[424B3] Inverse VIX Short-Term Futures ETNs due March 22, 2045 Prospectus Filed Pursuant to Rule 424(b)(3)

Rhea-AI Filing Summary

MerQube US Large-Cap Vol Advantage Index (MQUSLVA) – July 2025 performance update

The rules-based index provides 0-500% leveraged exposure to E-Mini S&P 500 futures, re-targeting 35% volatility and applying a 6.0% p.a. daily deduction. It was launched on 11 Feb 2022; data before that date are back-tested.

Performance snapshot: Over Jun 2015-Jun 2025 the index recorded a 10-year annualised return of 11.15% with 30.24% volatility, versus the S&P 500’s 11.64% return and 18.48% volatility. The most recent 1-year return is –10.71% compared with the S&P 500’s +13.63%, underscoring performance dispersion. Monthly returns range from +10.44% (Jun 2016) to –19.13% (Feb 2020).

Current leverage profile: End-of-day exposure fluctuated sharply between 62.5% and 252.2% during Apr-Jun 2025, reflecting the index’s dynamic volatility control.

Structural features & principal risks:

• 6.0% annual fee drag directly reduces index level.
• Use of significant leverage (up to 5×) amplifies gains and losses.
• Excess-return construction excludes cash reinvestment income.
• Methodology may be adjusted at MerQube’s discretion; JPMS co-designed the index and licenses it for structured notes.
• Index has <4 years of live history; back-tested data may not predict future results.

Investments linked to the index are unsecured, not FDIC-insured, and subject to equity, futures, liquidity and concentration risks. Past and hypothetical performance are not indicative of future returns.

Positive

• 10-year annualised return of 11.15% is broadly in line with the S&P 500 despite different construction.
• Dynamic volatility targeting can reduce exposure during high-stress periods and increase it in calmer markets.
• Index methodology and real-time publication on Bloomberg (MQUSLVA) enhance transparency for investors.

Negative

• 6.0% per-annum daily deduction directly erodes index performance.
• Use of up to 500% leverage amplifies both gains and losses, heightening tail risk.
• 1-year actual return of –10.71% significantly lags the S&P 500’s +13.63%.
• Limited live history (since Feb 2022) means heavy reliance on back-tested data.

Insights

Financial Analyst

TL;DR: Long-term back-tests match S&P 500 returns, but recent −10.7% 1-year lag plus 6% fee offset appeal; overall neutral.

The index’s 10-year annualised return of 11.15% roughly equals the S&P 500 while delivering markedly higher volatility (30.24%). Fee drag and high leverage mean investors need strong directional convictions; yet dynamic re-balancing can reduce exposure to market stress. April-June 2025 exposures swung from 62% to 252%, confirming active volatility targeting. Because historical outperformance is back-tested and live data show underperformance, I view the update as informational rather than thesis-changing.

Risk Analyst

TL;DR: 5× leverage, 6% fee and limited live history create material downside risk; caution warranted.

The index layers considerable complexity: excess-return calculation eliminates cash yield, the 6% daily-accrued fee compounds, and leverage can exceed 250% in normal conditions. A single-year drawdown of −10.71% despite a rising S&P 500 highlights path-dependency. Operational risks include sponsor discretion, futures roll cost and potential unavailability of settlement prices. For most portfolios, exposure should be sized conservatively or avoided.

Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus addendum dated June 3, 2024, the product supplement no. 4 - I dated April 13, 2023 and the underlying supplement no. 5 - II dated March 5, 2024 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated July 9, 2025 Rule 424(b)(3) PERFORMANCE UPDATE The MerQube US Large - Cap Vol Advantage Index 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, while targeting a level volatility of 35 % , 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 Index was established on February 11, 2022. Levels are published on Bloomberg using the ticker MQUSLVA. Hypothetical and actual historical performance: Jun 2015 through Jun 2025 Please see the footnotes at the bottom of this page and “Backtesting” on the following page for information on backtested performance and proxies. Hypothetical and actual historical returns and volatilities: Jun 2015 through Jun 2025 MerQube US Large - Cap Vol Advantage Index S&P 500 Index Backtested Actual 50 100 150 200 250 300 350 Jun - 15 Jun - 17 Jun - 19 Jun - 21 Jun - 23 Jun - 25 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 30.24% 11.15% 10.36% 12.48% - 10.71% MerQube US Large - Cap Vol Advantage Index 18.48% 11.64% 14.89% 17.91% 13.63% S&P 500 Index Historical exposure at end - of - day: Apr 2025 through Jun 2025 Hypothetical and actual historical monthly and annual returns: Jan 2016 through Jun 2025 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 8.14% 3.35% 5.37% - 6.30% - 4.01% - 0.64% 10.44% - 2.68% 4.22% - 0.53% 13.77% - 1.49% - 11.03% 2016 73.07% 2.31% 12.43% 9.87% 6.02% - 1.03% 7.49% 1.42% 4.00% - 0.25% - 2.43% 14.83% 3.01% 2017 - 18.54% - 14.51% 0.42% - 15.25% 0.99% 8.66% 9.31% 0.66% 4.38% - 1.20% - 12.41% - 15.93% 22.09% 2018 59.16% 7.23% 12.28% 5.26% 2.30% - 6.78% 0.84% 14.02% - 15.83% 11.77% 0.32% 6.76% 13.69% 2019 8.44% 6.16% 10.42% - 6.30% - 6.15% 13.10% 7.27% - 0.46% 4.51% 9.72% - 6.92% - 19.13% 0.92% 2020 42.86% 4.30% - 1.83% 17.25% - 12.19% 6.76% 5.66% 3.71% 0.66% 11.97% 6.10% 1.18% - 4.27% 2021 - 40.09% - 11.77% 7.38% 8.73% - 12.75% - 8.48% 13.14% - 12.93% - 0.98% - 14.75% 4.68% - 4.54% - 12.36% 2022 30.15% 11.26% 18.61% - 5.38% - 14.22% - 7.89% 7.68% 13.69% - 0.08% 2.25% 2.08% - 5.83% 9.72% 2023 25.01% - 9.17% 7.10% - 4.20% - 1.14% 2.99% 0.11% 7.81% 11.20% - 10.73% 6.58% 12.36% 2.69% 2024 - 6.00% 8.99% 5.93% - 6.95% - 10.58% - 4.93% 2.92% 2025 JULY 2025 MerQube US Large - Cap Vol Advantage Index Historical performance measures for the Index represent hypothetical backtested performance through February 10, 2022 (labeled “Backtested” in the chart above); and actual performance from February 11, 2022 through June 30, 2025 (labeled “Actual” in the chart above). The hypothetical backtested and historical levels presented herein have not been verified by J.P. Morgan, and hypothetical historical levels have inherent limitations. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. Please see the Disclaimer on the following page. Investing in the notes linked to the Index involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement. 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 accompanying product supplement, underlying supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal otfense. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank. June 2025 Exposure Period 201.08% 06/02 - 06/05 245.51% 06/06 - 06/12 148.90% 06/13 - 06/18 194.43% 06/20 - 06/26 252.18% 06/27 - 06/30 April 2025 Exposure Period 148.91% 04/01 — 04/03 62.51% 04/04 — 04/10 69.98% 04/11 — 04/16 120.26% 04/17 — 04/24 139.75% 04/25 — 04/30 May 2025 Exposure Period 139.75% 05/01 171.55% 05/02 — 05/08 163.60% 05/09 — 05/15 246.85% 05/16 — 05/22 162.80% 05/23 — 05/29 201.08% 05/30

