14.8%+ Call Premium: JPM (JPM) Auto‑Callable Notes Linked to MQUSLVA
Rhea-AI Filing Summary
JPMorgan Chase Financial Company LLC is offering 5-year auto-callable notes linked to the MerQube US Large‑Cap Vol Advantage Index (MQUSLVA). The index targets exposure to E‑Mini S&P 500 futures with a maximum 500% and minimum 0% futures exposure and includes a 6.0% per annum daily deduction. The notes have a minimum denomination of $1,000, a pricing date of May 27, 2026 and a maturity date of May 30, 2031. The notes may be automatically called on daily review dates if the Index meets or exceeds the applicable call threshold; the Call Premium Rate will be set on the pricing date and will be not less than 14.80%. The Barrier Amount is 60.00% of the Initial Value. The issuer and guarantor credit risk is borne by JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. The preliminary estimated value will not be less than $870 per $1,000, and principal loss is possible.
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Insights
Auto‑callable notes trade yield potential for principal risk tied to index performance and issuer credit.
The product links payouts to a volatility‑targeting futures index that charges a 6.0% per annum daily deduction and permits up to 500% futures exposure, increasing path‑dependence and leverage risk. The notes carry an automatic call feature with a minimum call premium rate of 14.80%.
Credit exposure to JPMorgan Chase Financial Company LLC and guarantor risk to JPMorgan Chase & Co. determine repayment viability. Subsequent pricing and the final Call Premium Rate will appear in the pricing supplement; monitor those published terms for precise payoff mechanics.
Key Figures
Key Terms
excess return index financial
automatic call financial
volatility drag financial
estimated value financial
Offering Details
AI-generated analysis. How Rhea-AI works. Not financial advice.
FAQ
What are the key payoff triggers for JPM auto‑callable notes linked to MQUSLVA (JPM)?
How can I lose principal on these JPM auto‑callable notes?
What index features materially affect returns on the MQUSLVA‑linked notes?
What issuer and market risks apply to these notes (JPM)?
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 position in E - Mini ® S&P 500 ® futures (the “Futures Contracts”), which reference the S&P 500 ® Index (the “Constituent”), while targeting a level of implied volatility, with a maximum exposure to the Futures Contracts of 500% and a minimum exposure to t he Futures Contracts of 0%. The Index is subject to a 6.0% per annum daily deduction. The Constituent consists of stocks of 50 0 companies selected to provide a performance benchmark for the U.S. equity markets. Summary of Terms Issuer: JPMorgan Chase Financial Company LLC Guarantor: JPMorgan Chase & Co. Minimum Denomination: $1,000 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. Pricing Date: May 27, 2026 Final Review Date: May 27, 2031 Maturity Date: May 30, 2031 Review Dates: Daily (after an initial one - year non - call period) Call Premium Rate: At least 14.80%* Call Value: With respect to the first through 1,002 nd Review Dates: 100.00% of the Initial Value; with respect to the final Review Date: 60.00% of the Initial Value Barrier Amount: 60.00% of the Initial Value CUSIP: 46661A4Y3 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/46661A4Y3/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 $870.00 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 is greater than or equal to the applicable Call Value, the notes will be au tomatically 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 . The Call Premium Amount with respect to each Review Date is calculated as follows: $1,000 î Call Premium Rate î N / 252, where N is equal to 254 + the number of Review Dates preceding that Review Date. For example, for the first Review Date, N = 25 4 (equal to 254 + 0), for the second Review Date, N = 255 (equal to 254 + 1) and for the final Review Date, N = 1,256 (equal to 254 + 1,002). Payment at Maturity If the notes have not been automatically called (and therefore the Final Value is less than the Barrier Amount), your payment at maturity per $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 therefore the Final Value is less than the Barrier Amount), you will los e m ore than 40.00% 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. Hypothetical Amount Payable** J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com 5yNC1y Auto Callable Review Notes Linked to the MerQube US Large - Cap Vol Advantage Index North America Structured Investments Total Return at Final Review Date Total Return at First Review Date Index Return at Review Date 73.76508% 14.91746% 100.00% 73.76508% 14.91746% 80.00% 73.76508% 14.91746% 40.00% 73.76508% 14.91746% 20.00% 73.76508% 14.91746% 10.00% 73.76508% 14.91746% 0.00% 73.76508% N/A - 5.00% 73.76508% N/A - 10.00% 73.76508% N/A - 20.00% 73.76508% N/A - 40.00% - 40.01000% N/A - 40.01% - 50.00000% N/A - 50.00% - 60.00000% N/A - 60.00% - 80.00000% N/A - 80.00% - 100.00000% N/A - 100.00% *The actual Call Premium Rate will be provided in the pricing supplement and will not be less than 14.80%. ** Not all Review Dates reflected. Reflects a Call Premium Rate of 14.80%. The Call Premium Rate will be determined on the Pricing Date and will not be less than 14.80%. The “total return” as used above is the number, expressed as a percentage, that results from comparing the payment on the applicable payment date per $1,000 principal amount note to $1,000. The hypothetical returns on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would likely be lower . Capitalized terms used but not defined herein shall have the meaning set forth in the preliminary pricing supplement. 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 May 14, 2026 Rule 424(b)(3)
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. • The appreciation potential of the notes is limited to any 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 Review 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.