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

Rhea-AI Filing Summary

J.P. Morgan Kronos+^SM Index – July 2025 Performance Update

The rules-based Kronos+ Index dynamically moves between three exposures to the S&P 500^® Price Index – uninvested (0x), fully invested (1x) or 2x leveraged – using three calendar-driven signals: (1) turn-of-month seasonality, (2) momentum in the week preceding monthly index-option expiration, and (3) mean reversion in the final days of each month. The index level is reduced daily by a 0.95% p.a. fee and, when leveraged, a notional financing charge tied to the Effective Federal Funds Rate. It launched on 22-Dec-2020; all data before that date are hypothetical back-tests.

Risk/return snapshot (Jun-2015 – Jun-2025):

• Annualised return: 19.35% (Kronos+) vs 11.64% (S&P 500)
• Annualised volatility: 26.31% vs 18.48%
• Sharpe ratio: 0.74 vs 0.63

Recent calendar-year results: +100.7% (2020), +42.3% (2021), -37.1% (2022), +32.1% (2023), +10.6% (YTD 2024), -6.4% (YTD Jun-2025). Monthly returns show large swings, underscoring elevated risk.

Key structural risks

• Index is sponsored and calculated by JP Morgan Securities LLC, which can make adjustments affecting levels.
• High fee drag (0.95% p.a.) and financing costs during leveraged periods.
• Strategies only operate during limited parts of each month and can overlap.
• Possibility of uninvested exposure or substitution of the S&P 500 in extraordinary events.
• Limited live history (since Dec-2020); back-tested data may overstate efficacy.

Investors considering structured notes linked to the index should weigh the attractive historical risk-adjusted returns against high volatility, fee drag and numerous strategy-specific execution risks highlighted in the filing.

Positive

• Back-tested annualised return of 19.35% exceeds S&P 500 by roughly 7.7 pp, indicating potential alpha.
• Higher Sharpe ratio (0.74) suggests risk-adjusted improvement over benchmark.

Negative

• High annualised volatility of 26.31% implies materially larger drawdowns.
• 0.95% daily-accruing fee plus financing cost creates significant performance drag.
• Limited live history (since Dec-2020) raises concern about robustness of back-tested outperformance.
• Single-sponsor control allows JPMS to adjust index methodology, posing conflict-of-interest risk.

Insights

Equity Index Strategist

TL;DR – Strong back-tested outperformance but high fees and volatility temper appeal; disclosure largely informational.

The update shows Kronos+ delivered a 19.35% annualised return over ten years – roughly 750 bp above the S&P 500 – with only a modest Sharpe uplift (0.74 vs 0.63). Outperformance stems from 2x leverage deployed during historically strong calendar windows, but that leverage raises realised volatility to 26.3% and produced a −37% drawdown in 2022. Fee drag (0.95% p.a.) and notional financing further erode returns, especially if rates stay elevated. Because results prior to Dec-2020 are modelled, the data may not translate into future performance. From an equity-allocation standpoint, the index behaves like a high-beta tactical overlay rather than core exposure. The filing discloses no structural changes; therefore, market impact is minimal.

Structured-Products Risk Analyst

TL;DR – Multiple embedded risks (sponsor control, strategy overlap, Fed-rate financing) warrant cautious sizing.

Operationally, JPMS acts as both sponsor and calculation agent, creating potential conflicts should rule changes be required. Strategy windows can overlap, generating unintended net exposures, while periods of complete disinvestment introduce cash drag during rallies. The 0.95% fee plus Effective Fed Funds Rate when leveraged sets a high performance hurdle. A 26% volatility profile means note investors could face sizable mark-to-market swings despite principal-protected packaging. Given limited live data, the update is informative but not materially price-moving.

