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

JPMorgan Chase Financial Company LLC is offering Auto Callable Contingent Interest Notes that mature on July 23, 2030 and are fully and unconditionally guaranteed by JPMorgan Chase & Co. The notes are linked to the MerQube US Tech+ Vol Advantage Index (MQUSTVA), an excess-return index that tracks leveraged exposure (0-500%) to the Invesco QQQ Trust while deducting 6.0% per annum and a daily notional financing cost. These structural deductions create a persistent drag relative to an identical strategy without such costs.

Key economic terms

• Contingent Interest Rate: at least 9.30% p.a. (0.775% monthly); payable only if the Index closes at or above 80% of the Initial Value (Interest Barrier) on a Review Date.
• Automatic call: triggered if, on any Review Date starting July 20 2026 (12th Review Date), the Index closes ≥ Initial Value. Investors then receive principal plus the current and any unpaid contingent interest; no further payments accrue.
• Downside protection: 25% buffer. If held to maturity and the Index decline exceeds 25% (i.e., Final Value < 75% of Initial Value), principal is reduced one-for-one with Index losses beyond the buffer—maximum loss 75%.
• Credit exposure: unsecured, unsubordinated claims on JPMorgan Financial (issuer) and JPMorgan Chase & Co. (guarantor).
• Estimated value: ~$913.60 per $1,000 note if priced today; final estimate will not be less than $900. This reflects selling commissions (≤$39), hedging costs and internal funding spreads.
• Liquidity: no exchange listing; secondary trading, if any, will be by negotiation with J.P. Morgan Securities (JPMS) and likely at a substantial discount, especially during the first six months.

Risk highlights

• Interest is not guaranteed; investors may receive no coupons at all if the Index stays below the 80% barrier.
• Significant capital risk; a 60% Index decline at maturity would result in a 35% note loss even with the buffer.
• Performance drag; daily 6% deduction and financing cost mean the Index must materially outperform the Nasdaq-100 to break even.
• Leverage risk; up to 500% exposure amplifies both gains and losses; rebalanced weekly, not daily.
• Conflict of interest; JPMorgan affiliates co-designed and partially own the Index Sponsor, giving rise to methodological and valuation conflicts.

These notes may appeal to income-oriented investors who are moderately bullish to neutral on large-cap tech over the next year yet willing to accept call risk, credit risk, structural performance drag and up to 75% principal loss. They are unsuitable for investors seeking full principal protection or direct Nasdaq-100 upside participation.