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

JPMorgan Chase Financial Company LLC is marketing Auto-Callable Contingent Interest Notes due 2 July 2030 that are unsecured, unsubordinated obligations of the issuer and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

The notes are linked to the MerQube US Large-Cap Vol Advantage Index (MQUSLVA), whose performance is reduced by a 6.0% p.a. daily deduction. Investors receive a contingent semi-annual coupon of at least 8.25% (16.50% p.a.) for any Review Date on which the Index closes at or above the Interest Barrier of 70% of the Initial Value. If on any Review Date other than the first or final the Index closes at or above the Call Value of 90%, the notes are redeemed early at par plus the applicable coupon. The first potential call date is 29 June 2026.

If the notes are not called, principal is protected only down to the Trigger Value of 50%. Should the Index close below that level on the final Review Date, investors will be exposed 1-for-1 to the Index decline, leading to a loss of more than 50% and potentially all of the principal.

Key economic terms (per $1,000 face): estimated value ≈ $937 at current market levels (not less than $900 at pricing); selling commission ≤ $5; minimum denomination $1,000; CUSIP 48136FAB8. The notes price on or about 27 June 2025 and settle 2 July 2025.

Primary risks highlighted include credit exposure to JPMorgan entities, the drag from the 6% daily deduction, potential absence of coupon payments, leverage mechanisms within the Index (0–500% futures exposure) and the possibility of significant principal loss. The notes are not bank deposits and are not FDIC-insured.

JPMorgan Chase Financial Company has filed a Free Writing Prospectus for 17.5m WTI Enhanced Trigger Jump Securities due December 21, 2026. These securities track WTI crude oil futures contracts with unique payoff characteristics:

Key features include:

• Principal amount: $1,000 per security
• Upside payment: Minimum 15.90% if final contract price ≥ 75% of initial price
• Downside risk: One-for-one losses if price falls below 75% trigger level
• No interest payments

Notable risks include potential loss of principal, limited appreciation potential, credit risk of JPMorgan, and exposure to volatile WTI crude oil futures markets. The estimated value will be lower than the issue price of $1,000 but not less than $920.00. Securities are backed by JPMorgan Chase & Co as guarantor.

JPMorgan Chase Financial Company filed a Rule 424(b)(2) prospectus supplement for Enhanced Trigger Jump Securities linked to the first-nearby WTI crude oil futures contract, fully and unconditionally guaranteed by JPMorgan Chase & Co.

Each $1,000 security delivers a fixed upside payment of at least $159 (15.90%) provided the final contract price on the December 16 2026 valuation date is at least 75 % of the initial price (the “trigger level”). If the final price is below that threshold, investors receive $1,000 × (final / initial), incurring a dollar-for-dollar loss that can wipe out the entire principal. The notes pay no coupons and offer no principal protection.

The securities mature on December 21 2026 (≈17.5 months) and will not be listed, restricting secondary-market liquidity. Gross proceeds are $1,000 per note; up to $25 (2.5 %) is allocated to selling commissions and structuring fees, leaving net proceeds of $975. JPMorgan estimates the fair value at approximately $941.90, highlighting embedded costs.

All payments depend on the creditworthiness of the issuer and guarantor. Additional risk factors cite potential early acceleration upon commodity-hedging disruption events and exposure to oil-market volatility.

JPMorgan Chase Financial Company LLC is offering $360,000 principal amount of Callable Contingent Interest Notes linked to Tesla, Inc. (TSLA), maturing June 29, 2028 and fully, unconditionally guaranteed by JPMorgan Chase & Co. The notes pay a contingent monthly coupon of 1.5625% (18.75% p.a.) only if TSLA’s closing price on the applicable Review Date is at least 50% of the Initial Value ($340.47), the so-called Interest Barrier/Trigger Value = $170.235. Investors forgo fixed coupons and any participation in TSLA appreciation.

Early redemption (issuer call): JPMorgan may redeem the notes in whole on any of eight quarterly Optional Call Payment Dates beginning June 29, 2026 at par plus the contingent coupon, terminating further payments.

Principal at maturity: • If not called and TSLA ≥ Trigger on the final Review Date, investors receive par plus the final coupon.
• If TSLA < Trigger, repayment equals $1,000 + ($1,000 × Stock Return), exposing holders to full downside below the 50% Trigger—up to 100% loss of principal.