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JULY 2025 | MerQube US Large - Cap Vol Advantage Index Selected Risks  Our affiliate, J.P. Morgan Securities LLC (“JPMS”), coordinated with the Index Sponsor in the development of the Index.  The level of the Index will include a 6.0% per annum daily deduction.  MerQube (the “Index Sponsor”) may adjust the Index in a way that atfects its level, and the Index Sponsor has no obligation to consider your interests.  The equity securities of JPMorgan Chase & Co. (“JPMC”) are included in the S&P 500® Index, but JPMC will not have any obligation to consider your interests in taking any corporate action that might atfect the level of the S&P 500® Index.  The Index may not approximate its target volatility.  The Index is subject to risks associated with the use of significant leverage.  The Index may be significantly uninvested.  The Index may be adversely atfected if later futures contracts have higher prices than an expiring futures contract included in the Index.  The Index is an “excess return” index and not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts.  The Index, which was established on January 7, 2022, has a limited operating history and may perform in unanticipated ways.  The Index is subject to significant risks associated with futures contracts, including volatility.  Concentration risks associated with the Index may adversely atfect the value of investments linked to the Index.  Suspension or disruptions of market trading in the futures contracts included in the Index may adversely atfect the value of investments linked to the Index.  The official settlement price and intraday trading prices of the relevant futures contracts included in the Index may not be readily available.  Changes in the margin requirements for the underlying futures contracts included in the Index may adversely atfect the value of investments linked to the Index.  The Index may not be successful or outperform any alternative strategy that may be employed in respect of the futures contracts. The risks identified above are not exhaustive. You should also review carefully the related “Risk Factors” section in the prospectus supplement and the relevant product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant pricing supplement. Disclaimer The information contained in this document is for discussion purposes only . 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 . Backtesting : Hypothetical backtested performance measures have inherent limitations . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . Past performance, and especially hypothetical back - tested performance, is not indicative of future results . This type of information has inherent limitations and you should carefully consider these limitations before placing reliance on such information . Use of hypothetical backtested returns Any backtested historical performance and weighting information included herein is hypothetical . The constituent may not have traded in the manner shown in the hypothetical backtest of the Index included herein, and no representation is being made that the Index will achieve similar performance . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment in notes referencing the Index . J . P . Morgan provides no assurance or guarantee that notes linked to the Index will operate or would have operated in the past in a manner consistent with these materials . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . Alternative simulations, techniques, modeling or assumptions might produce significantly ditferent results and prove to be more appropriate . Actual results will vary, perhaps materially, from the hypothetical backtested returns and allocations presented in this document . HISTORICAL AND BACKTESTED PERFORMANCE AND ALLOCATIONS ARE NOT INDICATIVE OF FUTURE RESULTS . Hypothetical back - tested performance measures have inherent limitations . Hypothetical back - tested performance is derived by means of the retroactive application of a back - tested model that has been designed with the benefit of hindsight . Hypothetical back - tested results are neither an indicator nor a guarantee of future returns . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . A copy of the index methodology is available upon request or can be viewed on MerQube’s website . MerQube performed the calculation of the hypothetical back - tested performance data . Neither J . P . Morgan Securities LLC (JPMS), nor any of its affiliates paid MerQube to perform these calculations . JPMS has entered into a license agreement with MerQube, Inc . that provides for an exclusive license to it and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Indices, which are owned and published by MerQube, Inc . JPMS worked with MerQube in developing the guidelines and policies governing the composition and calculation of the Index . The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your notes . JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the Index or making judgments that may atfect the level of the Index . The 10 Year Volatility (Annualized) on the previous page is a measure of market risk, calculated as of the square root of two hundred and fifty - two ( 252 ) multiplied by the sample standard deviation of the daily logarithmic returns of each applicable index or portfolio (considering only days for which levels are available for all three) over the preceding 10 years . Investment suitability must be determined individually for each investor, and notes linked to the Index may not be suitable for all investors . This material is not a product of J . P . Morgan Research Departments . Neither MerQube, Inc . nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of any investment linked to the Index referenced herein and MerQube has no duties, responsibilities, or obligations to investors in such investment . The Index is a product of MerQube and has been licensed for use by JPMS (“Licensee”) and its affiliates . Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each a “Data Provider”) . MerQube® is a registered trademark of MerQube, Inc . These trademarks have been licensed for certain purposes by Licensee, including use by Licensee’s affiliate in its capacity as the issuer of investments linked to the Index . Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, Index or any associated data . Copyright © 2025 JPMorgan Chase & Co . All rights reserved . For additional regulatory disclosures, please consult : www . jpmorgan . com/disclosures . Information contained on this website is not incorporated by reference in, and should not be considered part of, this document . This monthly update document replaces and supersedes all prior written materials of this type previously provided with respect to the Index .

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FAQ

What is the objective of the MerQube US Large-Cap Vol Advantage Index underlying VYLD?

The index seeks to maintain 35% volatility by adjusting 0-500% leveraged exposure to E-Mini S&P 500 futures while subtracting a 6% p.a. fee.

How has the index performed over the past ten years?

From Jun 2015-Jun 2025 it shows an 11.15% annualised return with 30.24% volatility; data before Feb 2022 are back-tested.

What was the most recent 1-year return for MQUSLVA?

The 1-year return to Jun 2025 is approximately −10.71%.

How much leverage did the index employ in Q2 2025?

End-of-day exposure ranged from about 62.5% to 252.2% during April-June 2025.

What are the main fees embedded in the index?

A 6.0% per-annum deduction accrues daily, reducing the index level regardless of market direction.

Is past performance a reliable indicator for VYLD investors?

No. The document stresses that historical and back-tested results are not indicative of future performance.