[424B3] Inverse VIX Short-Term Futures ETNs due March 22, 2045 Prospectus Filed Pursuant to Rule 424(b)(3)

Rhea-AI Filing Summary

J.P. Morgan Kronos US Equity (JPUSKRSE) Excess Return Index – July 2025 index supplement accompanies the April 13 2023 base prospectus set, providing investors with updated historical and back-tested performance and a consolidated list of material risk factors for structured notes linked to the Index.

Performance snapshot

• Back-tested data (Jan 1988–10 Jun 2021) and actual live data (11 Jun 2021–30 Jun 2025) are provided on a monthly basis. The strongest calendar year shown is 2020 at 30.31%, while the weakest is 2008 at -13.65%.
• Since live calculation began (Jun 2021), annual results were 2021 4.76%, 2022 -12.08%, 2023 1.92% and 2024 -5.91% (YTD 2025 to Jun -5.62%).

Index mechanics

• Sponsor & calculation agent: J.P. Morgan Securities plc.
• Excess-return formula deducts a 0.35% p.a. index fee plus, when applicable, a notional financing charge tied to the Effective Federal Funds Rate.
• Rules-based overlay of three seasonal strategies: turn-of-the-month, option-expiry momentum and month-end mean reversion. Strategies run only during specific windows, so the Index can be partially or fully uninvested in the underlying S&P 500 Constituent.
• The Constituent may be substituted after certain extraordinary events; JPMorgan Chase & Co. is presently included.

Key risk disclosures

• Limited operating history: live calculation started 11 Jun 2021; extensive results are hypothetical.
• Sponsor discretion: JPMS plc may adjust index methodology.
• Fee drag & negative carry: 0.35% fee and potential financing costs reduce returns.
• Strategy overlap & timing risk: simultaneous seasonal signals or missed equity exposure can impair performance.
• Notes are unsecured, uninsured & not bank deposits.

All performance data are illustrative; past and back-tested results are not indicative of future returns. Investors should review the accompanying prospectus documents and “Selected Risks” section before considering any notes linked to the Index.

Positive

• Comprehensive disclosure of 37 years of monthly and annual performance aids diligence.
• Clear articulation of index fee (0.35% p.a.) and financing cost allows investors to model expected drag.
• Transparent rule set for seasonal strategies enables independent replication and scenario testing.

Negative

• Limited live history: Index only operational since 11 Jun 2021, leaving heavy reliance on back-tests.
• Structural fee drag (0.35% plus financing) reduces total return potential.
• Sponsor discretion: JPMS plc can modify index rules, creating conflict of interest.
• Complex timing strategies may underperform in trending markets or overlap adversely.
• Notes are unsecured & uninsured, exposing holders to JPMorgan Chase credit risk.

Insights

Financial Analyst – Structured Products

TL;DR Live track record is short and volatile; fees and seasonal timing add drag, so risk-adjusted outlook is uncertain.

The supplement consolidates 37 years of back-tested numbers with only four years of live data. While 2020’s 30% surge showcases upside under extreme momentum, 2022’s -12% and YTD 2025’s -5.6% evidence meaningful drawdown potential. The 0.35% annual fee and possible financing spread erode performance every day the Index is invested. Because the three overlay strategies operate during narrow windows, investors may face whipsaw risk and periods of under-investment in strong equity markets. JPMS plc’s dual role as sponsor and calculation agent introduces structural conflicts. Overall I view the filing as informational rather than catalytic; impact on VYLD or broader JPM-issued note pricing is modest.

Risk Analyst

TL;DR Principal risks centre on model reliance, sponsor discretion and hypothetical performance; suitability is limited to sophisticated investors.

The document makes clear that most historical data are modelled and unverified. The Index’s reliance on seasonal factors (turn-of-month, option expiry, mean reversion) could behave unpredictably outside historical regimes. Inclusion of JPM stock inside the Constituent presents concentration and related-party risk. Fee drag, especially when cash-invested portions earn a negative notional rate, could lead to underperformance against simple benchmarks. Because the Index was set up only in 2021, statistical confidence in risk/return estimates is low. Given these factors, I assign a neutral-to-negative outlook; impact rating -0.2 rounded to 0.

Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023 the prospectus addendum dated June 3, 2024, the product supplement no. 4-I dated April 13, 2023 and the underlying supplement no. 9-I dated April 13, 2023. Registration Statement Nos. 333-270004 and 333-270004-01 Dated July 3, 2025 Rule 424(b)(3) JULY 2025 J.P. Morgan Kronos US Equity (JPUSKRSE) Excess Return Index Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 1988 0.78% 0.94% 0.72% 1.46% 0.73% 0.88% 5.63% 1989 -1.29% -1.42% 1.41% 0.10% 0.15% -0.92% 0.21% -0.58% -0.76% -0.39% -0.92% 0.21% -4.16% 1990 0.65% 0.06% 0.76% -2.35% 0.78% -1.57% -1.68% 0.44% 1.10% -0.15% 0.67% 0.94% -0.43% 1991 -3.29% 2.43% 2.13% -0.32% 0.98% -2.14% -0.19% -2.47% -0.92% -0.72% -2.73% -2.99% -9.94% 1992 -0.09% -0.54% -1.86% -0.32% -0.26% 0.61% -1.78% -1.76% 0.40% -1.70% -0.43% 1.03% -6.55% 1993 -1.06% 1.92% -0.35% -1.08% -1.55% 0.22% -0.93% -0.76% -1.12% 0.89% -0.80% 0.20% -4.37% 1994 -0.62% -1.80% 1.07% 1.19% -0.22% -1.83% -0.48% -1.75% -0.38% -1.10% -2.76% -1.28% -9.60% 1995 -1.05% 0.16% -0.86% 0.33% -0.32% 1.37% -0.37% -0.35% 1.17% -0.08% 0.38% -0.71% -0.38% 1996 1.30% -0.95% -0.46% 0.84% -0.05% 0.18% -0.64% 2.38% 0.34% 1.76% 0.78% -3.07% 2.33% 1997 1.49% -1.19% -1.49% -0.31% 0.89% -0.54% 0.30% -2.15% 2.46% 2.05% 0.42% 0.72% 2.56% 1998 -2.53% 0.99% -0.20% 3.10% -1.39% -2.00% 1.66% -6.80% 0.47% -4.56% 2.03% -2.83% -11.82% 1999 1.67% -2.55% -2.11% -0.56% -0.05% -0.79% 1.02% -0.86% -0.12% 3.36% 0.02% -0.34% -1.43% 2000 -4.52% 3.42% 4.99% -0.22% -3.33% 1.63% 0.71% 1.30% 0.14% -0.68% 0.09% 1.49% 4.76% 2001 -1.64% -0.75% 3.45% 1.17% 4.66% 1.81% 0.24% -2.59% 1.86% 1.18% 3.52% 0.44% 13.89% 2002 1.87% -0.80% 3.00% -1.55% -0.23% -0.64% 11.70% 2.93% -0.90% 0.73% 0.99% -3.08% 14.11% 2003 -1.95% 0.06% 0.11% 1.84% -2.02% 0.18% 0.22% -0.58% 1.44% 0.79% 0.03% 0.41% 0.48% 2004 1.97% -0.86% 2.44% -0.36% 1.36% -0.13% -0.30% -1.43% 0.47% 1.75% 0.71% -0.02% 5.66% 2005 0.77% -0.40% 0.32% 1.59% 0.95% 1.06% -0.35% -0.06% 0.99% -1.45% 1.19% 0.27% 4.94% 2006 -0.24% -1.36% -0.05% 0.50% 1.23% -0.15% 0.08% -0.17% -0.97% 0.92% 0.58% 0.50% 0.85% 2007 -0.46% 0.92% -0.78% 0.62% 1.50% -2.51% 3.14% -0.48% -1.21% 0.18% 2.61% 1.04% 4.51% 2008 2.03% -2.65% -4.24% -1.10% 1.75% -0.34% -3.67% 0.01% -3.20% -1.12% 1.89% -3.64% -13.65% 2009 3.81% -2.66% -0.62% 0.91% 3.04% -1.44% 0.25% 1.78% 0.58% 3.21% 0.28% 0.20% 9.51% 2010 2.55% -1.24% 0.97% 1.15% 0.15% -0.48% 1.81% -1.18% 2.21% 1.22% 2.60% 1.81% 12.09% 2011 -0.28% 1.54% 0.03% 1.13% -0.69% -0.75% 2.23% 1.33% 0.39% -1.09% 4.57% -0.02% 8.57% 2012 1.51% 1.17% -0.97% 1.05% -1.01% -1.02% -2.22% 0.44% 1.78% 1.25% 0.70% -0.12% 2.49% 2013 1.34% 1.07% 0.53% 0.28% 1.03% 2.55% 1.42% 0.76% 0.74% 0.73% 0.20% -2.44% 8.44% 2014 -1.80% -0.66% 0.37% -1.35% -0.10% 0.93% 0.72% -1.69% 0.09% 0.66% 0.05% -3.05% -5.75% 2015 -2.56% 1.24% 0.03% -0.20% 0.38% -0.60% -0.32% 4.37% -2.33% 1.22% 0.92% 0.74% 2.72% 2016 0.71% -1.86% 2.31% -0.85% 0.41% 0.62% 0.13% -0.26% -0.32% -0.95% -0.95% 0.25% -0.81% 2017 -0.01% 0.27% 0.57% -0.34% 0.04% 0.33% 0.01% 1.14% -0.28% 0.29% -0.46% -0.08% 1.46% 2018 1.92% -3.54% 0.94% 1.01% 1.04% 1.75% 0.33% -0.37% -0.02% 0.07% 3.18% 2.25% 8.74% 2019 1.07% 0.70% 1.18% 0.11% -2.44% 2.64% 0.07% -1.82% 0.70% -1.26% 0.35% -0.37% 0.81% 2020 1.29% 3.40% 15.02% -0.19% -1.00% 2.58% 1.07% 0.31% 1.26% 1.23% 2.32% 0.37% 30.31% 2021 1.80% 1.06% -1.77% 0.90% 0.99% -0.61% -1.08% 0.23% -0.22% 2.08% 1.55% -0.20% 4.76% 2022 -1.48% 1.49% -4.89% -3.87% 4.29% -0.36% 1.25% -0.74% -1.79% 0.91% -2.24% -4.93% -12.08% 2023 0.26% -0.17% 2.36% 0.46% -2.63% 1.32% -0.77% -0.24% -1.49% 0.97% 2.18% -0.24% 1.92% 2024 -0.71% 0.13% -0.15% -0.54% 2.20% 0.24% 0.72% -4.42% -1.96% -0.21% 0.10% -1.32% -5.91% 2025 -0.97% 0.30% -3.81% -0.17% 0.42% -1.45% -5.62% Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance using the actual performance of the S&P 500® Price Return Index from January 1, 1988 through June 10, 2021 and the actual performance of the Index from June 11, 2021 through June 30, 2025. Please see “Use of hypothetical backtested returns” at the end of this presentation for further information related to backtesting including a discussion of certain limitation of backtesting and simulated returns. Except as noted above and in the section entitled “Use of hypothetical backtested returns” at the end of this document, the hypothetical monthly and annual returns set forth above were determined using the methodology currently used to calculate the Index. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. Investing in the notes linked to the Index involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the prospectus supplement and the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank.