Key economics:

• Issue price: $1,000; estimated value: $966.70 (reflects selling commissions and hedge costs).
• Fees: $5 per $1,000 (0.5%) paid to dealers.
• Minimum denomination: $1,000; CUSIP 48136E3T0.

Risk highlights: unsecured unsubordinated obligations; credit risk of JPMorgan Chase; no guaranteed interest; significant principal risk below 50% barrier; liquidity limited to dealer bid; potential conflicts from issuer hedging; estimated value below issue price.

Offering overview: JPMorgan Chase Financial Company LLC is marketing unsecured, unsubordinated Review Notes linked to the MerQube US Large-Cap Vol Advantage Index (Bloomberg: MQUSLVA). The preliminary pricing supplement indicates an expected pricing date of June 27 2025 and settlement on July 2 2025, with maturity on July 2 2030 unless the notes are automatically called earlier. Minimum investment is $1,000 (CUSIP 48136ED44).

Return mechanics: The notes provide no coupon but feature 17 potential quarterly “Review Dates.” If on any Review Date the Index closes at or above its corresponding Call Value (initially set at a maximum of 100% of the Initial Value, dropping to 60% only on the final Review Date), the note is automatically called for $1,000 principal plus the applicable Call Premium Amount. Minimum call premiums escalate from 21% on the first Review Date to 105% on the final Review Date, translating into simple annualized yields of roughly 21% to 18% depending on call timing.

Downside exposure: If the notes are not called, investors are exposed to the full negative Index return once the Index has fallen below the 60% Barrier Amount. At maturity, payment is $1,000 plus $1,000 × Index Return. A decline greater than 40% therefore produces a loss of principal, up to 100% in a worst-case scenario.

Index specifics: MQUSLVA is a rules-based, leveraged (0-500%) strategy that rolls E-mini S&P 500 futures and targets 35% implied volatility using the SPY ETF as a proxy. Crucially, the index level reflects a 6.0% per-annum daily deduction, which systematically drags on performance relative to an identical index without the fee. The deduction, combined with variable leverage, influences the economic terms, enabling higher call premiums and lower Call Values, but simultaneously reduces the underlying’s growth potential.

Valuation & distribution: If priced on June 25 2025 the estimated value would have been approximately $928.40 per $1,000 note (≈92.8% of face). Final estimated value will not be below $900. Selling commissions payable to dealers are capped at $9 per $1,000. JPMS acts as agent; the notes are fully and unconditionally guaranteed by JPMorgan Chase & Co., exposing holders to the issuer’s and guarantor’s credit.

Key risks highlighted: (1) potential loss of principal below the 60% barrier; (2) structurally negative impact of the 6% daily deduction; (3) significant leverage and possible under-investment of the Index; (4) lack of coupon or dividends; (5) limited liquidity and secondary-market price dislocations relative to theoretical value; and (6) complex payoff structure not suitable for all investors.

Investor profile: Suitable only for sophisticated investors comfortable with equity-linked derivatives, high structural complexity, and issuer credit risk, who seek an outsized, time-capped premium in exchange for downside exposure beyond a 40% threshold.

JPMorgan Chase Financial Company LLC is offering Auto Callable Contingent Interest Notes linked to the MerQube US Large-Cap Vol Advantage Index (MQUSLVA), fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are expected to price on or about June 27, 2025, settle on July 2, 2025 and mature on July 2, 2030, unless automatically called earlier.

Key economic terms

• Contingent Interest Rate: at least 10.15% per annum, paid semi-annually (≥ 5.075% each payment period) if conditions are met.
• Interest Barrier / Buffer Threshold: 70% of the Initial Value (30% downside buffer).
• Call Value: 90% of the Initial Value; the earliest call date is June 29, 2026. If called, investors receive par plus the current and any previously unpaid interest.
• Automatic Call Monitoring: on each semi-annual Review Date except the first and final dates.
• Payment at Maturity: • If Final Value ≥ Buffer Threshold, return of principal plus final and unpaid interest. • If Final Value < Buffer Threshold, principal is reduced 1-for-1 beyond the 30% buffer, exposing investors to up to 70% loss.
• Minimum denomination: $1,000. CUSIP: 48136FAC6.
• Estimated value if priced today: $941.30 per $1,000 note (final estimate not lower than $920.00), reflecting up-front costs and internal funding rate.

