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

Rhea-AI Filing Summary

JPMorgan has filed a Rule 424(b)(3) index supplement updating investors on the MerQube US Large-Cap Vol Advantage Index, the reference underlying for certain structured notes/ETNs. The filing combines back-tested data (Jan 2005–10 Feb 2022) with actual live performance from 11 Feb 2022 through 30 Jun 2025. During the live period the index delivered 30.15% in 2022, 25.01% in 2023 and -6.00% YTD 2024. Monthly figures highlight the strategy’s high volatility, with single-month moves ranging from +18.61% (Mar 2022) to –19.13% (Feb 2019).
The index applies a 6.0% p.a. daily deduction, targets a defined volatility level and can employ significant leverage; it is therefore classified as an “excess-return” index, meaning cash yields are not included. JPMorgan Securities LLC co-developed the index with MerQube and benefits from an exclusive license. Investors should note that the index has a limited live track record (est. 11 Feb 2022); back-tested results were produced retroactively by MerQube and have not been independently verified.

Key risk disclosures

• 6% annual fee drag directly reduces index level.
• Use of leverage and futures contracts amplifies volatility and may cause the index to deviate from its volatility target.
• Concentration, roll-yield, liquidity and non-U.S. securities exposure can all negatively affect returns.
• The index may become materially uninvested, limiting upside in rapidly rising markets.
• JPMorgan’s dual role as licensee and note distributor creates potential conflicts of interest; neither JPM nor MerQube owes fiduciary duties to note holders.

Overall, the document is primarily a risk and performance disclosure rather than an earnings or transaction announcement. It equips prospective investors with historical context and a detailed enumeration of structural risks before purchasing notes linked to the index.

Positive

• None.

Negative

• 6% per-annum daily deduction permanently drags on performance and lowers long-term return potential.
• Significant leverage within the index amplifies drawdowns and increases tail-risk exposure.
• Limited live history (since Feb 2022) means investors rely heavily on unverified back-tests.
• Conflict of interest: JPMorgan co-designed the index while also distributing notes, yet owes no fiduciary duty to investors.

Insights

Financial Analyst

TL;DR – Neutral update; provides performance data and reiterates significant fee and leverage drag.

The supplement refreshes live returns through June 2025 and reminds investors of the index’s 6% annual deduction and leverage-driven volatility. While the live record shows impressive gains in 2022–23, the sharp drawdowns in parts of 2024 and historical back-tests illustrate unstable risk-adjusted performance. No structural changes, fee revisions, or product amendments are announced, so market impact is limited. For equity-linked ETN holders the filing is informational, not a catalyst.

Risk Analyst

TL;DR – Document underscores high structural risk; impact to valuation minimal.

The disclosure reiterates numerous material risk factors: high effective expense (6% p.a.), leverage, limited three-year operating history, and potential mismatch between target and realised volatility. Back-tested performance remains unverifiable and subject to hindsight bias. Investors gain no new protection; therefore, risk profile of the ETNs remains unchanged. From a credit or market-pricing standpoint, I classify this as non-impactful, albeit a necessary compliance communication.

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) JULY 2025 MerQube US Large - Cap Vol Advantage Index Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 3.87% - 1.54% 8.83% - 7.64% - 0.10% - 4.87% 10.82% - 1.73% 4.81% - 7.97% - 6.33% 4.80% - 0.87% 2005 17.59% 1.62% 4.35% 9.12% 5.65% 4.04% - 1.92% - 2.28% - 10.70% 2.11% 1.61% - 1.34% 5.53% 2006 - 15.44% - 3.15% - 8.45% 0.96% 4.20% 0.34% - 8.67% - 8.13% 8.36% 11.67% - 3.24% - 10.44% 2.68% 2007 - 51.25% - 0.33% - 6.19% - 15.73% - 10.15% 1.10% - 2.31% - 15.94% - 0.90% 5.53% - 3.06% - 6.39% - 12.63% 2008 23.53% 2.46% 7.95% - 5.29% 4.61% 4.55% 9.52% - 0.40% 5.36% 7.69% 4.66% - 9.00% - 8.54% 2009 13.50% 12.71% - 2.79% 6.73% 14.27% - 8.22% 7.78% - 9.18% - 14.64% 1.82% 13.14% 3.29% - 6.91% 2010 - 6.88% 1.18% - 1.35% 9.69% - 9.10% - 8.14% - 6.49% - 5.78% - 4.27% 8.91% - 1.32% 6.97% 5.04% 2011 19.10% 0.46% 0.34% - 5.66% 5.08% 4.44% 2.54% 6.20% - 13.37% - 2.89% 6.97% 8.33% 7.49% 2012 72.35% 3.67% 8.37% 9.89% 6.62% - 9.92% 11.82% - 4.26% 7.23% 2.28% 8.48% 3.85% 9.89% 2013 5.06% - 8.80% 7.42% 0.00% - 6.66% 9.35% - 5.69% 5.62% 7.08% - 0.50% - 0.01% 10.54% - 10.43% 2014 - 24.07% - 6.60% - 3.38% 17.28% - 4.40% - 17.29% - 0.09% - 4.65% 3.29% - 0.41% - 8.39% 10.90% - 8.86% 2015 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 Please refer to the “Selected Risks” and “Disclaimer” on the following page . Historical performance measures for the MerQube US Large - Cap Vol Advantage Index (the “Index”) represent hypothetical backtested performance from January 7 , 2005 through February 10 , 2022 and the actual performance of the Index from February 11 , 2022 through June 30 , 2025 . Please see “Use of hypothetical backtested returns” at the end of this presentation for further information related to backtesting including a discussion of certain limitation of backtesting and simulated returns . 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 . 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 prospectus supplement and 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 .

 

 

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 the deduction of 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 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 February 11, 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.  An investment linked to the Index will be subject to risks associated with non - U.S. securities.  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 of the Constituent. 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 Important Information 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 . All information herein is subject to change without notice, however, J . P . Morgan undertakes no duty to update this information . In the event of any inconsistency between the information presented herein and any otfering document, the otfering document shall govern . 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 . Investment suitability must be determined individually for each investor, and investments 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 .

 

FAQ

What is the live performance of the MerQube US Large-Cap Vol Advantage Index through June 30 2025?

Actual returns were 30.15% in 2022, 25.01% in 2023, and -6.00% year-to-date 2024.

Why does the index deduct 6% per annum?

A 6.0% p.a. daily deduction is embedded to cover financing and operational costs, directly reducing the index level each day.

How long has the index been live?

The index was launched on February 11 2022; all performance prior to that date is hypothetical back-test data.

Does the index include cash interest like a total-return index?

No. It is an “excess-return” index, so it excludes interest that could be earned on notional cash.

What are key risks highlighted by JPMorgan for VYLD-linked notes?

Leverage, volatility targeting, concentration, roll yield risk, potential uninvested periods, and conflicts of interest are all called out.