JPMORGAN CHASE & CO SEC Filings

J.P. Morgan Total Return SM Index is a rules-based benchmark that allocates monthly among 12 U.S. dollar fixed income ETFs, aiming for the highest six-month performance subject to a 5% historical volatility threshold and concentration limits. It is calculated on a total-return basis and was launched on July 13, 2017.

From December 2015 through December 2025, the Index shows a 10-year annualized return of 2.01% with 10-year annualized volatility of 4.84%, and a 1-year return of 7.30%. Over the same period, the Bloomberg Barclays U.S. Aggregate Bond Total Return Index records a 10-year annualized return of 3.20% with 5.18% volatility, while the Bloomberg Barclays Global Aggregate Bond Index Total Return Unhedged USD shows a 10-year annualized return of 1.26% with 5.35% volatility.

The update highlights that much of the history is hypothetical backtested data using proxies before the Index and some ETFs were live, and stresses that past and backtested performance are not indicative of future results. Key risks include the momentum-based strategy, monthly rebalancing and weighting constraints, correlation among basket constituents, fixed income and credit risks, ETF tracking risk, and the credit risk of JPMorgan Chase Bank, N.A. for investments linked to the Index.

JPMorgan Chase Financial Company LLC, guaranteed by JPMorgan Chase & Co., is offering Callable Range Accrual Notes linked to the U.S. 10-Year Constant Maturity Treasury (10-Year CMT) rate. The notes pay a fixed 9.50% per annum during the initial interest periods until January 22, 2029. After that, interest for each period ranges from 0.00% to a maximum of 9.50% per annum, depending on how many days the 10-Year CMT rate is at or below 4.50%.

The notes are callable at the issuer’s option on the 22nd of January, April, July and October, from January 22, 2029 to January 22, 2041, at 100% of principal plus accrued interest. If not redeemed early, they mature on January 22, 2041, returning principal plus any accrued interest. If priced on the terms shown, the estimated value would be about $946.70 per $1,000 note and will not be less than $920.00, reflecting selling commissions of about $30.00 (up to $50.00) per $1,000.

Key risks include the possibility of 0% interest in some periods if the rate condition is not met, the issuer’s right to redeem the notes early, potential difficulty selling in a limited secondary market, and the calculation agent’s discretion to determine or replace the 10-Year CMT rate. The notes are unsecured obligations, not bank deposits, and are not insured by the FDIC.

JPMorgan Chase Financial Company LLC, guaranteed by JPMorgan Chase & Co., is offering auto callable contingent interest notes linked to the common stock of Starbucks Corporation. Each note has a $1,000 principal amount and may pay a contingent interest payment of at least $28.00 per note on quarterly dates if the Starbucks share price is at or above a barrier set at 65% of the strike price.

If the notes are automatically called on a review date when the stock closes at or above the strike price, investors receive $1,000 plus the applicable contingent interest and any previously unpaid contingent interest. If the notes are not called and the final stock price stays at or above the 65% trigger level, investors receive full principal back at maturity plus any due interest. If the final stock price falls below the trigger level, principal is reduced 1% for each 1% decline from the strike, so losses can exceed 35% and reach a total loss of principal. The indicative estimated value is about $979.80 per $1,000 note and will not be less than $960.00 when finalized.

This January 2026 update provides hypothetical and actual historical monthly and annual returns for the MerQube US Large-Cap Vol Advantage Index, which underlies certain notes issued by J.P. Morgan. The figures combine backtested performance from January 7, 2005 through February 10, 2022 with actual index performance from February 11, 2022 through December 31, 2025, showing years of strong gains, such as 2017 with a 73.07% return, and large drawdowns, such as 2008 with a -51.25% return.

The document highlights that all backtested results are hypothetical, subject to significant limitations and may differ materially from future results. It also stresses key risks: a 6.0% per annum daily deduction embedded in index levels, use of leverage and futures contracts, the possibility the index may be significantly uninvested or fail to meet its target volatility, and its status as an “excess return” index that excludes interest on cash. Additional risks include non-U.S. securities exposure, concentration risk, potential market disruptions, and conflicts of interest because J.P. Morgan Securities LLC helped design the index and licensed it from MerQube. The material repeatedly cautions that historical and backtested performance are not indicative of future results.

J.P. Morgan provides a performance update on the MerQube US Large-Cap Vol Advantage Index, which underlies certain structured notes. The index offers dynamic, rules-based exposure to E‑Mini S&P 500^® futures, targeting 35% volatility with exposure between 0% and 500% and applying a 6.0% per annum daily deduction. It is an excess return index, so it does not include interest on cash.

