buy notes from you in secondary market transactions. 

The estimated value of the notes will be lower than the original issue price of the notes because costs associated with selling, 

structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid 

to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks 

inherent in hedging our obligations under the notes, the estimated cost of hedging our obligations under the notes and the fees, if any, 

paid for third-party data analytics and/or electronic platform services. Because hedging our obligations entails risk and may be 

influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in 

a loss. A portion of the profits, if any, realized in hedging our obligations under the notes may be allowed to other affiliated or 

unaffiliated dealers, and we or one or more of our affiliates will retain any remaining hedging profits. See “Selected Risk Considerations 

— Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Will Be Lower 

Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement. 

Secondary Market Prices of the Notes 

For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the 

Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many 

economic and market factors” in the accompanying product supplement.  In addition, we generally expect that some of the costs 

included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by 

JPMS in an amount that will decline to zero over an initial predetermined period.  These costs can include selling commissions, 

projected hedging profits, if any, and, in some circumstances, estimated hedging costs, our internal secondary market funding rates for 

structured debt issuances and the fees paid for third-party data analytics and/or electronic platform services.  This initial predetermined 

time period is intended to be the shorter of six months and one-half of the stated term of the notes.  The length of any such initial period 

reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated 

costs of hedging the notes and when these costs are incurred, as determined by our affiliates.  See “Selected Risk Considerations — 

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS 

(and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes 

for a Limited Time Period” in this pricing supplement. 

Supplemental Use of Proceeds 

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the 

notes.  See “How the Notes Work” and “Hypothetical Payout Examples” in this pricing supplement for an illustration of the risk-return 

profile of the notes and “The MerQube US Large-Cap Vol Advantage Index” in this pricing supplement for a description of the market 

exposure provided by the notes. 

The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other 

affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent 

in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes, plus the fees, if any, paid 

for third-party data analytics and/or electronic platform services. 

Additional Terms Specific to the Notes 

You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable 

agent.  We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance.  In the event of any 

changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase.  

You may also choose to reject such changes, in which case we may reject your offer to purchase. 

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying 

prospectus supplement relating to our Series A medium-term notes of which these notes are a part, and the more detailed information 

contained in the accompanying product supplement and the accompanying underlying supplement.  This pricing supplement, together 

with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as 

well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for 

implementation, sample structures, fact sheets, brochures or other educational materials of ours.  You should carefully consider, among 

other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement, the accompanying 

product supplement and the accompanying underlying supplement, as the notes involve risks not associated with conventional debt 

securities.  We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes. 

PS-15 | Structured Investments 

Auto Callable Contingent Interest Notes Linked to the MerQube US Large-

Cap Vol Advantage Index 

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by 

reviewing our filings for the relevant date on the SEC website): 

• Product supplement no. 3-I dated April 17, 2026: 

http://www.sec.gov/Archives/edgar/data/19617/000121390026045198/ea0285802-20_424b2.pdf 

•  Underlying supplement no. 5-I dated April 17, 2026: 

http://www.sec.gov/Archives/edgar/data/19617/000121390026045223/ea0285802-19_424b2.pdf 

•  Prospectus supplement and prospectus, each dated April 17, 2026:  

http://www.sec.gov/Archives/edgar/data/19617/000095010326005889/crt_dp245141-424b2.pdf 

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617.  As used in this pricing 

supplement, “we,” “us” and “our” refer to JPMorgan Financial. 

Source: View Original Filing on SEC EDGAR

JPMorgan offers auto‑call contingent coupon notes linked to MQUSLVA

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JPMorgan offers auto‑call contingent coupon notes linked to MQUSLVA

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FAQ

What coupon rate does JPM (JPMorgan) offer on these contingent interest notes?

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