Index characteristics & structural drag

• The Index applies a 6.0% per-annum daily deduction, which will dampen positive performance and magnify negative performance relative to a non-deducted index.
• Exposure to E-mini S&P 500 futures is dynamically adjusted weekly to maintain a 35% implied volatility target, ranging from 0% to 500% (leveraged) and may be significantly uninvested during high-volatility periods.
• Index established February 11, 2022; historical data prior to that date are hypothetical back-tests.

Risk highlights

• Principal risk: up to 70% loss if the Index falls below the 70% Buffer Threshold at maturity and the notes were not called.
• Interest is contingent: no payments are made for any Review Date when the Index closes below the Interest Barrier; missed coupons can only be recuperated if a later Review Date is above the Barrier.
• No participation in Index gains: upside is capped at the sum of contingent coupons.
• Credit exposure: payments rely on JPMorgan Chase Financial Company LLC (issuer) and JPMorgan Chase & Co. (guarantor).
• Liquidity: the notes will not be listed; resale depends on bid availability from JPMS and is expected to be below issue price.
• Conflicts of interest: JPMS helped design the Index and an affiliate owns 10% of the Index Sponsor.

Cost structure

• Selling commissions up to $5 per $1,000 note.
• Original issue price includes structuring and hedging costs; estimated value is materially below the $1,000 offering price.

These notes appeal to investors comfortable with the credit of JPMorgan, willing to accept conditional interest and significant downside risk in exchange for a double-digit coupon and a 30% principal buffer.

JPMorgan Chase Financial Company LLC is offering $80,000 aggregate principal of Auto Callable Contingent Interest Notes maturing 5 July 2030 and linked to the MerQube US Small-Cap Vol Advantage Index (MQUSSVA). The notes price at $1,000 per unit, settle on or about 3 July 2025 and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Income profile

• Contingent Interest Rate: 14.25% p.a. (3.5625% quarterly) payable only if, on a given Review Date, the Index closes at or above the Interest Barrier of 60% of the Initial Value (648.37 × 60% = 389.022).
• If the Index is below the Interest Barrier on a Review Date, no coupon is paid for that quarter.

Automatic call feature

• Starting 30 December 2025, if the Index closes at or above its Initial Value on any Review Date (other than the first and final), the notes are automatically called and investors receive $1,000 principal + accrued contingent interest; no further payments are made.

Principal repayment

• If not previously called and the Final Index Value is ≥ Trigger Value (60% of Initial), investors receive principal plus final contingent interest.
• If the Final Index Value is < Trigger Value, repayment equals $1,000 × (Final Value / Initial Value), exposing holders to up to 100% loss of principal.

Economic terms & fees

• Price to public: $1,000; selling commission: $5 (0.50%).
• Issuer proceeds: $995 per note.
• Estimated value at pricing: $929.70 per $1,000, reflecting structuring and hedging costs; secondary market values likely to be lower than issue price.

Reference index characteristics

• Rules-based exposure (0–500%) to E-mini Russell 2000 futures with weekly rebalancing to maintain a 35% volatility target.
• Subject to a steep 6% p.a. daily deduction that drags performance and must be overcome before positive returns accrue.
• Index launched June 2022; therefore exhibits limited live history and relies partly on back-tested data.

Key risks

• Principal at risk: investors may lose more than 40% and up to all of their investment.
• No guaranteed coupons: interest contingent on index level.
• Performance drag: 6% deduction and potential contango in futures can erode returns.
• Leverage & volatility: up to 5× exposure amplifies losses during sharp market moves.
• Credit risk: payment depends on JPMorgan Financial and JPMorgan Chase & Co.
• No listing / limited liquidity: resale depends on dealer bid.

Overall, the notes offer an above-market headline coupon and early-call potential but embed material downside, structural drags and complexity that make them suitable only for investors who understand leveraged volatility-controlled indices and can tolerate full principal loss.

