MicroSectors™ Energy 3X Leveraged ETN SEC Filings

JPMorgan Chase Financial Company LLC intends to issue Capped Dual Directional Buffered Equity Notes linked to the S&P 500® Index (SPX) that mature on 20 Aug 2026 (≈13-month tenor). The $1,000-denominated notes provide:

• Upside: unleveraged participation in any positive index return, capped at a Maximum Upside Return of at least 11.00% (≥$1,110 per note).
• Moderate downside: for index declines up to the 10% Buffer, investors earn 150% of the absolute decline, producing a maximum 15.00% positive return ($1,150) when the index is down exactly 10% or less.
• Severe downside: beyond the 10% Buffer, principal is reduced one-for-one, exposing holders to losses of up to 90%.

The notes pay no coupons or dividends, are unsecured & unsubordinated, and rely on the credit of both JPMorgan Financial (issuer) and JPMorgan Chase & Co. (guarantor). Expected pricing: 16 Jul 2025; settlement on 21 Jul 2025; CUSIP 48136FQY1. Estimated value today is $987.60 (98.76% of par) and will not be set below $950 at pricing, indicating ~1–5% issuance premium. The notes will not be exchange-listed; secondary liquidity, if any, will be via JPMS at a likely discount that reflects hedging costs and dealer margins.

Key risks: limited upside, substantial downside beyond 10% buffer, credit exposure to JPMorgan entities, potential illiquidity, tax complexity, and valuation that embeds selling commissions and hedging costs. The product suits investors with a defined 13-month horizon who are comfortable exchanging dividend income and full principal protection for capped, asymmetric index participation.

Bank of Montreal (BMO) is offering $3.712 million of Senior Medium-Term Notes, Series K – Autocallable Barrier Notes with Memory Coupons linked to DraftKings Inc. (DKNG). The securities are unsecured obligations of BMO, sold at 100% of face in $1,000 denominations and settle on 11 July 2025. They mature on 11 August 2026, unless automatically redeemed earlier.

• Contingent income: 1.0375% per month (~12.45% p.a.) if DKNG closes on the monthly Observation Date at or above the Coupon Barrier $24.56 (58 % of Initial Level). Missed coupons accrue under the Memory feature.
• Autocall feature: From 7 Jan 2026, if DKNG ≥ 100 % of the Initial Level ($42.34) on any Observation Date, the notes are called at par plus due coupons.
• Principal at risk: If not called and DKNG closes <58 % of Initial on the Valuation Date (Trigger Event), investors receive DKNG shares (or cash equivalent) whose value falls 1 % for every 1 % decline below the Initial Level—up to a total loss of principal.
• Credit & liquidity: Payments depend on BMO’s credit; notes are not listed on an exchange. BMOCM is selling agent; 2.15 % selling concession.
• Pricing economics: BMO’s estimated initial value is $970.18 per $1,000, reflecting embedded fees and hedging costs.

Risk highlights include potential loss of entire investment, uncertainty of coupon payments, limited upside (no participation in DKNG appreciation beyond coupons), taxation uncertainties, and lack of secondary-market liquidity.

The instrument suits investors comfortable with single-stock volatility, short-dated credit exposure to BMO, and the possibility of receiving DKNG shares at maturity in a downside scenario, in exchange for a high but contingent coupon stream.

Bank of Montreal (BMO) is marketing senior, unsecured Medium-Term Notes, Series K – “Autocallable Barrier Notes with Contingent Coupons” – that mature on 21 July 2028. The $1,000-denominated structured notes are linked to the worst performer of three U.S. equity benchmarks: the S&P 500 (SPX), NASDAQ-100 (NDX) and Russell 2000 (RTY).

Income mechanics: Investors may receive a 0.6417 % monthly coupon (≈ 7.70 % p.a.) on each Contingent Coupon Payment Date beginning 21 Aug 2025, but only if all three indices close at or above 70 % of their respective initial levels (the “Coupon Barrier”) on the related Observation Date. Missed coupons are not made up.

Autocall feature: Starting 16 Jul 2026, the notes are automatically redeemed at par plus the due coupon if each index exceeds its initial level (the “100 % Call Level”) on any monthly Observation Date. Early redemption ends further cash flows.

Principal repayment risk: If the notes are not called and any index closes below 70 % of its initial level on the Valuation Date (18 Jul 2028), a “Trigger Event” occurs. The final payment equals par reduced point-for-point by the worst index decline (e.g., –35 % index drop ⇒ $650 pay-out). Investors can lose their entire principal.

