Inverse VIX S/T Futs ETNs due Mar22,2045 SEC Filings

JPMorgan Chase Financial Company LLC is marketing Auto-Callable Contingent Interest Notes linked to the MerQube US Tech+ Vol Advantage Index, maturing 18 July 2030 and fully guaranteed by JPMorgan Chase & Co.

Income profile: investors receive a monthly contingent coupon of at least 1.05833% (≥12.70% p.a.) only when the Index closes on a Review Date at or above the Interest Barrier = 75% of the initial level. Missed coupons are not recaptured.

Automatic call feature: from the 12th Review Date (15 Jul 2026) onward, if the Index is ≥95% of the initial level, the note is redeemed early at par plus the current coupon.

Principal repayment: at maturity, investors are protected only down to the Buffer Threshold = 85% of the initial level. A fall below that level reduces principal dollar-for-dollar beyond a 15% buffer, exposing holders to up to an 85% loss.

Reference index drag: the Index embeds a 6.0% p.a. daily deduction and a SOFR+0.50% notional financing cost on the QQQ exposure. These charges, combined with potential 5× leverage, can materially erode index performance and coupon-paying conditions.

Pricing economics: preliminary estimated value is $906.70 per $1,000, 9.3% below issue price; final estimate will not be lower than $900. Selling commissions may reach $41.50 per note.

Key risks: credit risk of JPMorgan entities, coupon non-payment risk, significant downside risk, lack of secondary-market liquidity, conflicts of interest (JPMorgan owns 10% of the Index Sponsor) and tax uncertainty. The notes are not FDIC-insured.

JPMorgan Chase Financial Company LLC is offering Structured Investments titled Capped Dual Directional Buffered Equity Notes due 20-Aug-2026, fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are linked to the lesser performing of the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX). Investors receive:

• Upside participation: unleveraged return equal to any positive performance of the weaker Index, capped at a Minimum Maximum Upside Return of 19.50 % (≥ $1,195 per $1,000 note).
• Dual-directional feature: if the weaker Index is flat or down by ≤ 10 %, investors earn the absolute percentage move, effectively turning mild losses into gains, but total return is capped at 10 % in this scenario.
• Buffer: first 10 % of downside in either Index is absorbed. Below the buffer, investors lose 1 % of principal for every 1 % additional decline, exposing them to up to 90 % principal loss.

Key terms include $1,000 minimum denomination, pricing on/around 15-Jul-2025, settlement on/around 18-Jul-2025, valuation on 17-Aug-2026, and maturity on 20-Aug-2026. If priced today, the notes’ estimated value is $987.20, at least $900 at pricing, versus a $1,000 issue price, reflecting embedded selling commissions (≤ $7.25/​$1,000) and hedging costs.

Risk highlights:

• No periodic coupons or dividends; performance entirely determined at maturity.
• Capped upside (≥ 19.5 %) limits participation in strong equity rallies.
• Unsecured, unsubordinated obligations subject to the credit risk of both JPMorgan Financial and JPMorgan Chase & Co.
• Notes will not be exchange-listed; secondary liquidity depends solely on JPMS and is expected to be at prices below issue price.
• Complex valuation — internal funding rate and hedging assumptions mean secondary values may deviate from published JPMS marks.

The supplement provides extensive hypothetical payout tables illustrating returns from +80 % to –100 % on the weaker Index and details multiple risk factors including conflicts of interest, valuation uncertainties and potential tax treatment (open-transaction approach under current law).

JPMorgan Chase Financial Company LLC, fully guaranteed by JPMorgan Chase & Co., has filed a Rule 424(b)(2) pricing supplement for $1.443 million of Capped Dual Directional Buffered Equity Notes linked to the S&P 500 Index (SPX). The unsecured notes price on 8 July 2025, settle on or about 11 July 2025 and mature on 13 January 2028 (CUSIP 48136FJQ6; minimum denomination $1,000).

