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

Rhea-AI Filing Summary

July 2025 index update: The S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (ticker SPGLR5TE) was launched on September 18, 2023 to give investors exposure to the S&P Global 100 while capping annualised volatility at 5%. To achieve this, the index re-balances its equity exposure each day and deducts both (i) a 0.50% per-annum fee and (ii) a notional financing cost tied to the Effective Federal Funds Rate. The methodology means the index can at times be significantly uninvested in equities.

Performance snapshot (Jun-15 – Jun-25): 10-year annualised return 1.61% with 4.37% volatility, delivering a Sharpe ratio of 0.37. Over the same period a Domestic 30/70 portfolio (30% S&P 500 / 70% Bloomberg Barclays Agg) returned 3.02% at 6.37% volatility (Sharpe 0.47), while a Global 30/70 mix returned 1.55% at 6.19% volatility (Sharpe 0.25). The index’s actual 1-year return is -1.65%. Monthly data since 2016 show frequent low-single-digit gains or losses, consistent with the volatility cap.

Key risk disclosures: daily deductions reduce growth potential; volatility targeting may prevent full participation in rallies or accentuate declines; the index may fail to meet its 5% volatility goal; JPMorgan Chase & Co. is a constituent of the underlying equity basket, creating a potential conflict of interest. Past and back-tested results are not predictive of future performance.

Positive

• Ten-year volatility of 4.37% is materially below multi-asset 30/70 benchmarks, demonstrating effective risk-control mechanics.
• Dynamic daily rebalancing targets a precise 5% volatility level, appealing to investors prioritising stability.

Negative

• Actual 1-year return of −1.65% underperforms both domestic and global 30/70 portfolios.
• Daily 0.50% fee and financing cost continually erode performance, limiting long-term growth.
• Index can be significantly uninvested, dampening upside and potentially magnifying drawdowns.

Insights

Structured Products Analyst

TL;DR: Low-volatility design delivers stability but sacrifices return; overall neutral attractiveness for conservative investors.

The index successfully capped 10-year volatility at 4.37%, well below traditional 60/40 or 30/70 allocations. However, annualised returns (1.61%) and a negative 1-year print confirm that the 0.50% fee and financing charge meaningfully erode performance. Relative under-performance to a simple domestic 30/70 benchmark underscores the cost of volatility targeting. For investors seeking capital-protected or rate-linked notes, the structure may still be useful, but on a standalone basis the risk-adjusted profile does not clearly surpass cheaper alternatives.

Portfolio Risk Analyst

TL;DR: Fee drag and frequent cash allocation hurt return; index looks unattractive versus benchmarks.

The strategy’s 5% target volatility obliges it to de-risk during turbulence, often leaving it materially uninvested. Combined with the daily 0.50% deduction and Fed-funds financing cost, this structural drag explains the flat long-term growth and recent losses. Investors should recognise that, despite a respectable Sharpe ratio, absolute returns are too low to justify credit-linked or leverage overlays. Unless market stress persists, the index is likely to lag traditional balanced portfolios.

