JPMorgan offers 5yr notes tied to MerQube MQUSLVA

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., is offering 5-year notes linked to the MerQube US Large-Cap Vol Advantage Index, which uses leveraged exposure (0%–500%) to E‑Mini S&P 500 futures and applies a 6.0% per annum daily deduction. The notes have a $1,000 minimum denomination, annual review dates, a final review date of August 26, 2031, and a maturity date of August 29, 2031.

The notes are automatically callable if the index on any review date is at or above its initial value, paying $1,000 plus a call premium of at least 26.25% per annum on the applicable call settlement date, after which no further payments are made. If not called, and the final index value is at or above 50.00% of the initial value (the barrier), investors receive principal back at maturity. If the final value is below the barrier, repayment is $1,000 plus $1,000 times the underlying return, leading to losses greater than 50% and potentially a complete loss of principal. The issuer states the estimated value at pricing will be at least $870 per $1,000 note, and all payments are subject to the credit risk of JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co.

Filing Explained

The August 4, 2026 filing presents preliminary terms for the notes; pricing is scheduled for August 26, 2026, and the document says the terms may change; it does not disclose a final issue price, issuance, or proceeds, so it establishes a proposed offering rather than a completed financing.

Key Figures

Minimum Denomination: $1,000 Index Deduction: 6.0% per annum Maximum Futures Exposure: 500% +5 more

8 metrics

Minimum Denomination $1,000 Per note minimum investment amount

Index Deduction 6.0% per annum Daily deduction applied to MerQube US Large-Cap Vol Advantage Index level

Maximum Futures Exposure 500% Maximum exposure of index to E‑Mini S&P 500 futures contracts

Barrier Amount 50.00% of Initial Value Index level threshold protecting principal at maturity if not called

Call Premium Rate At least 26.25% per annum Minimum annualized call premium if notes are automatically called

Estimated Value Floor $870.00 per $1,000 Issuer’s minimum estimated value per $1,000 principal at pricing

Maturity Date August 29, 2031 Scheduled maturity for notes if not automatically called

Final Review Date August 26, 2031 Final date for assessing automatic call and barrier performance

Key Terms

automatic call, Barrier Amount, underlying return, excess return index, +2 more

6 terms

automatic call financial

"If the closing value of the Underlying on any Review Date is greater than or equal to the Call 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.

Barrier Amount financial

"Barrier Amount 50.00% of the Initial Value"

underlying return financial

"your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Underlying Return)"

excess return index financial

"The Underlying is an excess return index that does not reflect “total returns.”"

volatility drag financial

"The Index may be adversely affected by a “volatility drag” effect."

internal funding rate financial

"The estimated value of the notes is determined by reference to an internal funding rate."

Offering Details

shelf

Offering

Offering Type shelf

Securities Offered 5yr MQUSLVA Review Notes linked to the MerQube US Large-Cap Vol Advantage Index

FAQ

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

What are the key features of JPM (JPMorgan) 5yr MQUSLVA Review Notes?

The notes offer exposure to the MerQube US Large-Cap Vol Advantage Index with automatic call, a 50.00% barrier, and potential call premiums of at least 26.25% per annum, subject to JPMorgan credit risk and possible principal loss.

How does the automatic call work on the JPM 5yr MQUSLVA Review Notes?

On each annual review date, if the index is at or above 100.00% of its initial value, the notes are automatically called, paying $1,000 plus a call premium (minimum 26.25% per annum) per note, with no further payments afterward.

What happens at maturity for JPM 5yr MQUSLVA Review Notes if they are not called?

If not called and the final index value is at or above the 50.00% barrier, investors receive their $1,000 principal. If the final value is below the barrier, payment is $1,000 plus $1,000 times the underlying return, which can mean heavy losses.

What are the main risks of investing in JPM (JPMorgan) MQUSLVA-linked notes?

Key risks include no principal guarantee, a 6.0% per annum deduction in the index, issuer and guarantor credit risk, limited upside to call premiums, potential illiquidity, complex tax treatment, and leverage and futures-related risks within the index.

What is the estimated value of the JPM 5yr MQUSLVA Review Notes at pricing?

The issuer states the estimated value will be not less than $870.00 per $1,000 principal amount note, based on an internal funding rate, and this estimated value will likely be lower than the price paid by investors.

How is the MerQube US Large-Cap Vol Advantage Index constructed for these JPM notes?

The index provides rules-based exposure to E‑Mini S&P 500 futures, targeting implied volatility with exposure between 0% and 500%, and is subject to a 6.0% per annum daily deduction, which reduces index levels over time.