Key economic terms

• Maximum Upside Return: 26.00% (cap $1,260 per $1,000 note).
• Downside Participation: 50% of the absolute decline when the S&P 500 closes between 0% and -20% versus the Initial Value, yielding up to a 10.00% positive return.
• Buffer Amount: 20%; losses begin only if the index falls more than 20% from the Initial Value (6,225.52).
• Maximum loss: -80% of principal if the index drops 100%.
• No periodic coupons or dividends; return realised only at maturity.
• Estimated value at pricing: $986.20 per $1,000 note, $13.80 below issue price, reflecting selling commissions ($7 per note) and hedging/structuring costs.

Payout mechanics

• If SPX rises, investor receives principal plus index gain up to 26%.
• If SPX is flat or down ≤20%, investor receives principal plus 50% of the absolute move (max +10%).
• If SPX is down >20%, investor loses 1% of principal for every 1% decline beyond the buffer.

Principal risks highlighted

• Principal at risk: up to 80% loss possible.
• Limited upside: positive returns capped at 26% or 10% (if index negative).
• Credit risk: payments depend on JPMorgan Chase Financial and JPMorgan Chase & Co.
• Liquidity risk: no exchange listing; secondary market solely through JPMS, likely at a discount.
• Valuation risk: estimated value below issue price; internal funding rate may differ from market rates.
• No income: investors forgo interest and S&P 500 dividends.

The product suits investors with a neutral-to-moderate view on the S&P 500 through early 2028 who can tolerate significant downside and illiquidity in exchange for defined, but capped, payoff structures.

JPMorgan Chase Financial Company LLC is offering $788,000 of Auto Callable Accelerated Barrier Notes maturing 13 July 2028 and fully guaranteed by JPMorgan Chase & Co. The notes reference three U.S. equity benchmarks — the Dow Jones Industrial Average, Nasdaq-100 and Russell 2000 — with payments tied to the least-performing index (no basket averaging).

• Pricing Date: 8 Jul 2025 | Settlement: 11 Jul 2025 | CUSIP: 48136FFN7
• Automatic Call: triggered if each index closes ≥100 % of its initial level on the Review Date (14 Jul 2026). Investors then receive $1,000 + a $157.50 premium (15.75 %) and the deal terminates early.
• Upside at Maturity: if no call and every index ends above its start level on 10 Jul 2028, payoff equals principal plus 1.5× the least-performing index’s gain.
• Barrier Protection: 70 % of initial level for each index. If any index finishes below its barrier, investors are fully exposed to downside in that index and can lose all principal.
• Issue Price: $1,000; estimated value: $944.90 (reflecting $29.50 selling commission and hedging costs).
• Credit: senior unsecured claim on JPMorgan Financial; fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key Investor Considerations

• No periodic coupons or dividends; limited liquidity as notes are not exchange-listed.
• Early call caps total return at 15.75 % despite potentially higher underlying index performance.
• Principal is at risk below the 70 % barrier and subject to JPMorgan’s credit.
• Secondary market value expected to trade below issue price; estimated value already 5.5 % lower than offer price.

Product overview: JPMorgan Chase Financial Company LLC is offering $10,000-minimum denomination Auto Callable Contingent Interest Notes linked to Meta Platforms, Inc. Class A common stock (META). The notes are senior, unsecured obligations of the issuer and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key economics:

• Strike price: $732.78 (META close on 9-Jul-2025).
• Interest/trigger barrier: 85 % of strike, or $622.863.
• Contingent coupon: at least $39.75 per $1,000 face (≈ 3.975 % quarterly, 15.9 % p.a. simple) payable only if META closes ≥ barrier on the relevant review date; unpaid coupons accrue and are paid once the barrier is met.
• Automatic call: If META closes ≥ strike on any quarterly review date before maturity (earliest 22-Oct-2025), investors receive par + current and any accrued coupons; the note terminates early.
• Trigger event: If at final valuation META closes < barrier, principal is eroded at a downside leverage factor of 1.17647 beyond the 15 % buffer: redemption = $1,000 + [$1,000 × (stock return + 15 %) × 1.17647]. Maximum loss is 100 %.
• Tenor: 15-Jul-2025 issue, 27-Jul-2026 maturity (≈ 12.5 months).
• Estimated value: ~ $982.10 per $1,000 (will be ≥ $970 at pricing), implying ~1.8 % structuring/commission load; selling concession capped at $10 per note.

