JPMORGAN CHASE & CO SEC Filings

JPMorgan Chase Financial Company LLC is offering Auto Callable Contingent Interest Notes due September 6, 2028, linked to the least-performing of the Nasdaq‑100 Index®, Russell 2000® Index and S&P 500® Index, and fully and unconditionally guaranteed by JPMorgan Chase & Co. Investors may receive a Contingent Interest Payment of at least 9.00% per annum, paid monthly, but only when the closing level of each Index on an Interest Review Date is at or above its Interest Barrier of 70.00% of Initial Value. The notes are automatically called on quarterly Autocall Review Dates if each Index is at or above its Initial Value, paying $1,000 plus the applicable contingent interest, with the first possible call on March 1, 2027. At maturity, if not called, principal is protected only while each Index is at or above its Trigger Value of 60.00% of Initial Value; otherwise, repayment is reduced one-for-one with the loss on the least-performing Index, and investors can lose a substantial portion or all of principal. The minimum denomination is $1,000, and an indicative estimated value is $973.90 per $1,000 note, not less than $900.00 when set, reflecting embedded costs, credit risk of the issuer and guarantor, market risk on each Index, and limited liquidity.

JPMorgan Chase Financial Company LLC is issuing $368,000 of Capped Dual Directional Buffered Equity Notes due August 10, 2028, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are linked to the least performing of the Dow Jones Industrial Average®, the Russell 2000® Index and the S&P 500® Index.

At maturity, investors receive unleveraged index exposure: upside is capped at a Maximum Upside Return of 34.00%, while for index moves between 0% and -20.00%, the payoff mirrors the absolute index move, up to a maximum of $1,200 per $1,000 note. Below the 20% Buffer Amount, principal is reduced 1% for each additional 1% decline in the Least Performing Index, down to a minimum of $200 per $1,000 note, so up to 80.00% of principal can be lost.

The notes pay no interest or dividends, are unsecured and unsubordinated obligations subject to the credit risk of both JPMorgan Financial and JPMorgan Chase & Co., and will not be listed on any exchange. The price to public is $1,000 per note, including selling commissions of $26.50, with net proceeds of $973.50 per note. The issuer’s estimated value is $967.80 per $1,000 note at pricing.

JPMorgan Financial is offering $1,350,000 of unsecured Auto Callable Contingent Interest Notes due August 11, 2031, linked to the Nasdaq-100® Technology Sector and the S&P 500® Index. The notes pay a 7.65% per annum contingent coupon (0.6375% monthly) only when the closing level of each index on a Review Date is at least 80% of its Initial Value; missed coupons may be paid later if conditions are met.

The notes are automatically called, starting August 6, 2027, if on a qualifying Review Date each index is at or above its Initial Value, returning principal plus due and unpaid coupons. If not called and on the final Review Date either index is below its 80% Trigger Value, maturity payment is reduced 1:1 with the decline of the lesser-performing index, and principal loss can reach 100%. An estimated value of $944.10 per $1,000 note reflects selling, structuring and hedging costs. The notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., are not FDIC insured, will not be listed, and involve significant market, credit, liquidity and tax risks.

JPMorgan Chase Financial Company LLC is issuing $1,000,000 in Capped Dual Directional Buffered Return Enhanced Notes linked to the least performing of the Nasdaq-100 Index®, the Russell 2000® Index and the S&P 500® Index, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are designed to provide 1.50x leveraged upside on any positive performance of the least performing index, capped at a Maximum Upside Return of 30.00%, and a capped positive return equal to the absolute value of index declines of up to a 20.00% Buffer Amount.

If any index falls by more than 20.00%, investors lose 1% of principal for each 1% additional decline, down to a minimum payment of $200.00 per $1,000 note, meaning up to 80.00% of principal can be lost. The notes pay no interest or dividends and are unsecured, unsubordinated obligations of JPMorgan Financial, subject to the credit risk of both JPMorgan Financial and JPMorgan Chase & Co. The price to public is $1,000 per note, including $27 in fees and commissions, with net proceeds of $973 per note; the estimated value at pricing was $970.90 per $1,000 note.

JPMorgan Financial is offering auto callable contingent interest notes due August 30, 2029, linked separately to the Nasdaq-100, Russell 2000 and S&P 500. Investors receive a monthly Contingent Interest Payment only when each index closes at or above 70.00% of its Initial Value, the Interest Barrier. The notes are automatically called quarterly if each index is at or above its Initial Value, starting February 26, 2027; upon call, holders receive $1,000 plus the applicable contingent interest and no further payments.

