JPMORGAN CHASE & CO SEC Filings

JPMorgan describes structured notes linked to the J.P. Morgan Large-Cap Dynamic Blend 3 Index, which combines equity and bond futures using a rules-based allocation. Historical performance shown includes hypothetical backtested returns based on actual basket-constituent data from July 25, 1990 through March 22, 2021 and actual index performance from March 23, 2021 through July 31, 2026.

The index was established on March 23, 2021, and its portfolio constituents on December 22, 2020. It is calculated on an excess return basis with a 0.95% per annum daily fee deduction and is designed with a target volatility of 3.0%, though it may not achieve this level. The index uses daily adjustments to notional exposures to its portfolio constituents and can be partially uninvested when all qualifying portfolios exceed the target volatility, in which case the uninvested portion earns no return.

Multiple risks are highlighted, including index-sponsor conflicts, limited operating history, reliance on notional assets, correlation risks between portfolio constituents, futures-market disruptions, margin changes, negative roll returns and fixed-income risks. Investments linked to the index are subject to the credit risk of JPMorgan Financial and JPMorgan Chase & Co.. The materials emphasize that historical and backtested performance are not indicative of future results and that any investment must be evaluated for individual suitability.

JPMorgan provides an update on the J.P. Morgan Dynamic Blend Index, a rules-based index that allocates between an Equity Constituent and a Bond Constituent while targeting a 3.0% volatility. The index tracks S&P 500 futures via the J.P. Morgan US Large Cap Equities Futures Index and 2-year U.S. Treasury note futures via the J.P. Morgan 2Y US Treasury Futures Index, and is reduced by a 0.95% per annum daily fee.

The index was established on March 23, 2021, with levels published under ticker JPUSDYBL. Performance statistics from July 2016 through July 2026 combine backtested and actual data, with clear disclosure that past and especially hypothetical backtested performance are not indicative of future results. Over the past 10 years, the index shows a 0.42% annualized return, 3.11% annualized volatility and a Sharpe ratio of 0.13, compared with domestic and global 20/80 equity-bond notional portfolios presented on an excess-return basis.

JPMorgan Chase Financial Company LLC is offering Auto Callable Accelerated Barrier Notes linked to the least-performing of Intel, Delta Air Lines and Regeneron Pharmaceuticals, fully and unconditionally guaranteed by JPMorgan Chase & Co. Each note has a $1,000 denomination and is unsecured and unsubordinated, with all payments subject to the credit risk of both the issuer and guarantor.

The notes may be automatically called as early as November 9, 2026 if each stock is at or above 70.00% of its strike value, paying back $1,000 plus a call premium of at least $153 per $1,000, after which no further payments are made. If not called, at maturity on August 10, 2029 investors receive leveraged upside of 1.50x any gain in the least-performing stock, full principal back if all stocks stay at or above 60.00% of their strike values, or a 1% loss of principal for each 1% that the least-performing stock finishes below its strike when any stock breaches that 60.00% barrier, potentially resulting in a total loss. The estimated value is expected to be below the $1,000 issue price, and the notes pay no interest or dividends and are not listed, creating liquidity and valuation risks.

JPMorgan Chase is providing updated information on the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, including hypothetical backtested and actual historical monthly and annual returns from November 20, 1996 through July 31, 2026. Index performance before September 18, 2023 is hypothetical backtested using the current methodology; performance from September 18, 2023 onward is based on actual Index levels.

The Index targets a 5% daily volatility and reflects a 0.50% per annum index deduction and a notional financing cost, both deducted daily, which reduces returns relative to the underlying equity index. Disclosures highlight that past and backtested performance are not indicative of future results, that backtests rely on constituents and proxy constituents that may not have traded together, and that alternative modeling could produce materially different outcomes. Identified risks include the possibility the Index may not track its target volatility, may be significantly uninvested, and may not fully reflect gains or losses of the underlying index. Investors are directed to additional risk factor discussions in related supplements and term sheets.

JPMorgan Financial is offering auto callable contingent interest notes due August 31, 2028, linked separately to the Nasdaq-100, Russell 2000 and S&P 500 indices and fully guaranteed by JPMorgan Chase & Co. Investors may receive a monthly Contingent Interest Payment when, on an Interest Review Date, the closing level of each index is at least 70% of its Initial Value (the Interest Barrier). The notes are automatically called on quarterly Autocall Review Dates, starting February 26, 2027, if each index is at or above its Initial Value, paying $1,000 plus the applicable contingent coupon, with no further payments.