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. 3 - I dated April 13, 2023 and the underlying supplement no. 2 - IV dated October 20, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated July 9, 2025 Rule 424(b)(3) JULY 2025 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Historical performance measures for the Index represent hypothetical backtested performance using the performance of the Constituent from November 20 , 1996 through September 17 , 2023 (labeled “Backtested” in the chart above) ; and actual performance from September 18 , 2023 through June 30 , 2025 (labeled “Actual” in the chart above) . The “Domestic 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the MSCI ACWI Net Total Return Index and the Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD (a global investment - grade bond index) . Each notional portfolio is calculated on an excess return basis, i . e . , net of a notional financing cost deduction equal to the return of the J . P . Morgan Cash Index USD 3 Month, which tracks the return of a notional 3 - month U . S . dollar time deposit . Weights within these notional portfolios are intended to approximate the average weights within the Index, but will not correspond to historical or future weights within the Index . The notional portfolios track assets that ditfer from those tracked by the Index and are not rebalanced on the same schedule as the Index . All performance data for the Domestic 30 / 70 Portfolio (ER) and the Global 30 / 70 Portfolio (ER) is hypothetical and there is no guarantee that the Index will outperform either one, or any other benchmark or index, in the future . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . Please see the Disclaimer on the following page . PERFORMANCE UPDATE The S&P® Global 100 PR 5 % Daily Risk Control 0 . 5 % Deduction Index (the “Index”) is designed to provide exposure to the S&P® Global 100 Index, while targeting an annualized volatility of 5 % , subject to the deduction, on a daily basis, of the notional financing cost and a daily deduction of 0 . 50 % per year . The notional financing cost for the Index is calculated by reference to the Etfective Federal Funds Rate . The Index’s exposure is dynamically rebalanced based on observed S&P® Global 100 volatility . The S&P® Global 100 Index is designed to measure the performance of 100 large - capitalization multinational companies whose businesses are global in nature and that derive a substantial portion of their operating income from multiple countries . The Index is calculated on an excess return basis. The Index was established on September 18, 2023. Levels are published on Bloomberg using the ticker SPGLR5TE. Hypothetical and actual historical performance: Jun 2015 through Jun 2025 50 70 90 110 130 150 170 190 Jun - 15 Jun - 17 Jun - 19 Jun - 21 Jun - 23 Jun - 25 S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Backtested 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 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.37 4.37% 1.61% 2.04% 2.45% - 1.65% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.47 6.37% 3.02% 1.51% 2.86% 2.81% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.25 6.19% 1.55% 0.35% 2.32% 4.96% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Jun 2015 through Jun 2025 50% 100% Jun - 22 Jun - 23 Jun - 24 Jun - 25 Exposure Level 0% Jun - 15 Jun - 16 Jun - 17 Jun - 18 Jun - 19 Jun - 20 Jun - 21 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 0.25% 1.33% 0.14% - 0.42% - 0.02% 0.04% 0.86% - 1.10% 0.13% 0.06% 1.86% - 0.59% - 1.97% 2016 7.46% 0.47% 0.53% 1.38% 0.80% 0.03% 0.84% - 0.25% 0.95% 0.49% 0.59% 1.07% 0.34% 2017 - 4.21% - 2.32% 0.06% - 2.95% 0.25% 0.39% 1.79% - 0.11% - 0.06% 0.14% - 1.13% - 2.51% 2.29% 2018 7.24% 1.62% 0.86% 0.91% 0.94% - 1.39% 0.08% 2.46% - 2.78% 1.32% 0.76% 0.82% 1.51% 2019 2.33% 1.08% 2.18% - 0.78% - 1.25% 1.62% 0.93% 0.72% 0.57% 1.06% - 0.85% - 2.94% 0.08% 2020 5.44% 1.30% - 0.28% 1.70% - 1.37% 0.66% 0.58% 0.58% 0.14% 1.16% 0.69% 0.29% - 0.10% 2021 - 6.35% - 1.31% 1.33% 1.54% - 2.31% - 1.43% 1.91% - 2.22% - 0.16% - 2.27% 0.24% - 0.84% - 0.89% 2022 4.61% 0.88% 2.30% - 0.70% - 1.54% - 0.69% 0.54% 1.34% - 0.22% 0.86% 1.37% - 0.92% 1.36% 2023 4.39% 0.08% 0.83% - 0.75% 0.04% - 0.37% - 0.32% 1.32% 1.79% - 1.02% 0.95% 1.32% 0.47% 2024 - 1.17% 1.41% 1.43% - 1.93% - 2.01% - 0.31% 0.30% 2025

 

 

JULY 2025 | S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Selected Risks  The level of the Index reflects a 0.50% per annum index deduction and the deduction of a notional financing cost, both of which are deducted daily.  JPMorgan Chase & Co. is currently one of the companies that make up the underlying index.  The Index may not be successful and may not outperform or underperform the underlying index.  The Index may not approximate its target volatility 5%.  The daily adjustment of the exposure of the Index to the underlying index may cause the Index not to reflect fully any appreciation of the underlying index or to magnify any depreciation of the underlying index.  The Index may be significantly uninvested, which will result in a portion of the Index reflecting no return. 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 . 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 CDs 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 S&P Global 100 PR 5% Daily Risk Control Index (SPGLR5TE)?

It seeks to track the S&P Global 100 while maintaining a 5% annualised volatility through daily rebalancing and deducting a 0.50% yearly fee plus financing cost.

How has the index performed over the last ten years?

Hypothetical plus actual data show a 1.61% annualised return with 4.37% volatility, producing a Sharpe ratio of 0.37.

Why are returns lower than comparable 30/70 portfolios?

The mandatory 0.50% fee, notional financing cost and frequent cash allocations reduce equity exposure and drag on performance.

What was the most recent one-year return?

The index yielded a −1.65% return for the 12 months ending June 2025.

Where are daily index levels published?

Levels are available on Bloomberg under ticker SPGLR5TE.

What are the main risks highlighted in the filing?

Key risks include performance drag from daily deductions, failure to achieve target volatility, potential under-performance vs. the underlying index, and periods of being significantly uninvested.