Risk highlights: investors face (i) equity risk in a single, highly volatile tech stock, (ii) loss of principal if META falls >15 % at maturity and is not called, (iii) no coupon if barrier not met, (iv) issuer/guarantor credit risk, (v) limited secondary liquidity and potential bid-offer degradation, and (vi) upside capped at cumulative coupons (maximum $159 over life).

Use-case: The instrument suits investors with a moderately bullish to range-bound view on META through mid-2026 who seek elevated conditional income and accept callable uncertainty, equity-driven downside, and non-FDIC senior credit exposure to JPMorgan.

Product overview: JPMorgan Chase Financial Company LLC is offering $10,000-minimum denomination Auto Callable Contingent Interest Notes linked to Meta Platforms, Inc. Class A common stock (META). The notes are senior, unsecured obligations of the issuer and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key economics:

• Strike price: $732.78 (META close on 9-Jul-2025).
• Interest/trigger barrier: 85 % of strike, or $622.863.
• Contingent coupon: at least $39.75 per $1,000 face (≈ 3.975 % quarterly, 15.9 % p.a. simple) payable only if META closes ≥ barrier on the relevant review date; unpaid coupons accrue and are paid once the barrier is met.
• Automatic call: If META closes ≥ strike on any quarterly review date before maturity (earliest 22-Oct-2025), investors receive par + current and any accrued coupons; the note terminates early.
• Trigger event: If at final valuation META closes < barrier, principal is eroded at a downside leverage factor of 1.17647 beyond the 15 % buffer: redemption = $1,000 + [$1,000 × (stock return + 15 %) × 1.17647]. Maximum loss is 100 %.
• Tenor: 15-Jul-2025 issue, 27-Jul-2026 maturity (≈ 12.5 months).
• Estimated value: ~ $982.10 per $1,000 (will be ≥ $970 at pricing), implying ~1.8 % structuring/commission load; selling concession capped at $10 per note.

Risk highlights: investors face (i) equity risk in a single, highly volatile tech stock, (ii) loss of principal if META falls >15 % at maturity and is not called, (iii) no coupon if barrier not met, (iv) issuer/guarantor credit risk, (v) limited secondary liquidity and potential bid-offer degradation, and (vi) upside capped at cumulative coupons (maximum $159 over life).

Use-case: The instrument suits investors with a moderately bullish to range-bound view on META through mid-2026 who seek elevated conditional income and accept callable uncertainty, equity-driven downside, and non-FDIC senior credit exposure to JPMorgan.

JPMorgan Chase Financial Company LLC is offering $500,000 aggregate principal amount of Capped Dual Directional Contingent Buffered Equity Notes linked to the American Depositary Shares of Baidu, Inc. (BIDU UW). The notes settle on or about 11-Jul-2025 and mature on 12-Jul-2027.

• Pay-off profile: Investors receive the positive Stock Return on Baidu ADSs, capped at 38 %. If Baidu declines, holders receive the absolute value of the negative return—up to the 35 % Contingent Buffer.
• Principal risk: A fall of more than 35 % from the $89.79 strike wipes out the buffer; principal is reduced 1 % for each additional 1 % drop, potentially to zero.
• Credit exposure: The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial and are fully and unconditionally guaranteed by JPMorgan Chase & Co.; payments depend on their creditworthiness.
• Economics: Issue price = $1,000; selling commission = $15 (1.5 %); net proceeds = $985. Estimated value at pricing was $970.50, implying an initial mark-up of ~3 % over fair value.
• Liquidity: No exchange listing. JPMS may provide secondary markets but is not obliged to do so; bid prices likely below issue price and estimated value.
• Risk highlights: capped upside, potential full loss of capital, single-stock concentration, emerging-market and currency risks related to Baidu, and model-driven estimated value that differs from secondary prices.

