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

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.

J.P. Morgan Efficiente® Plus DS 5 Index (Net ER) – July 2025 performance update

The rules-based Index reallocates monthly among 20 liquid U.S.-listed ETFs and a cash component, then scales exposure daily to target 5 % annualized volatility. It is calculated on an excess-return basis, deducting a 0.85 % p.a. index fee plus a notional 3-month cash financing cost.

Long-term risk/return

• 10-year annualized return: 3.02 % with 6.37 % volatility.
• Sharpe ratio: 0.47 versus 0.25 for a domestic 30/70 equity-bond mix.
• 1-year return to 30 Jun 2025: 2.81 %.

Recent positioning (Feb–Jul 2025) shows a defensive tilt: cash has ranged from 30 % to 50 %, U.S. large-cap equities (VOO) around 20 %, and smaller allocations (≤10 %) to gold (IAU), EM bonds (EMB) and investment-grade credit (LQD/VCSH). Exposure limits and a 50 % daily adjustment cap constrain portfolio shifts.

Historical pattern

• Back-tested data run from Jun 2015; live data since 31 Dec 2014.
• Monthly returns reveal moderate drawdowns (e.g., -9.00 % in Dec 2018) and muted upside (best calendar year +8.26 % in 2016).

Key risks: limited operating history, momentum strategy may lag in regime shifts, fee and financing drag, potential conflicts as JPMS plc is both sponsor and calculation agent, and the index may underperform alternative strategies or fail to meet its 5 % volatility target. Past or back-tested performance is not indicative of future results.

The filing supplies updated data for investors in notes or certificates linked to the Index; it does not change terms of existing securities.

J.P. Morgan Kronos+^SM Index – July 2025 Performance Update

The rules-based Kronos+ Index dynamically moves between three exposures to the S&P 500^® Price Index – uninvested (0x), fully invested (1x) or 2x leveraged – using three calendar-driven signals: (1) turn-of-month seasonality, (2) momentum in the week preceding monthly index-option expiration, and (3) mean reversion in the final days of each month. The index level is reduced daily by a 0.95% p.a. fee and, when leveraged, a notional financing charge tied to the Effective Federal Funds Rate. It launched on 22-Dec-2020; all data before that date are hypothetical back-tests.

Risk/return snapshot (Jun-2015 – Jun-2025):

• Annualised return: 19.35% (Kronos+) vs 11.64% (S&P 500)
• Annualised volatility: 26.31% vs 18.48%
• Sharpe ratio: 0.74 vs 0.63

Recent calendar-year results: +100.7% (2020), +42.3% (2021), -37.1% (2022), +32.1% (2023), +10.6% (YTD 2024), -6.4% (YTD Jun-2025). Monthly returns show large swings, underscoring elevated risk.

Key structural risks

• Index is sponsored and calculated by JP Morgan Securities LLC, which can make adjustments affecting levels.
• High fee drag (0.95% p.a.) and financing costs during leveraged periods.
• Strategies only operate during limited parts of each month and can overlap.
• Possibility of uninvested exposure or substitution of the S&P 500 in extraordinary events.
• Limited live history (since Dec-2020); back-tested data may overstate efficacy.

Investors considering structured notes linked to the index should weigh the attractive historical risk-adjusted returns against high volatility, fee drag and numerous strategy-specific execution risks highlighted in the filing.

JPMorgan Chase Financial Company LLC is marketing Auto-Callable Contingent Interest Notes maturing July 23, 2030 and linked to the MerQube US Large-Cap Vol Advantage Index (MQUSLVA). The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial, fully and unconditionally guaranteed by JPMorgan Chase & Co.

Income potential. Investors receive a monthly contingent coupon of at least 1.17083 % (14.05 % p.a.) for any Interest Review Date on which the Index closes at or above the Interest Barrier of 60 % of the Initial Value. Missed coupons are not cumulative.

Autocall mechanism. Starting January 20, 2026 (six months after issue) and every three months thereafter, if the Index closes at or above the Initial Value, the notes are automatically redeemed for $1,000 principal plus the current coupon. Autocall shortens duration but caps total return at collected coupons.

Principal risk. If the notes are not called and the Final Index Value on the July 18, 2030 Review Date is below the Trigger Value (60 % of Initial), principal repayment is reduced one-for-one with the Index decline: Payment = $1,000 + ($1,000 × Index Return). Investors can lose up to 100 % of principal.

Reference index profile. MQUSLVA is a rules-based, leveraged S&P 500® futures strategy that targets 35 % implied volatility and applies a 6 % p.a. daily fee. The deduction drags performance and may offset gains, while leverage (up to 5×) can magnify losses. The index began live publication on February 11, 2022; earlier data are back-tests.