If not called and on the final Review Date each index is at or above its Trigger Value (also 70% of Initial Value), holders receive $1,000 plus the final contingent coupon. If any index finishes below its Trigger Value, repayment of principal is reduced one-for-one with the decline of the Least Performing Index, potentially to zero. The Contingent Interest Rate will be at least 8.00% per annum, paid at 0.66667% per month, but may be paid on few or no dates. The notes are unsecured obligations subject to the credit risk of JPMorgan Financial and JPMorgan Chase & Co. The indicative estimated value is $955.60 per $1,000 note at launch and will not be less than $900.00, below the issue price due to selling commissions, hedging costs and structuring fees.

JPMorgan Chase Financial Company LLC is offering structured notes linked to the lesser performing of the Russell 2000 Index and the S&P 500 Index, fully and unconditionally guaranteed by JPMorgan Chase & Co. Each note has a $1,000 principal amount and may be automatically called on any Review Date if both indices close at or above 100% of their Initial Values. If called, investors receive $1,000 plus a call premium of at least 11.75%, 23.50% or 35.25% on the first, second and final Review Dates, respectively. If not called and both Final Values are at or above 60% of Initial Value, principal is repaid at maturity on September 6, 2029; otherwise, repayment is reduced one-for-one with the decline of the lesser performing index, exposing investors to a loss of more than 40% and potentially all principal. The notes pay no interest or dividends, are unsecured obligations subject to the credit risk of the issuer and guarantor, and had an indicative estimated value of approximately $969.40 per $1,000, with a final estimated value not less than $900.

JPMorgan Chase Financial Company LLC is offering Auto Callable Accelerated Barrier Notes linked to the lesser performing of the EURO STOXX 50® Index and the STOXX® Europe 600 Index, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are expected to price on or about August 31, 2026, settle on or about September 3, 2026, and mature on September 4, 2031.

The notes may be automatically called on September 6, 2027 if each index is at or above its Call Value, paying $1,000 plus a Call Premium Amount of at least $182.50 per $1,000 note. If not called and each index finishes above its Initial Value at maturity, investors receive $1,000 plus 1.50× the return of the lesser performing index. If either index is at or below its Initial Value but both stay at or above a 70% Barrier Amount, principal is returned. If the lesser performing index closes below its Barrier Amount, repayment is reduced dollar-for-dollar with the index loss, down to a total loss of principal.

The minimum denomination is $1,000. The notes pay no interest or dividends and are unsecured, unsubordinated obligations subject to the credit risk of both JPMorgan Financial and JPMorgan Chase & Co. The indicative estimated value is approximately $940.90 per $1,000 today and will not be less than $900.00 per $1,000 at pricing, reflecting embedded fees, hedging costs, and dealer compensation. The product entails significant market, currency, liquidity, structural and tax risks, including potential loss of the entire investment.

JPMorgan provides an update on the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, an excess-return index linked to the S&P® Global 100 Index. It was established on September 18, 2023 and targets 5% annualized volatility by dynamically adjusting exposure based on observed underlying volatility.

The index reflects a 0.50% per annum deduction and a daily notional financing cost referenced to the Effective Federal Funds Rate. From July 2016 to July 2026, hypothetical and actual data show annualized return of 2.60%, annualized volatility of 4.23% and a Sharpe Ratio of 0.61, compared with lower Sharpe Ratios for domestic and global 30/70 equity-bond portfolios.

The update includes monthly return history from 2017 through July 2026 and highlights risks, including that the index may not match its 5% target volatility, may be significantly uninvested, and may fail to outperform the S&P® Global 100 Index. All past and backtested performance is described as illustrative and not indicative of future results.

JPMorgan Chase Financial Company LLC is offering Auto Callable Accelerated Barrier Notes linked to the iShares MSCI South Korea ETF, fully and unconditionally guaranteed by JPMorgan Chase & Co. Each note has a $1,000 denomination and may be automatically called on August 30, 2027 if the ETF’s price is at or above 100% of its Initial Value, paying $1,000 plus a call premium of at least $390.

If not called and the ETF has risen at maturity in 2031, investors receive $1,000 plus 1.50× the fund’s positive return. If the final price is between 50% and 100% of the Initial Value, principal is returned. Below the 50% barrier, principal is reduced one-for-one with the fund’s loss, up to a total loss. The notes pay no interest or dividends, are unsecured obligations subject to JPMorgan Financial and JPMorgan Chase & Co. credit risk, and have an estimated value of about $920 per $1,000, not less than $900, reflecting embedded costs and hedging.