Minimum denomination is $10,000 (and $1,000 multiples). Strike date: 7-Jul-2025; pricing date: 8-Jul-2025. The Final Stock Price is the average of five dates from 30-Jun-2027 to 7-Jul-2027. Investors forgo dividends and do not receive interest.

Suitability: The notes target investors comfortable with Baidu’s volatility and JPMorgan credit risk, who seek limited upside participation plus downside buffering, and are willing to hold to maturity.

UBS AG is offering Phoenix Autocallable Notes with Memory Interest linked to Micron Technology, Inc. (MU) common stock, maturing on or about 29 July 2026. The $1,000-denominated notes pay a fixed contingent coupon of at least $35.075 per quarter (≥ 14.03% p.a. simple) on any observation date when MU’s closing price is at or above the Interest Barrier, set at 55 % of the Initial Price. Missed coupons accrue and may be paid later under the “memory” feature.
• Automatic call: If MU closes at or above the Initial Price on any quarterly Autocall Observation Date, investors receive par plus the current and any accrued coupons; thereafter the note terminates.
• Principal at risk: If not called and MU closes ≥ Trigger Price (55 % of Initial Price) on the Valuation Date, principal is repaid. Otherwise, investors receive a Cash Equivalent that declines one-for-one with MU’s drop from the Initial Price, exposing holders to up to 100 % loss.
• Key dates: Trade 11 Jul 2025 (T+3 settlement 16 Jul 2025); quarterly observation dates 24 Oct 2025, 26 Jan 2026, 24 Apr 2026 and 24 Jul 2026 (valuation). Maturity 29 Jul 2026.
• Estimated initial value: $951.50–$981.50 per $1,000, reflecting dealer fees ($10) and hedging/issuance costs.
• Credit & liquidity: Notes are senior unsecured obligations of UBS AG (London Branch), unlisted, with limited or no secondary market making and subject to UBS credit risk, Swiss resolution authority powers, and potential FINMA bail-in.
• Minimum investment: 10 notes ($10,000). Placement led by J.P. Morgan Securities LLC; fiduciary accounts may pay $990 per note.

Overview: Bank of Montreal (BMO) is offering $1,000-denominated Market Linked Securities that are auto-callable, carry a contingent coupon with a “memory” feature, and expose principal to contingent downside risk. The notes are linked to the lower performer of ServiceNow, Inc. (NOW) and NVIDIA Corporation (NVDA) common stock and mature on 20 July 2028.

Key economic terms

• Contingent coupon: ≥17.70% p.a., paid quarterly when the lowest-performing underlier closes ≥70 % of its starting value; missed coupons accrue and may be paid later if the test is subsequently met.
• Auto-call feature: If, on any quarterly calculation day from Jan-2026 through Apr-2028, the lowest performer is ≥100 % of its starting value, the note is called and investors receive par plus the scheduled coupon three business days later.
• Downside protection: Only applies down to 70 % of the starting value. If, at final valuation, the lowest performer is <70 %, repayment = $1,000 × performance factor, resulting in principal loss of more than 30 % and up to 100 %.
• Estimated initial value: $965.30 (≈3.5 % below offer price); final estimate will not be below $915.00.
• Fees: Up to 2.325 % selling concession to Wells Fargo Securities (with additional dealer fees up to 0.30 %).

Risk highlights

• No fixed interest—investors may receive zero coupons for the entire 3-year-plus term.
• Full downside exposure below the 70 % threshold and no upside participation in either stock’s appreciation.
• Notes are unsecured obligations of BMO; repayment depends on the issuer’s creditworthiness.
• Not exchange-listed; secondary liquidity is uncertain and pricing may materially diverge from intrinsic value.
• Estimated value below par and embedded fees reduce investor value at issuance.

Investor profile: Suited only for investors who (i) are comfortable with equity risk in NOW and NVDA, (ii) seek elevated income, (iii) can tolerate potential loss of principal, and (iv) do not require liquidity before maturity.