JPMorgan Chase Financial Company LLC is offering $1.25 million of Uncapped Buffered Return Enhanced Notes (UBRENs) maturing 28 June 2029 and linked to the lesser-performing of the EURO STOXX 50® (SX5E) and MSCI EAFE® (MXEA) indices. The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key structural terms

• Upside exposure: investors receive 2.174× any positive return of the weaker index at maturity; the return is uncapped.
• 30 % downside buffer: first 30 % index decline is absorbed; below that, losses accelerate at a 1.42857× rate.
• No interim coupons; payment only at maturity (5-year term).
• Issue price: $1,000 per note; estimated value $977.90 (reflecting selling commissions and hedging costs).
• Fees & commissions: $3.00 (0.30 %) per $1,000; net proceeds $997 per note.
• Credit exposure: repayment depends on JPMorgan Chase Financial and JPMorgan Chase & Co. creditworthiness.
• CUSIP: 48136E3C7; pricing date 24 June 2025; settlement on/around 27 June 2025.

Pay-out scenarios

• Positive: If both indices finish above their initial levels, investors earn 2.174× the lesser index’s gain (e.g., a 10 % gain delivers 21.74 %, or $1,217.40).
• Par: If either index declines ≤ 30 % (or one rises and the other is ≤ 30 % down), principal is repaid.
• Negative: If either index falls > 30 %, investors lose 1.42857 % for each additional 1 % drop; a 60 % decline cuts principal by 42.857 % to $571.43.

Risk highlights

• Principal at risk: losses begin beyond the 30 % buffer and can reach 100 %.
• Lesser-performer dependence: even strong performance in one index cannot offset weakness in the other.
• Secondary-market liquidity: the notes are unlisted; resale depends on J.P. Morgan Securities’ bid and may be at a substantial discount.
• Valuation gap: estimated value is 2.21 % below issue price, implying negative carry at issuance.
• Currency & foreign-market risks: both indices comprise non-U.S. equities; MXEA returns are translated into USD, adding FX exposure.
• Change-in-law acceleration: issuer may redeem early at a discretionary fair value if regulatory changes impede hedging.

Tax treatment – Counsel (Davis Polk) believes the notes should be treated as open transactions; gains held > 1 year generally taxed as long-term capital gain, but IRS guidance could change this stance retroactively.

Investor suitability – Product targets investors with a moderately bullish to neutral view on developed-market equities, tolerance for principal risk beyond a 30 % drawdown, and a willingness to hold to maturity without liquidity needs.

JPMorgan Chase Financial Company LLC is offering $3.353 million of Auto-Callable Contingent Interest Notes linked to the common stock of Uber Technologies, Inc. (UBER). The notes are unsecured senior obligations of the issuer and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key economic terms

• Principal: $1,000 per note; minimum denomination $1,000.
• Pricing date / Settlement date: 24 Jun 2025 / on or about 27 Jun 2025.
• Maturity: 29 Sep 2026 (≈ 15 months).
• Initial Value: $91.65 (UBER close on the pricing date).
• Contingent Interest: 12.50% p.a., paid monthly (≈ 1.04167% per month) if UBER ≥ 65% of Initial Value on a Review Date.
• Interest Barrier & Trigger Value: 65% of Initial Value ($59.5725).
• Automatic Call: If on any Review Date from 24 Dec 2025 through 24 Aug 2026 UBER ≥ Initial Value, investors receive $1,000 + last coupon and the note terminates early.
• Downside Exposure: If not called and Final Value < Trigger, redemption = $1,000 + ($1,000 × Stock Return). Loss of more than 35% of principal is possible, up to 100%.
• Estimated value at pricing: $960.20 (3.98% below issue price) reflecting structuring & hedging costs.
• Fees: Selling commissions of $15 per $1,000; proceeds to issuer $3,302,705.

Risk highlights

• No principal protection; significant loss if UBER falls >35%.
• Coupon is contingent; investors may receive no interest.
• Early call risk: reinvestment uncertainty if notes are called after as little as six months.
• Credit risk of JPMorgan Financial and JPMorgan Chase & Co.
• Limited liquidity; not exchange-listed; secondary prices expected below issue price.

The product offers above-market contingent income and a 35% downside buffer in exchange for equity risk in a single, volatile technology stock and the possibility of zero coupons. It is intended for investors comfortable with credit exposure to JPMorgan and with a tactical, income-oriented view that UBER will not fall sharply during the 15-month term.