JPMorgan (JPM) Auto-Callable Notes Linked to MQUSLVA Index
Rhea-AI Filing Summary
JPMorgan Chase Financial Company LLC is offering Auto Callable Accelerated Barrier Notes linked to the MerQube US Large-Cap Vol Advantage Index (Bloomberg: MQUSLVA). The notes reflect a 6.0% per annum daily deduction, have an Upside Leverage Factor of 5.00, a Barrier Amount equal to 50.00% of the Initial Value, and an automatic-call schedule tied to specified Review Dates. The Pricing Date is July 1, 2026 and the Maturity Date is July 7, 2031. The preliminary pricing supplement states an estimated value at issuance of at least $900.00 per $1,000 principal amount. Payments depend on the Index Final Value, automatic-call outcomes, and the issuer and guarantor creditworthiness; the notes can lose a significant portion or all principal.
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Insights
These are leveraged, autocallable notes with heavy volatility and credit sensitivity.
The notes link to an excess-return futures-based index that targets volatility and applies a 6.0% per annum daily deduction. The structure uses a 5.00 upside leverage factor for positive Index returns, a 50.00% barrier for principal protection at maturity, and multiple Review Dates that can trigger automatic calls.
Key dependencies include the index performance through rolling E-Mini S&P 500 futures, the automatic-call schedule (which caps upside to the Call Premium if triggered), and the issuer/guarantor credit. Holders face concentrated risks from the index design (leverage, volatility drag, futures roll effects) and JP Morgan credit exposure; subsequent pricing supplements may change final terms.
Key Figures
Key Terms
excess return index financial
futures roll financial
volatility drag financial
automatic call regulatory
Offering Details
AI-generated analysis. How Rhea-AI works. Not financial advice.
FAQ
What are the key payout features of the JPM Auto-Callable Notes (JPM)?
When can the notes be automatically called and what happens if they are called?
What is the Index deduction and how does it affect returns for these notes?
What credit risks apply to holders of these notes?
What is the estimated value at issuance and how should investors interpret it?
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 “Index”) attempts to provide a dynamic rules - based exposure to an unfunded rolling positi on 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 the Futures Contracts of 0%. The Index is subjec t t o a 6.0% per annum daily deduction. The Constituent consists of stocks of 500 companies selected to provide a performance benchmark for the U.S . e quity markets. Summary of Terms Issuer: JPMorgan Chase Financial Company LLC Guarantor: JPMorgan Chase & Co. Minimum Denomination: $1,000 Index (Index Ticker): 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. Upside Leverage Factor: 5.00 Barrier Amount: 50.00% of the Initial Value Pricing Date: July 1, 2026 Review Dates: July 6, 2027, October 1, 2027, January 3, 2028, April 3, 2028, July 3, 2028 and July 1, 2031 Maturity Date: July 7, 2031 CUSIP: 46661CZ74 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/46661CZ74/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 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 a significant portion or all of your principal at maturity. Any payment on the notes is subject to the credit ri sk of JPMorgan Chase 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 level of the Index on any Review Date (other than the final Review Date) is greater than or equal to the Call Val ue, 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 Call Premium Amount applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes. If the notes are automatically called, you will not benefit from the Upside Leverage Factor that applies to the payment at ma tur ity if the Final Value is greater than the Initial Value. Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment up on an automatic call may be significantly less than the payment at maturity for the same level of appreciation in the Index. Payment at Maturity If the notes have not been automatically called and the Final Value is greater than the Initial Value, your payment at maturi ty per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 î Index Return î Upside Leverage Factor) If the notes have not been automatically called and the Final Value is equal to the Initial Value or is less than the Initial Va lue but greater than or equal to the Barrier Amount, you will receive 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 î Index 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 Index involves a number of risks. See "Selected Risks" on page 2 of this document, "Risk Fa ctors" in the prospectus supplement and the relevant product supplement and underlying supplement and "Selected Risk Considerations" in the re levant pricing supplement. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes o r p assed upon the accuracy or the adequacy of this document or the relevant product supplement, underlying supplement, prospectus supplement an d p rospectus. Any representation to the contrary is a criminal offense. J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com 5yNC1y Auto Callable Accelerated Barrier Notes linked to the MerQube US Large - Cap Vol Advantage Index North America Structured Investments N/A – indicates that the notes would not be called and no payment would be made for that date. * In each case, to be determined on the Pricing Date, but not less than the applicable minimum Call Premium listed. ** Not all Review Dates reflected. Reflects a Call Premium of 24.80% per annum. The Call Premium will be determined on the Pricing Date and will not be less than 24.80% 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 meanings set forth in the preliminary pricing supplement. Terms supplement to the prospectus dated April 17, 2026, the prospectus supplement dated April 17, 2026, the product suppleme nt no. 3 - I dated April 17, 2026 and the underlying supplement no. 5 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 01 Dated June 18, 2026 Rule 424(b)(3) Hypothetical Examples of Amounts Payable upon Automatic Call or at Maturity** Total Return at Maturity if not Automatically Called Total Return at Fifth Review Date Total Return at Third Review Date Total Return at First Review Date Index Return at Review Date 325.00% 49.60% 37.20% 24.80% 65.00% 250.00% 49.60% 37.20% 24.80% 50.00% 200.00% 49.60% 37.20% 24.80% 40.00% 150.00% 49.60% 37.20% 24.80% 30.00% 100.00% 49.60% 37.20% 24.80% 20.00% 50.00% 49.60% 37.20% 24.80% 10.00% 25.00% 49.60% 37.20% 24.80% 5.00% 0.00% 49.60% 37.20% 24.80% 0.00% 0.00% N/A N/A N/A - 5.00% 0.00% N/A N/A N/A - 10.00% 0.00% N/A N/A N/A - 20.00% 0.00% N/A N/A N/A - 30.00% 0.00% N/A N/A N/A - 40.00% 0.00% N/A N/A N/A - 50.00% - 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% Call Premium* Call Value Review Date At least 24.80% 100.00% of the Initial Value First At least 31.00% 100.00% of the Initial Value Second At least 37.20% 100.00% of the Initial Value Third At least 43.40% 100.00% of the Initial Value Fourth At least 49.60% 100.00% of the Initial Value Fifth