The update shows hypothetical backtested performance from December 2015 to February 10, 2022 and actual performance from February 11, 2022 through December 31, 2025. Over the last 10 years, the index had an annualized volatility of 29.79% and an annualized return of 14.36%, compared with 18.18% volatility and 12.85% return for the S&P 500 Index.

The document highlights significant risks, including use of leverage, potential for the index to be uninvested, futures market disruptions, and the impact of roll costs. It stresses that backtested data have inherent limitations and that past and hypothetical results are not indicative of future performance. Notes linked to the index are unsecured obligations, not bank deposits and not insured by the FDIC or any government agency.

JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., is offering auto callable contingent interest notes linked individually to the Nasdaq-100 Index, the Russell 2000 Index and the S&P 500 Index, maturing July 21, 2027. These unsecured notes can automatically call as early as July 16, 2026 if each index is at or above its initial level on certain review dates, returning principal plus the applicable contingent interest.

The notes pay a contingent coupon of at least 8.95% per annum, paid monthly, but only if on a review date each index closes at or above 70% of its initial value. If any index finishes below this trigger on the final review date and the notes have not been called, repayment of principal is reduced one-for-one with the decline of the worst-performing index, with the possibility of losing the entire investment.

The estimated value, if priced today, is $977.50 per $1,000 principal amount, and will not be less than $900.00 per $1,000 when finalized. The notes will not be listed, secondary liquidity depends on J.P. Morgan Securities LLC, and investors bear the credit risk of both the issuer and JPMorgan Chase & Co., as well as complex tax and withholding considerations.

This document is a January 2026 index supplement providing hypothetical and actual historical performance for the MerQube US Small-Cap Vol Advantage Index. It shows backtested monthly and annual returns from January 7, 2005 through June 17, 2022 and actual index performance from June 21, 2022 through December 31, 2025.

The Index embeds a 6.0% per annum daily deduction, uses futures contracts with significant leverage, and may at times be significantly uninvested. It tracks small-cap U.S. equities through an “excess return” structure, meaning it does not include interest on cash.

The document highlights that backtested data is hypothetical, subject to many modelling assumptions and not independently verified. It lists extensive risks, including volatility targeting that may not be met, futures market disruptions, concentration and small-cap risks, and potential conflicts because J.P. Morgan Securities LLC worked with MerQube to design and license the Index. It repeatedly stresses that historical and backtested performance are not indicative of future results.

J.P. Morgan provides a January 2026 performance update for the MerQube US Small-Cap Vol Advantage Index, which underlies certain structured notes. The index offers rules-based exposure to E-Mini Russell 2000 futures, targeting 35% volatility with exposure that can range from 0% to 500% of futures notional. A 6.0% per annum daily deduction is built into the index level, reducing long-term returns.

The index began on June 21, 2022, and the update shows hypothetical backtested and actual performance and volatility from December 2015 through December 2025, along with recent leverage levels in late 2025. The material repeatedly stresses that historical and backtested results are hypothetical, have not been independently verified, and are not indicative of future performance.

The document highlights key risks, including use of significant leverage, possible periods when the index is largely uninvested, small-cap equity exposure, futures market risks, and the fact that the index is an excess return index that does not reflect interest on cash. It also notes potential conflicts because J.P. Morgan coordinated with MerQube on index design and holds an exclusive license.

JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., is offering unsecured Uncapped Digital Barrier Notes linked to the lesser performance of the S&P 500 Index and the Russell 2000 Index, maturing in February 2031. The notes provide uncapped, unleveraged exposure to any gain in the weaker index at maturity, with a contingent minimum return of at least 44.50% if both indices finish at or above their initial levels.

If either index finishes below its initial level but both stay at or above 75% of their initial values, investors receive only their principal back. If either index ends below this 75% barrier, repayment is reduced one-for-one with the decline of the lesser-performing index, and investors can lose more than 25% and up to all of their principal. The notes pay no interest, pass through no dividends, are not bank deposits or FDIC insured, and are subject to the credit risk of both the issuer and guarantor.

The preliminary materials indicate selling commissions of up to $30 and a possible structuring fee of $8.50 per $1,000 note. If priced on the stated date, the estimated value would be about $947.10 per $1,000, and will not be less than $920.00 per $1,000 when finalized, reflecting embedded selling, structuring and hedging costs and potential differences from secondary market values.