Issue economics: BMO’s estimated initial value is $961.70 per $1,000, at least $915 on pricing, reflecting embedded fees and hedging costs. The public price is 100 %, less up to 2.70 % selling concession for certain accounts. Notes will not list on an exchange; liquidity depends on BMO Capital Markets Corp. making a market.

Credit & structural considerations: Payments rely solely on BMO’s credit. The product offers no exposure to upside beyond coupons; returns may underperform direct equity or conventional bonds. High coupon and low barriers signal elevated expected volatility. Tax treatment is uncertain; BMO intends to treat the notes as prepaid contingent income-bearing derivative contracts.

Key dates (expected): Pricing – 16 Jul 2025; Settlement – 21 Jul 2025; first coupon – 21 Aug 2025; maturity – 21 Jul 2028.

Bank of Montreal (BMO) is offering unlisted Senior Medium-Term Notes, Series K — Autocallable Barrier Notes with Contingent Coupons due 19 July 2027. The notes are linked on a “worst-of” basis to three equity benchmarks: the NASDAQ-100 Index (NDX), Russell 2000 Index (RTY) and Dow Jones Industrial Average (INDU). Face value and all coupons depend on BMO’s creditworthiness.

Coupon mechanics. Investors receive a monthly Contingent Coupon of 0.8208 % (≈ 9.85 % p.a.) only if the closing level of each index on the relevant Observation Date is at least 70 % of its Initial Level (the “Coupon Barrier”). Miss one index and that month’s coupon is forfeited.

Early-call feature. From 15 October 2025, if each index closes above 100 % of its Initial Level (the “Call Level”) on any Observation Date, the note is automatically redeemed on the next coupon date for par plus the applicable coupon. No further payments are made after a call.

Maturity payoff (if not called). • If no Trigger Event occurs (i.e., the worst index remains ≥ 70 % of its Initial Level at valuation on 14 July 2027), principal is repaid in full plus the final coupon if due. • If any index falls < 70 % of its Initial Level, investors lose 1 % of principal for every 1 % decline in the “Least Performing” index — a potential 100 % loss.

Key economics and costs. Price to public is 100 % of face; estimated initial value is $986.40 and will not be below $935.00, reflecting upfront costs and hedging. Agent’s commission is up to 0.65 %. BMO Capital Markets Corp. acts as both calculation and selling agent, creating conflicts of interest.

Risk highlights. Principal is not protected; exposure is to the worst-performing of three indices, increasing coupon deferral and loss risk. Notes are unsecured, not FDIC/CDIC-insured, unlisted and may be illiquid. BMO credit deterioration, market volatility or tax re-characterisation could materially impact value.

Bank of Montreal (BMO) is offering unlisted Senior Medium-Term Notes, Series K — Autocallable Barrier Notes with Contingent Coupons due 19 July 2027. The notes are linked on a “worst-of” basis to three equity benchmarks: the NASDAQ-100 Index (NDX), Russell 2000 Index (RTY) and Dow Jones Industrial Average (INDU). Face value and all coupons depend on BMO’s creditworthiness.

Coupon mechanics. Investors receive a monthly Contingent Coupon of 0.8208 % (≈ 9.85 % p.a.) only if the closing level of each index on the relevant Observation Date is at least 70 % of its Initial Level (the “Coupon Barrier”). Miss one index and that month’s coupon is forfeited.

Early-call feature. From 15 October 2025, if each index closes above 100 % of its Initial Level (the “Call Level”) on any Observation Date, the note is automatically redeemed on the next coupon date for par plus the applicable coupon. No further payments are made after a call.

Maturity payoff (if not called). • If no Trigger Event occurs (i.e., the worst index remains ≥ 70 % of its Initial Level at valuation on 14 July 2027), principal is repaid in full plus the final coupon if due. • If any index falls < 70 % of its Initial Level, investors lose 1 % of principal for every 1 % decline in the “Least Performing” index — a potential 100 % loss.

Key economics and costs. Price to public is 100 % of face; estimated initial value is $986.40 and will not be below $935.00, reflecting upfront costs and hedging. Agent’s commission is up to 0.65 %. BMO Capital Markets Corp. acts as both calculation and selling agent, creating conflicts of interest.

Risk highlights. Principal is not protected; exposure is to the worst-performing of three indices, increasing coupon deferral and loss risk. Notes are unsecured, not FDIC/CDIC-insured, unlisted and may be illiquid. BMO credit deterioration, market volatility or tax re-characterisation could materially impact value.

