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

JPMorgan Chase Financial Company LLC is offering $965,000 aggregate principal of five-year, unlisted Structured “Review Notes” linked to the MerQube US Large-Cap Vol Advantage Index (MQUSLVA). The notes are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key economics

• Issue price: $1,000 per note; trade date 25-Jun-2025; settlement 30-Jun-2025; CUSIP 48136ERA5.
• Automatic call: evaluated on five annual Review Dates (2026-2030). If the Index closes at or above the Call Value (100% of initial level), investors receive par plus a rich, preset Call Premium Amount that steps up from 26% to 130% of par (i.e., $260–$1,300 per note).
• If never called, repayment at maturity (28-Jun-2030) depends on the final index level: • ≥50% of initial level (Barrier) – return of principal only • <50% – linear loss of principal, down to full loss at zero.
• Initial Index level: 3,310.94; Barrier: 1,655.47.
• Estimated value: $900.30 (≈ 90.0% of issue price) reflecting selling commission (~4.1%) and internal funding spread.

Strategic features

• The index employs a 35% target-volatility overlay on rolling E-mini S&P 500 futures, with exposure capped at 500% long and floored at 0%. A 6.0% p.a. daily deduction drags performance versus a comparable non-deduct index.
• Generous call coupons compensate for both the deduction and the embedded issuer/market risk, creating potential IRRs of ~23–26% if called in earlier years, but no participation in excess upside beyond preset premiums.
• Credit risk resides with JPMorgan Financial and JPMorgan Chase & Co.; the notes rank pari passu with other senior unsecured debt.

Principal risks

• Capital is at risk below the 50% barrier; a 60% index drop would translate into a 60% principal loss.
• The 6% daily deduction can erode index levels even in benign markets, increasing the call trigger/ barrier breach probability.
• Notes are not exchange-listed; secondary liquidity relies solely on JPMS and will likely be at a meaningful discount, especially given the estimated value/commission overhang.
• The issuer/affiliates helped design the index and own 10% of the sponsor, creating structural conflicts of interest.
• Early automatic call may occur as soon as year-1, forcing reinvestment at potentially lower rates.

Investor profile: suited only for sophisticated investors comfortable with complex payoff structures, high volatility leverage, credit exposure to JPMorgan, and illiquidity, who also believe the index can stay flat-to-positive on annual observation dates yet unlikely to fall >50% in five years.