Issue economics. • Minimum denomination: $1,000. • Pricing date: ≈ July 18 2025. • Settlement: ≈ July 23 2025. • Estimated value today: $955.50 per $1,000 note (will not be set below $900 at pricing). • Selling commissions: up to $11.50 per $1,000. • Notes will not be listed; secondary liquidity depends on JP Morgan Securities LLC bid.

Key risks highlighted by issuer.

• No guaranteed coupons or return of principal; payment depends on Index performance.
• The 6 % daily deduction and potential futures contango/backwardation create structural drag.
• Credit exposure to JPMorgan Chase Financial and JPMorgan Chase & Co.
• Valuation and secondary prices likely below issue price; estimated value set with internal funding rate.
• Complex tax treatment; coupons expected to be ordinary income.

Investor suitability. Product targets investors seeking elevated conditional income and willing to accept equity-linked downside, liquidity constraints, index methodology complexity and issuer credit risk.

JPMorgan Chase Financial Company LLC is offering $15.85 million of unsecured, unsubordinated Yield Notes that mature on 11 September 2026 and are fully guaranteed by JPMorgan Chase & Co. The notes pay a fixed 7.00 % annual coupon (0.58333 % monthly), producing total scheduled interest of $81.6667 per $1,000 over the 26-month term. Investors trade dividend rights and upside market participation for this income stream.

The repayment of principal is linked separately to the S&P 500 Index (SPX) and the Nasdaq-100 Index (NDX). On the 8 September 2026 observation date:

• If each index closes above or no more than 20 % below its strike level (6,225.52 for SPX; 22,702.25 for NDX), investors receive par plus the final coupon.
• If either index closes >20 % below its strike, the note redeems for $1,000 + [$1,000 ×(Index Return+20 %)×1.25], exposing holders to 1.25× downside beyond the 20 % buffer. A 60 % drop in the weaker index would cut total value to roughly $581.67.

The pricing supplement shows an estimated note value of $996.90, below the $1,000 offer price, reflecting structuring and hedging costs. Sales are limited to fee-based advisory accounts; no selling commissions are charged. The notes are not listed, may be illiquid, and are subject to the credit risk of both the issuer and guarantor.

Key risks highlighted include potential loss of principal, limited upside (interest only), exposure to the worst-performing index, lack of dividends, secondary-market discounts, and multiple conflicts of interest. The product is aimed at investors willing to accept equity-linked downside and issuer credit risk in exchange for enhanced yield and a 20 % buffer.

Document type: Index supplement (Rule 424(b)(3)) providing monthly and annual performance data for the S&P 500® Daily Risk Control 10% Index through 30 June 2025.

Content highlights:

• The table combines back-tested proxy data (Dec 1998 – 12 May 2009) with actual live index performance (13 May 2009 – 30 Jun 2025).
• Annual returns range from a high of +27.73% (2016) to a low of -14.18% (2007); YTD 2025 shows -3.53% through June.
• The index targets 10% volatility by dynamically adjusting exposure to the S&P 500® and a cash component; a notional financing cost is deducted daily.
• Key risks include possible deviation from the 10% volatility target, periods of significant under-investment, impact of daily rebalancing, deduction of financing costs, and recent methodology changes.
• JPMorgan Chase & Co. is both the calculation agent and a constituent of the underlying S&P 500®, creating potential conflicts of interest.

Caveats: Management stresses that past and hypothetical performance are not indicative of future results; back-testing involves several assumptions and may differ materially from future outcomes. Investors are urged to review the full risk factors in the accompanying prospectus, product supplement and underlying supplement.

JPMorgan Chase Financial Company LLC is issuing $1,001,000 of Capped Accelerated Barrier Notes linked to the common stock of The Goodyear Tire & Rubber Company (GT). The three-year notes settle on or about 14 July 2025 and mature 13 July 2027.

Return profile: investors receive 2.0× any positive price move in GT, capped at a 71.0 % maximum return ($1,710 per $1,000 note). If the final share price is ≥80 % of the $11.55 strike ($9.24 barrier), principal is returned. Below the barrier, losses mirror the stock’s decline on a 1:1 basis, exposing investors to a potential 100 % capital loss.

Economics: price to public is $1,000; estimated value is $967.60, reflecting selling commissions ($4 per note) and hedging/structuring costs. Notes are unsecured, unsubordinated obligations of the issuer and are fully and unconditionally guaranteed by JPMorgan Chase & Co.

Key risks include credit exposure to JPMorgan entities, no interest or dividend payments, a capped upside, potential total loss past the 20 % buffer, an illiquid secondary market (notes unlisted), and a pricing premium above estimated value. Tax treatment follows “open transaction” principles and may be revised by future IRS guidance.

• Upside leverage: 2.0× up to 71 %
• Barrier: 80 % of strike ($9.24)
• Observation date: 8 July 2027
• CUSIP: 48136FB43
• Guarantee: JPMorgan Chase & Co.

The product suits investors seeking enhanced, but capped, equity exposure to GT with limited (20 %) first-loss protection and who are comfortable with credit and liquidity risk.

