Alerian MLP Index ETN SEC Filings

JPMorgan Chase & Co. and JPMorgan Chase Financial Company LLC offer structured notes linked to one or more reference currencies (each relative to a base currency), commodities, commodity futures contracts or commodity indices. Payments, valuation methods, Determination Dates and Payment Dates are set in each relevant terms supplement; estimated value is comprised of a fixed‑income component and one or more derivative components. Notes issued by JPMorgan Financial are fully and unconditionally guaranteed by JPMorgan Chase & Co. and are unsecured, unsubordinated obligations; payments on notes linked to commodity futures or indices may be affected by a commodity hedging disruption event.

JPMorgan Chase & Co. and JPMorgan Chase Financial Company LLC publish a product supplement for Notes Linked to One or More Underlying Stocks, Indices or Funds that describes general terms, risks and valuation mechanics for structured notes. The supplement states any computed negative payment will be $0 and references an estimated value methodology tied to an internal funding rate and internal pricing models. The document highlights credit risk of the Issuer/Guarantor, potential early redemption/acceleration events, limited secondary market liquidity, conflicts of interest from affiliated hedging and JPMS’s role as calculation agent, and specialized risks for Non-U.S. and Commodity-linked notes.

JPMorgan Chase & Co. and JPMorgan Chase Financial Company LLC may offer notes linked in whole or in part to the J.P. Morgan Total Return Index (the "Index"). The underlying supplement describes the Index methodology, risks, the 12 iShares® ETF Constituents, monthly portfolio selection and rebalancing mechanics and the roles of J.P. Morgan Securities LLC as Index Sponsor and Calculation Agent. The Index is a notional, momentum-based allocation across up to 12 U.S. dollar fixed-income ETFs with constituent weight increments of 5%, individual maximum weights generally of 20% and sector caps (for example, U.S. Treasury Sector: 50%). The Index targets a volatility threshold initially set at 5% and was set to a base level of 100.00 on May 3, 2004, with live calculation beginning on July 13, 2017. The supplement highlights conflicts of interest, index discretion, substitution and market disruption provisions, hypothetical back-tested limitations and ETF-specific risks.

JPMorgan Chase is offering notes linked to the MerQube Vol Advantage Index Series, each index subject to a 6.0% per annum daily deduction. Two "Fund Indices" (US Tech+ and Bitcoin) also incur a notional financing cost deducted daily (SOFR plus a fixed spread of 0.50% and 1.25%, respectively).

Each Index targets a 35% implied volatility and adjusts exposure weekly or monthly, subject to a maximum exposure of 500%. The indices are excess-return constructs that use leverage and futures or ETF exposures; the deductions and leverage can materially reduce or magnify returns. The supplement discloses governance links between JPMorgan affiliates and the Index Sponsor and details index mechanics, rebalancing, calculation conventions, and specific risks for futures, gold and bitcoin exposures.

JPMorgan offers notes linked to the J.P. Morgan Large‑Cap Dynamic Blend℠ 5 Index, a JPMS‑developed rules‑based index that targets an annualized realized volatility of 5.0% and applies a daily deduction of 0.50% per annum. The Index references a notional mix of an equities futures component (S&P 500 futures) and a 2‑year U.S. Treasury futures component and rebalances daily between those Portfolio Constituents using two realized‑volatility measures. The Index Level was set to 100.00 on July 25, 1990 and was calculated live beginning March 2, 2022. The prospectus supplement warns that the Index may be significantly uninvested on some days, that negative roll returns and correlation between constituents may reduce returns, and that JPMS (the Index Sponsor and Calculation Agent) has broad discretion over index rules, substitutions and determinations.

JPMorgan Chase Financial Company LLC is offering Alerian MLP Index® ETNs (listed as the 2044 notes, ticker AMJB) that are unsecured obligations of JPMorgan Financial and fully guaranteed by JPMorgan Chase & Co. Payments are linked to the VWAP level of the Alerian MLP Index and to cash distributions on its MLP components. Coupon payments, if any, are variable and subject to a 0.85% per annum investor fee and an investor-fee shortfall carryforward. Principal at maturity and early repurchase or redemption payments are based on the arithmetic average VWAP level over a five-day measurement period. Holders face issuer/guarantor credit risk, uncertain U.S. federal income tax treatment (including potential application of Section 1260), limited liquidity, minimum weekly repurchase requests of 50,000 notes subject to a 0.125% repurchase fee, and potential conflicts from issuer hedging and trading activities. Use of proceeds is expected to be lent to affiliates for general corporate purposes and hedging.

JPMorgan Chase & Co. and JPMorgan Chase Financial Company LLC describe standardized terms for notes linked to reference currencies, commodities, commodity futures contracts or commodity indices. The product supplement explains valuation mechanics (initial, final, strike values), Determination Dates and Payment Dates, calculation agent role (typically J.P. Morgan Securities LLC), credit and hedging risks, potential early acceleration for commodity hedging disruption events, limited secondary market liquidity, and tax and regulatory considerations.

The supplement emphasizes that estimated values use the issuer’s internal funding rate and internal pricing models, that estimated value will generally be lower than the original issue price, and that investors may lose principal.

JPMorgan Chase & Co. and JPMorgan Chase Financial Company LLC describe the terms and risks for structured notes linked to one or more Reference Stocks, Indices or Funds. The product supplement explains valuation mechanics (initial, final and strike values), Determination Dates and Payment Dates, payment outcomes including Physical Delivery Amount for certain issues, and issuer/guarantor credit risk and hedging-related conflicts. It highlights events that can affect timing or amount of payments, including change-in-law events and commodity hedging disruption events, and notes JPMS will act as calculation agent and may serve as market-maker. The supplement also summarizes estimated-value methodology, secondary market considerations, repurchase procedures (Repurchase Notice deadline 4:00 p.m. New York City time) and key tax and regulatory cautions.