J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com Selected Risks 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. • The level of the Index will include a 6.0% per annum daily deduction. • Any payment on the notes is subject to the credit risks of JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. Therefore the value of the notes prior to maturity will be subject to changes in the market’s view of the creditworthiness of JPMorgan Chase Financial Company LLC or JPMorgan Chase & Co. • As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent activities and has limited assets. • If the notes are automatically called, the appreciation potential of the notes is limited to the applicable Call Premium Amount paid on the notes. • The benefit provided by the Barrier Amount may terminate on the Final Review Date. • The automatic call feature may force a potential early exit. • No interest payments, dividend payments or voting rights. • Lack of liquidity: J.P. Morgan Securities LLC (who we refer to as JPMS) intends to offer to purchase the notes in the secondary market but is not required to do so. The price, if any, at which JPMS will be willing to purchase notes from you in the secondary market, if at all, may result in a significant loss of your principal. • The tax consequences of the notes may be uncertain. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes. Risks Relating to Conflicts of Interest • Potential conflicts: We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging our obligations under the notes, and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set. It is possible that such hedging or other trading activities of J.P. Morgan or its affiliates could result in substantial returns for J.P. Morgan and its affiliates while the value of the notes declines. • Our affiliate, JPMS, worked with MerQube (the “Index Sponsor”) in developing the guidelines and policies governing the composition and calculation of the Index. Selected Risks (continued) 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 does not represent future values and may differ from others’ estimates. • The estimated value of the notes is determined by reference to an internal funding rate. • The value of the notes, which may be reflected in customer account statements, may be higher than the then - current estimated value of the notes for a limited time period. Risks Relating to the Index • JPMorgan Chase & Co. is currently one of the companies that make up 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 may not be successful or outperform any alternative strategy. • The Index may not approximate its target volatility. • The Index is subject to risks associated with the use of significant leverage. • The Index may be adversely affected by a “volatility drag” effect. • The Index may be significantly uninvested. • The Index may be adversely affected if later futures contracts have higher prices than an expiring futures contract included in the Index. • The Index is an excess return index that does not reflect “total returns.” • Concentration risks associated with the Index may adversely affect the value of your notes. • The Index is subject to significant risks associated with futures contracts, including volatility. • Suspension or disruptions of market trading in futures contracts may adversely affect the value of your notes. • The official settlement price and intraday trading prices of the relevant futures contracts may not be readily available. • Changes in the margin requirements for the futures contracts included in the Index may adversely affect the value of the notes. • The Index was established on February 11, 2022 and may perform in unanticipated ways. Additional Information Any information relating to performance contained in these materials is illustrative and no assurance is given that any indic ati ve returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and J.P. Morgan undertakes no duty to update this information. This document shall be amended, s upe rseded and replaced in its entirety by a subsequent preliminary pricing supplement and/or pricing supplement, and the documents referred to therein. In the event any inconsistency between the information pres ent ed herein and any such preliminary pricing supplement and/or pricing supplement, such preliminary pricing supplement and/or pricing supplement shall govern. Past performance, and especially hypothetical back - tested performance, is not indicative of future results. Actual performance m ay vary significantly from past performance or any hypothetical back - tested performance. This type of information has inherent limitations and you should carefully consider these limitations before placing reliance on such information. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion o f U .S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Cha se & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax - related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisers as to the se matters. This material is not a product of J.P. Morgan Research Departments. North America Structured Investments 5yNC1y Auto Callable Accelerated Barrier Notes linked to the MerQube US Large - Cap Vol Advantage Index The risks identified above are not exhaustive. Please see “Risk Factors” in the prospectus supplement and the applicable prod uct supplement and underlying supplement and “Selected Risk Considerations” in the applicable preliminary pricing supplement for additional information.