JPMorgan Chase Financial Company LLC is offering $610,000 in Auto Callable Contingent Interest Notes linked to the MerQube US Large-Cap Vol Advantage Index (MQUSLVA). The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial, fully and unconditionally guaranteed by JPMorgan Chase & Co., and settle on or about 14 July 2025.

Coupon mechanics

• Contingent Interest Rate: 8.00% p.a., paid monthly (≈0.66667%/month) only if the Index closes ≥ 50% of the Initial Value (Interest Barrier) on a Review Date.
• No fixed coupon: payments cease for any Review Date on which the Index is < 50% of Initial Value.

Automatic call feature

• From the 12th Review Date (9 Jul 2026) onward, the notes are automatically called if the Index closes ≥ 90% of Initial Value (Call Value) on any Review Date (excluding first-11 and final dates).
• Call payment: principal + current contingent coupon; no further payments thereafter.

Maturity & downside risk

• Maturity: 12 Jul 2030, unless previously called.
• Principal at risk: If not called and Final Value < 50% of Initial Value (Trigger Value), redemption is $1,000 + ($1,000 × Index Return), resulting in a loss of >50%—up to full principal loss.

Key index characteristics

• The Index dynamically allocates up to 500% exposure to E-mini S&P 500® futures to maintain a 35% implied-volatility target, subject to a 6.0% per-annum daily deduction that drags performance.
• Established 11 Feb 2022; JPM affiliates own 10% of the Index Sponsor, creating potential conflicts.

Economics & fees

• Price to public: $1,000 per note; selling commissions $42.75 (4.275%).
• Estimated value: $900.10, ~10% below issue price, reflecting structuring and hedging costs.
• Secondary market liquidity will depend on J.P. Morgan Securities LLC (JPMS); notes are not exchange-listed.

Principal risks

• Credit risk of JPMorgan Financial and JPMorgan Chase & Co.
• No guaranteed interest; potential for zero coupons over the life of the note.
• Index leverage, daily 6% deduction, and roll costs may erode index levels.
• Early call risk limits upside; investors may be forced to reinvest at lower rates.
• Tax treatment uncertain; contingent coupons expected to be ordinary income.

CUSIP: 48136FHV7  |  Minimum denomination: $1,000

Morgan Stanley Finance LLC (Series A) has filed Pricing Supplement No. 9,201 for a small ($604,000) offering of Contingent Income Auto-Callable Notes due July 12, 2030, fully and unconditionally guaranteed by Morgan Stanley. The notes are linked to the worst performer among three underliers – the Nikkei 225 (NKY 39,821.28), the EURO STOXX 50 (SX5E 5,445.65) and the SPDR Gold Trust (GLD $305.52) – all fixed at their July 9 2025 closing levels.

Key economic terms

• Stated principal: $1,000 per note; denomination $1,000.
• Issue price: $1,000; net proceeds $994 after $6 advisory-account concession.
• Aggregate principal: $604,000.
• Contingent coupon: 6.60% p.a. (≈$5.50 monthly) paid only if each underlier’s closing level is ≥ its coupon-barrier (85% of initial).
• Automatic early redemption: begins July 8 2026; triggered when each underlier ≥ 100% of initial (call-threshold). Early redemption pays principal + contingent coupon; thereafter no further payments.
• Maturity payment: If not called, investors receive full principal plus final coupon (if barrier satisfied); no participation in upside.
• Credit: unsecured obligations of MSFL, guaranteed by Morgan Stanley; CUSIP 61778NGQ8.
• Estimated value on the pricing date: $977.60 (≈2.2% below issue price), reflecting internal funding rate and structuring/hedging costs.

Risk highlights (selected from the 11-page risk section)

• Coupons are contingent; investors may receive few or no payments over the five-year term.
• Worst-performing methodology increases likelihood of coupon loss and call failure.
• Early redemption risk: investment horizon may shorten; reinvestment at comparable yield may be unavailable.
• Secondary market likely illiquid; notes not exchange-listed; MS & Co. may discontinue making a market at any time.
• Estimated value is below issue price; secondary pricing will reflect wider spreads and issuer credit risk.
• All cash flows subject to Morgan Stanley credit; MSFL is a financing subsidiary with no independent assets.

Tax treatment – Issuer intends to treat the notes as Contingent Payment Debt Instruments (CPDI); comparable yield 4.5782% p.a. Accrual-based OID schedule provided; non-U.S. holders expected to be outside scope of Section 871(m) (non-delta-one exemption until 2027).

Timeline: Strike/Pricing date – July 9 2025; Issue – July 14 2025; first observation Aug 6 2025; first potential call Jul 13 2026; final observation Jul 9 2030; maturity Jul 12 2030.

Overall, the filing offers a detailed description of a niche, fee-based advisory product designed for investors seeking conditional income with principal protection but willing to bear issuer credit risk and the possibility of zero coupons.