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

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Accepted by SEC EDGAR 08/05/2026 - 06:02 AM Learn about SEC filing dates

Terms supplement to the prospectus dated April 17, 2026, the prospectus supplement dated April 17, 2026, the product supplement no. 3-I dated April 17, 2026, the underlying supplement no. 5-I dated April 17, 2026  Registration Statement Nos. 333-293684 and 333-293684-01 Dated August 4, 2026   Rule 424(b)(3)  North America Structured Investments  5yr MQUSLVA Review Notes  J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com  The following is a summary of the terms of the notes offered by the preliminary pricing supplement hyperlinked below.  Index Overview  The MerQube US Large-Cap Vol Advantage Index (the “Underlying”) attempts to provide a dynamic rules-based exposure to an 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 the Futures Contracts of 0%. The Index is subject to 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. equity markets.  Summary of Terms  Issuer:   JPMorgan Chase Financial Company LLC  Guarantor:   JPMorgan Chase & Co.  Minimum Denomination:   $1,000  Underlying:   The MerQube US Large-Cap Vol Advantage Index (Bloomberg ticker: MQUSLVA). The level of the Underlying reflects a deduction of 6.0% per annum that accrues daily.  Barrier Amount :   50.00% of the Initial Value  Pricing Date:   August 26, 2026  Review Dates :   Annually  Final Review Date :   August 26, 2031  Maturity Date:   August 29, 2031  CUSIP:   46661K4K1  Preliminary Pricing Supplement:   http://sp.jpmorgan.com/document/cusip/46661K4K1/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 more information about the estimated value of the notes, which likely will be lower than the price you paid for the notes, please see the hyperlink above.  You may lose some or all of your principal at maturity. Any payment on the notes is subject to the credit risk of JPMorgan 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 value of the Underlying on any Review Date is greater than or equal to the Call 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 Call Premium Amount applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes.  Review Date   Call Value   Call Premium*  First   100.00% of the Initial Value   At least 26.25%  Second   100.00% of the Initial Value   At least 52.50%  Third   100.00% of the Initial Value   At least 78.75%  Fourth   100.00% of the Initial Value   At least 105.00%  Final   100.00% of the Initial Value   At least 131.25%  Payment At Maturity  If the notes have not been automatically called and the Final Value is greater than or equal to the Barrier Amount, you will 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 per $1,000 principal amount note will be calculated as follows:  $1,000 + ($1,000 × Underlying Return)  If the notes have not been automatically called and the Final Value is less than the Barrier Amount, you will lose more than 50.00% of your principal amount at maturity and could lose all of your principal amount at maturity.  Investing in the notes linked to the Underlying involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the prospectus supplement and the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement.  Hypothetical Examples of Amounts Payable Upon Automatic Call or at Maturity**  Underlying Return at Review Date  Total Return at First Review Date*  Total Return at Second Review Date*  Total Return at Third Review Date*  Total Return at Final Review Date*  100.00%   26.25%   52.50%   78.75%   131.25%  80.00%   26.25%   52.50%   78.75%   131.25%  40.00%   26.25%   52.50%   78.75%   131.25%  20.00%   26.25%   52.50%   78.75%   131.25%  10.00%   26.25%   52.50%   78.75%   131.25%  0.00%   26.25%   52.50%  78.75%   131.25%  -0.01%   N/A   N/A   N/A   0.00%  -5.00%   N/A   N/A   N/A   0.00%  -10.00%   N/A   N/A   N/A   0.00%  -20.00%   N/A   N/A   N/A   0.00%  -40.00%   N/A   N/A   N/A   0.00%  -50.00%   N/A   N/A   N/A   0.00%  -50.01%   N/A   N/A   N/A   -50.01%  -60.00%   N/A   N/A   N/A   -60.00%  -80.00%   N/A   N/A   N/A   -80.00%  -100.00%   N/A   N/A   N/A   -100.00%  Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the relevant product supplement, underlying supplement, prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.  * In each case, to be determined on the Pricing Date, but not less than the minimum Call Premium, as applicable.  ** Not all Review Dates reflected. Reflects a Call Premium of 26.25% per annum. The Call Premium will be determined on the Pricing Date and will not be less than 26.25% per annum.  The “total return” as used above is the number expressed, as a percentage, that results from comparing the payment on the applicable payment date per $1,000 principal amount note to $1,000.  The hypothetical returns on the notes shown above apply only if you hold the notes for their entire term or until automatically called. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would likely be lower.  Capitalized terms used but not defined herein shall have the meaning set forth in the preliminary pricing supplement.

North America Structured Investments  5yr MQUSLVA Review Notes  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 Underlying 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 Underlying.  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 is determined by reference to an internal funding rate.  ●   The estimated value of the notes does not represent future values and may differ from others’ estimates.  ●   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 Underlying  ●   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 Underlying may not be successful or outperform any alternative strategy.  ●   The Underlying may not approximate its target volatility.  ●   The Underlying is subject to risks associated with the use of significant leverage.  ●   The Index may be adversely affected by a “volatility drag” effect.  ●   The Underlying may be significantly uninvested.  ●   The Underlying may be adversely affected if later futures contracts have higher prices than an expiring futures contract included in the Underlying.  ●   The Underlying is an excess return index that does not reflect “total returns.”  ●   JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500 ®   Index.  ●   Concentration risks associated with the Underlying may adversely affect the value of your notes.  ●   The Underlying 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 Underlying may adversely affect the value of the notes.  ●   The Underlying was established on February 11, 2022 and may perform in unanticipated ways.  The risks identified above are not exhaustive. Please see “Risk Factors” in the prospectus supplement and the applicable product supplement and underlying supplement and “Selected Risk Considerations” in the applicable preliminary pricing supplement for additional information.  Additional Information  Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative 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, superseded 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 presented 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 may 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 of 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 Chase & 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 these matters. This material is not a product of J.P. Morgan Research Departments.