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. 6 - I dated April 13, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated July 9, 2025 Rule 424(b)(3) PERFORMANCE UPDATE The J.P. Morgan Kronos+ SM Index attempts to provide a dynamic uninvested, fully invested or 2x leveraged exposure to the S&P 500® Price Index (“the S&P 500”) based on the following principles: • Strong historical performance around the turn of the month • Historical price momentum ahead of index options’ expiry • Historical mean reversion at month - end The Index does not reflect the reinvestment of dividends and is subject to a daily deduction of 0.95% per annum index fee. The Index was established on December 22, 2020. Levels are published on Bloomberg using the ticker JPUSKRNS. 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. Hypothetical and actual historical returns and volatilities: Jun 2015 through Jun 2025 J.P. Morgan Kronos+ SM Index S&P 500® Price Index Backtested 50 Jun - 15 Jun - 17 Jun - 19 Actual Jun - 21 Jun - 23 Jun - 25 250 450 650 850 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.74 26.31% 19.35% 11.27% 6.00% - 12.47% J.P. Morgan Kronos+ SM Index 0.63 18.48% 11.64% 14.89% 17.91% 13.63% S&P 500® Price 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 11.30% 2.63% 1.96% - 3.61% - 0.49% - 0.15% 4.06% 1.47% 2.81% - 1.20% 11.75% - 3.60% - 3.88% 2016 27.52% 1.03% 2.37% 3.00% 1.59% 2.84% 2.18% 1.39% 1.70% 0.45% 1.38% 4.76% 1.93% 2017 13.22% - 5.33% 8.69% - 6.85% 0.63% 2.71% 4.49% 4.23% 4.79% 2.51% - 0.52% - 10.54% 9.78% 2018 35.14% 2.38% 4.54% - 0.30% 3.40% - 5.13% 1.65% 12.78% - 10.79% 4.35% 4.49% 4.85% 10.41% 2019 100.70% 4.68% 15.65% - 0.03% - 1.23% 7.97% 7.96% 7.50% 2.76% 12.43% 15.04% - 1.79% 2.66% 2020 42.26% 4.21% 2.53% 11.44% - 5.00% 3.64% 0.16% 1.17% 2.81% 7.23% 0.83% 4.87% 2.72% 2021 - 37.08% - 15.24% 0.99% 9.93% - 12.49% - 5.51% 11.93% - 8.85% 9.19% - 15.88% - 5.84% 0.01% - 8.36% 2022 32.11% 4.12% 13.92% - 0.14% - 7.54% - 2.00% 1.68% 9.49% - 4.67% 2.59% 8.62% - 2.65% 6.91% 2023 10.58% - 4.94% 6.00% - 1.27% - 2.00% - 6.59% 2.68% 4.17% 9.65% - 5.18% 3.00% 5.72% 0.26% 2024 - 6.39% 2.16% 7.30% - 2.40% - 12.80% - 0.61% 0.96% 2025 JULY 2025 J.P. Morgan Kronos+ SM Index Historical performance measures for the Index represent hypothetical backtested performance using the actual performance of the S&P 500 ® Price Return Index through December 21 , 2020 and the actual performance of the Index from December 22 , 2020 through June 30 , 2025 . 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 Leveraged Fully invested Uninvested S&P 500® Exposure 6/2 — 6/4 6/5 — 6/13 6/16 — 6/18 6/20 6/23 — 6/25 6/26 — 6/27 6/30 April 2025 Leveraged Fully invested Uninvested S&P 500® Exposure 4/1 — 4/3 4/4 — 4/11 4/14 — 4/17 4/21 4/22 — 4/25 4/28 — 4/29 4/30 May 2025 Leveraged Fully invested Uninvested S&P 500® Exposure 5/1 — 5/5 5/6 — 5/12 5/13 — 5/16 5/19 — 5/20 5/21 — 5/27 5/28 — 5/29 5/30

 

 

JULY 2025 | J.P. Morgan Kronos+ SM Index Selected Risks  Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the sponsor and calculation agent of the Index and may adjust the Index in a way that atfects its level.  The level of the Index will include the deduction of a fee of 0.95% per annum and, in some circumstances, a notional financing cost based on the Etfective Federal Funds Rate.  JPMorgan Chase & Co. is currently one of the companies that make up the Constituent.  There are risks associated with the Index’s turn - of - month strategy.  There are risks associated with the Index’s option expiry momentum strategy.  There are risks associated with the Index’s mean reversion strategy.  The Index’s strategies are applied during only a portion of each month.  The Index may be adversely atfected by an overlap between its turn - of - the - month strategy and its month - end mean reversion strategy.  The Index may be uninvested in the Constituent.  The Constituent of the Index may be replaced by a substitute index in certain extraordinary events.  The notional cash return will be negatively atfected if the underlying interest rate is negative.  The Index, which was established on December 22, 2020, has a limited operating history and may perform in unanticipated ways.  The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest.  The Index may not be successful or outperform any alternative strategy that may be employed of the Constituents.  The Etfective Federal Funds Rate is atfected by a number of factors and may be volatile.  The method pursuant to which the Etfective Federal Funds Rate is determined may change, and any such change may adversely atfect the value of notes linked to the Index. 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 term sheet and/or disclosure supplement, and the documents referred to therein . In the event any inconsistency between the information presented herein and any such term sheet and/or disclosure supplement, such term sheet and/or disclosure 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 . 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 . The Sharpe Ratio on the previous page is a measure of risk - adjusted performance, calculated as the 10 Year Return (Annualized) divided by the 10 Year Volatility (Annualized) . 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 . 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 .

 

FAQ

What is the objective of the J.P. Morgan Kronos+ Index?

It dynamically allocates 0x, 1x or 2x exposure to the S&P 500^® based on turn-of-month seasonality, option-expiry momentum and month-end mean reversion.

How has the Kronos+ Index performed versus the S&P 500 from 2015-2025?

Back-tested/actual data show a 19.35% annualised return and 0.74 Sharpe for Kronos+ versus 11.64% and 0.63 for the S&P 500.

What fees are deducted from the index level?

A 0.95% per-annum index fee is deducted daily; when leveraged, a notional financing charge tied to the Effective Federal Funds Rate also applies.

Why is the 2022 calendar-year return -37%?

High leverage during adverse market phases amplified S&P 500 losses, illustrating the strategy’s elevated downside risk.

When was the Kronos+ Index launched?

The index began live calculation on 22 December 2020; earlier results are hypothetical back-tests.

Who sponsors and calculates the index?

J.P. Morgan Securities LLC (JPMS), an affiliate of JPMorgan Chase & Co., acts as both sponsor and calculation agent.