Royal Bank of Canada (RY) is offering Auto-Callable Fixed Coupon Barrier Notes linked to Broadcom (AVGO), CrowdStrike (CRWD) and Snowflake (SNOW). The $5,000-denominated notes pay a fixed coupon of $218.75 each quarter (4.375% per quarter, 17.5% per annum) while outstanding.

Automatic call: On each quarterly observation date, if all three underliers close at or above their initial values, the notes are redeemed for 100% of principal plus the applicable coupon, ending further payments.

Maturity scenarios (22-Jul-2027):

• If not called and the Least Performing Underlier is ≥ 60% of its initial level, holders receive full principal ($5,000) plus the final coupon.
• If the Least Performing Underlier is < 60%, holders receive physical delivery of that stock based on a $5,000 notional—potentially far below par and possibly worthless—plus the coupon.

Key parameters: Trade Date 17-Jul-2025; CUSIP 78015QSW2; quarterly coupon dates and observation dates coincide; initial estimated value $4,603.60–$4,853.60 (92.1%–97.1% of issue price), reflecting dealer discount and hedging costs.

Principal risks disclosed by RBC:

• Up to 100% loss of principal if the 40% downside barrier is breached at maturity.
• Performance tied solely to the worst performer; investors do not share in any upside of the other stocks.
• Returns capped at the fixed coupons; no participation in equity appreciation.
• Credit risk of RBC; secondary-market liquidity may be limited; U.S. tax treatment uncertain.

The structure targets income-oriented investors willing to assume concentrated equity risk in three large-cap technology names and accept possible share settlement and reinvestment risk from early calls.

Bank of Montreal (BMO) is offering unsecured Senior Medium-Term Notes, Series K – “Buffer Enhanced Return Notes” – linked to the EURO STOXX 50® Index (SX5E) and maturing 29 July 2027. The Free Writing Prospectus details product mechanics, key dates, pricing and material risks.

Economic terms

• Issue price: US$1,000 per note; minimum denomination US$1,000.
• Upside Leverage Factor: 127.60 %; investors receive 1.276× any positive index performance at maturity, with no stated cap.
• Downside protection: 15 % “Buffer Level” (85 % of Initial Level). Losses begin only if the EURO STOXX 50 declines by more than 15 % over the term.
• Downside participation: beyond the 15 % buffer, investors lose 1 % of principal for each 1 % further decline, exposing them to up to 85 % principal loss.
• No interim coupons or interest payments; return realised only at maturity.
• Estimated initial value: US$974.10 (subject to final pricing but not below US$925), implying 2.6 %–7.5 % embedded costs vs. issue price.
• Pricing Date: 24 Jul 2025; Settlement: 29 Jul 2025; Valuation Date: 26 Jul 2027; Maturity: 29 Jul 2027.
• Sales charges: 1.75 % agent’s commission; net proceeds to BMO 98.25 %.
• Agent/market-maker: Citigroup Global Markets Inc.; calculation agent: BMO Capital Markets Corp.
• Notes are not listed on any exchange; secondary liquidity, if any, will be solely through the dealer network.
• Credit exposure: senior, unsecured obligation of BMO; subject to issuer credit risk and not CDIC/FDIC insured.

Illustrative payoff

• +20 % index gain −> +25.52 % note return (US$1,255.20).
• -8 % to -15 % index move −> full principal return (US$1,000).
• -40 % index decline −> -25 % note return (US$750).

Principal risk factors highlighted

• Market risk in SX5E, including foreign-equity and FX influences.
• Lack of periodic income and potential opportunity cost versus conventional debt.
• Issuer credit risk; rating changes could depress secondary prices.
• Valuation and liquidity risk stemming from dealer bid-offer spreads, embedded fees and absence of exchange listing.
• Tax treatment uncertain; notes expected to be treated as prepaid derivative contracts for U.S. federal income-tax purposes.

The document stresses that investors should be comfortable with equity-index volatility, illiquidity, and BMO credit exposure before purchasing the notes.

Bank of Montreal (BMO) is offering Senior Medium-Term Notes, Series K – “Digital Return Buffer Notes” – linked to the NASDAQ-100 Index® (NDX) and scheduled to mature on July 23 2027. The notes provide a fixed 14.15% digital return provided that the Final Level of the NDX on the July 20 2027 valuation date is at least 80% of its level on the July 18 2025 pricing date (the “Digital Barrier Level”). Investors therefore receive $1,141.50 per $1,000 note if the index remains above the 80% barrier, even if the index posts a modest loss of up to 20% over the two-year term.

