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

J.P. Morgan has filed a Rule 424(b)(3) index supplement for structured notes linked to the MerQube US Gold Vol Advantage Index (“the Index”). The document provides investors with back-tested monthly and annual returns from December 2007 to February 2025 and actual performance from 11 Feb 2025 to 30 Jun 2025. Reported calendar-year backtests show double-digit gains in several periods (e.g., 76.74 % in 2009, 60.75 % in 2018, 63.85 % in 2023) but also deep draw-downs (-61.69 % in 2012, -40.54 % in 2014), illustrating the strategy’s high volatility.

The Index is a rules-based, gold futures strategy that seeks to target a defined volatility by adjusting both leverage and cash exposure; however, its level is reduced by a 6 % per-annum daily deduction and represents excess return only (no interest on collateral). It began live calculation on 11 Feb 2025, so most performance data are hypothetical and subject to the limitations of back-testing.

Key risk disclosures highlighted in the filing:

• Index established in 2025; limited live history and potential model risk.
• May not achieve the stated volatility target and can employ significant leverage.
• Potentially large uninvested cash allocations and negative roll yield from futures term structure.
• Concentration in gold futures exposes investors to commodity-specific shocks.
• Daily 6 % fee and excess-return methodology create structural performance drag.
• JPMS helped design the Index and licenses it from MerQube, creating conflicts of interest.

Neither the SEC nor state regulators have approved the notes. They are not FDIC-insured and carry issuer credit risk. Past or back-tested returns are explicitly not indicative of future results. Investors are urged to review the full Risk Factors in the prospectus supplement, product supplement, underlying supplement and any final pricing supplement.

J.P. Morgan has filed an index supplement for exchange-traded notes (ETNs) linked to the MerQube US Small-Cap Vol Advantage Index. The document combines the prospectus dated April 13 2023 and subsequent addenda and is offered under Rule 424(b)(3).

Index profile. The Index was launched on June 21 2022 and applies a systematic volatility-target strategy to U.S. small-cap equity futures. A 6.0% per-annum daily fee is deducted from the level. Performance data include:

• Hypothetical back-tested returns from Jan 7 2005 to Jun 17 2022
• Actual returns from Jun 21 2022 to Jun 30 2025
• Large annual dispersion: +62.46% (2012) to –35.22% (2007) and –28.53% (2017)

Key structural details.

• Index may employ significant leverage and can remain partially uninvested.
• It is calculated on an excess-return basis; cash interest is not reflected.
• JPMS collaborated with MerQube in designing the methodology and holds an exclusive license.

Selected risk highlights (verbatim from filing):

• Limited operating history and potential deviation from target volatility.
• Daily 6% deduction reduces returns even in favorable markets.
• Exposure to futures roll risk, margin changes, and trading suspensions.
• Small-capitalization concentration and use of leverage increase volatility.
• Index Sponsor may adjust rules without regard to note-holders’ interests.

The filing stresses that historical and back-tested results are not indicative of future performance and that the notes are unsecured, non-FDIC-insured obligations of J.P. Morgan.