If the notes are not called and, on the final review date, any index finishes below its 70.00% Trigger Value, repayment of principal is reduced one-for-one with the decline of the least performing index, down to a total loss. The hypothetical Contingent Interest Rate will be at least 7.75% per annum (0.64583% per month), with up to $232.50 of total interest per $1,000 note if paid on all 36 dates. The notes are unsecured obligations of JPMorgan Financial, fully and unconditionally guaranteed by JPMorgan Chase & Co., with an indicative estimated value of about $948 per $1,000 and not less than $900 per $1,000 at pricing, and are subject to extensive market, credit, liquidity and tax risks.

JPMorgan Chase & Co. provides an August 2026 index update for the J.P. Morgan Multi-Asset Index, used as an underlying for structured notes. The materials show hypothetical backtested monthly and annual returns for the Index based on constituent data from February 22, 1994 through November 17, 2022, and actual Index performance from November 18, 2022 through July 31, 2026, alongside detailed historical monthly portfolio weights across U.S. and international equities, fixed income, oil and precious metals futures.

The Index is described as an “excess return” index (excluding interest on notional cash) and is subject to a 1.00% per annum daily deduction. It follows a momentum-based allocation strategy with regular rebalancing and weighting constraints, and can hold notional short positions. Disclosures emphasize that historical, hypothetical backtested performance and allocations are not indicative of future results, that the Index was established on November 18, 2022 and has a limited live track record, and that an affiliate, J.P. Morgan Securities LLC, sponsors and calculates the Index and may adjust it. Extensive risk factors highlight concentration in bond constituents, futures-related risks (including correlation, roll, margin and possible use of non‑exchange‑traded contracts), and exposure to non‑U.S. markets, small‑cap equities and commodities.

JPMorgan is offering notes linked to the MerQube US Gold Vol Advantage Index, an index that uses gold futures and volatility targeting, subject to a 6.0% per annum daily deduction. The materials present monthly and annual returns that are largely hypothetical backtested performance from December 26, 2007 through February 10, 2025, and actual index performance from February 11, 2025 through July 31, 2026.

The disclosures emphasize that historical and backtested results, including large positive years such as 2009 and 2024 and large negative years such as 2012, are illustrative only and not indicative of future results. Key risks include leverage, volatility targeting that may not be met, potential volatility drag, the use of gold futures, excess return (not total return) construction, concentration in a single strategy, possible illiquidity or disruptions in futures markets, and the index’s limited operating history since February 11, 2025. The notes are unsecured obligations, not bank deposits, not FDIC insured, and have not been approved or disapproved by the SEC or any state regulator.

JPMorgan Chase & Co. provides an index supplement for the J.P. Morgan Total Return SM Index, describing how the index is constructed, rebalanced monthly and constrained across a basket of fixed-income and related ETFs such as Treasuries, investment-grade and high-yield credit, emerging markets debt, inflation-protected bonds and mortgage-backed securities.

The index history combines hypothetical backtested returns using proxy benchmarks for several Basket Constituents from May 3, 2004 to June 25, 2014, backtested performance using actual ETF data from June 26, 2014 to July 12, 2017, and live performance from July 13, 2017 to July 31, 2026. Historical monthly and annual returns include positive years such as 12.96% in 2018 and negative years such as -9.72% in 2021.

The index targets volatility management but may not maintain volatility below its 5% historical volatility threshold and may underperform other strategies. The document highlights extensive risk factors, including reliance on a momentum-based strategy, correlation risks among Basket Constituents, use of notional rather than actual assets, the use and limitations of hypothetical backtested and alternative performance data, potential index adjustments by J.P. Morgan Securities LLC as Index Sponsor, and the credit risk of JPMorgan Financial and JPMorgan Chase & Co. It stresses that historical and backtested performance and allocations are not indicative of future results.

The J.P. Morgan Total Return^SM Index is a rules-based strategy that allocates dynamically among 12 U.S. dollar fixed income ETFs, each tied to a different bond sector. It rebalances monthly into the portfolio with the highest prior six-month performance, subject to a 5% historical volatility threshold and concentration limits, and is calculated on a total return basis.

The index began on July 13, 2017, and the materials present a mix of hypothetical backtested data and actual performance through July 2026, including monthly and annual return history. The strategy is momentum-based and uses notional assets and liabilities rather than an actual asset portfolio. The risk disclosure emphasizes limited live history, potential underperformance versus broad bond benchmarks, the limitations of backtested results, and exposure to a wide range of fixed-income and ETF-specific risks, as well as the conflict of interest that may arise because an affiliate sponsors and can adjust the index.