Downside protection is partial and limited. If the NDX falls more than 20% from the Initial Level, principal is reduced on a 1-for-1 basis beyond the 20% “Buffer.” In a worst-case 100% index decline, investors would receive only 20% of principal, losing up to 80% of their original investment. Upside is capped at the 14.15% digital return; any appreciation of the NDX above the barrier does not increase the payout.

Key economic terms

• Digital Return: 14.15%.
• Digital Barrier / Buffer Level: 80% of Initial Level.
• Percentage Change: (Final Level − Initial Level) ÷ Initial Level.
• Denomination: $1,000; CUSIP 06376ES78.
• Price to Public: 100%; Agent commission up to 0.90%; proceeds ≥99.10%.
• Estimated initial value: $980.80 (may be as low as $930 at pricing), below the issue price due to hedging and distribution costs.
• No periodic coupons; no listing; BMOCM is calculation and selling agent.

Principal risks highlighted

• Credit risk: payments depend on BMO’s ability to pay.
• Market risk: up to 80% principal loss if the NDX declines more than 20%.
• Liquidity risk: no exchange listing; secondary market, if any, solely through BMOCM.
• Valuation risk: initial estimated value is below issue price; secondary prices will include bid-ask spreads and may be materially lower.
• Tax uncertainty: expected treatment as a pre-paid derivative contract; IRS could challenge.
• Limited upside: maximum return fixed at 14.15%, lower than potential direct equity exposure.

Illustrative payouts (per $1,000): index ≥80% of initial → $1,141.50; index 60% → $800; index 40% → $600; index 0% → $200.

Distribution and conflicts: BMOCM will receive selling commissions (up to 0.90%) and may engage in hedging that could influence secondary pricing. For ~3 months after issuance, BMO expects to show an indicative value above its internal estimate, gradually declining to reflect hedging profits and commissions.

These notes may appeal to investors willing to accept BMO credit risk, illiquidity and a potential 80% loss in exchange for a conditional 14.15% return with a 20% downside buffer over roughly two years.

Bank of Montreal (BMO) is offering Senior Medium-Term Notes, Series K – “Digital Return Buffer Notes” – linked to the NASDAQ-100 Index® (NDX) and scheduled to mature on July 23 2027. The notes provide a fixed 14.15% digital return provided that the Final Level of the NDX on the July 20 2027 valuation date is at least 80% of its level on the July 18 2025 pricing date (the “Digital Barrier Level”). Investors therefore receive $1,141.50 per $1,000 note if the index remains above the 80% barrier, even if the index posts a modest loss of up to 20% over the two-year term.

Downside protection is partial and limited. If the NDX falls more than 20% from the Initial Level, principal is reduced on a 1-for-1 basis beyond the 20% “Buffer.” In a worst-case 100% index decline, investors would receive only 20% of principal, losing up to 80% of their original investment. Upside is capped at the 14.15% digital return; any appreciation of the NDX above the barrier does not increase the payout.

Key economic terms

• Digital Return: 14.15%.
• Digital Barrier / Buffer Level: 80% of Initial Level.
• Percentage Change: (Final Level − Initial Level) ÷ Initial Level.
• Denomination: $1,000; CUSIP 06376ES78.
• Price to Public: 100%; Agent commission up to 0.90%; proceeds ≥99.10%.
• Estimated initial value: $980.80 (may be as low as $930 at pricing), below the issue price due to hedging and distribution costs.
• No periodic coupons; no listing; BMOCM is calculation and selling agent.

Principal risks highlighted

• Credit risk: payments depend on BMO’s ability to pay.
• Market risk: up to 80% principal loss if the NDX declines more than 20%.
• Liquidity risk: no exchange listing; secondary market, if any, solely through BMOCM.
• Valuation risk: initial estimated value is below issue price; secondary prices will include bid-ask spreads and may be materially lower.
• Tax uncertainty: expected treatment as a pre-paid derivative contract; IRS could challenge.
• Limited upside: maximum return fixed at 14.15%, lower than potential direct equity exposure.

Illustrative payouts (per $1,000): index ≥80% of initial → $1,141.50; index 60% → $800; index 40% → $600; index 0% → $200.

Distribution and conflicts: BMOCM will receive selling commissions (up to 0.90%) and may engage in hedging that could influence secondary pricing. For ~3 months after issuance, BMO expects to show an indicative value above its internal estimate, gradually declining to reflect hedging profits and commissions.

These notes may appeal to investors willing to accept BMO credit risk, illiquidity and a potential 80% loss in exchange for a conditional 14.15% return with a 20% downside buffer over roughly two years.