 

JULY 2025 | J.P. Morgan Kronos US Equity (JPUSKRSE) Excess Return Index Selected Risks Our affiliate, J.P. Morgan Securities plc (“JPMS plc”), is the sponsor and calculation agent of the Index and may adjust the Index in a way that affects its level. The level of the Index will include the deduction of a fee of 0.35% per annum and, in some circumstances, a notional financing cost based on the Effective Federal Funds Rate. Dividends or other distributions on the equity securities underlying the Constituent will adversely affect the performance of the Index. The Index will provide an effective exposure to the price performance of the Constituent, which may adversely affect the performance of the Index. JPMorgan Chase & Co. is currently one of the companies that make up the Constituent. There are risks associated with the Index’s turn-of-month strategy. There are risks associated with the Index’s option expiry momentum strategy. There are risks associated with the Index’s mean reversion strategy. The Index’s strategies are applied during only a portion of each month. The Index may be adversely affected by an overlap between its turn-of-the-month strategy and its month-end mean reversion strategy. The Index may be significantly uninvested in the Constituent. The Constituent of the Index may be replaced by a substitute index in certain extraordinary events. The notional cash return will be negatively affected if the underlying interest rate is negative. The Index, which was established on June 11, 2021, has a limited operating history and may perform in unanticipated ways. The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index may not be successful or outperform any alternative strategy that may be employed of the Constituents. The Effective Federal Funds Rate is affected by a number of factors and may be volatile. The method pursuant to which the Effective Federal Funds Rate is determined may change, and any such change may adversely affect the value of notes linked to the Index. The risks identified above are not exhaustive. You should also review carefully the related “Risk Factors” section in the prospectus supplement and the relevant product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant pricing supplement. Disclaimer Important Information The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. All information herein is subject to change without notice, however, J.P. Morgan undertakes no duty to update this information. In the event of any inconsistency between the information presented herein and any offering document, the offering document shall govern. Use of hypothetical backtested returns Any backtested historical performance and weighting information included herein is hypothetical. The constituent may not have traded in the manner shown in the hypothetical backtest of the Index included herein, and no representation is being made that the Index will achieve similar performance. There are frequently significant differences between hypothetical backtested performance and actual subsequent performance. The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment in notes referencing the Index. J.P. Morgan provides no assurance or guarantee that notes linked to the Index will operate or would have operated in the past in a manner consistent with these materials. The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropriate. Actual results will vary, perhaps materially, from the hypothetical backtested returns and allocations presented in this document. HISTORICAL AND BACKTESTED PERFORMANCE AND ALLOCATIONS ARE NOT INDICATIVE OF FUTURE RESULTS. Investment suitability must be determined individually for each investor, and investments linked to the Index may not be suitable for all investors. This material is not a product of J.P. Morgan Research Departments. Copyright © 2025 JPMorgan Chase & Co. All rights reserved. For additional regulatory disclosures, please consult: www.jpmorgan.com/disclosures. Information contained on this website is not incorporated by reference in, and should not be considered part of, this document. This monthly update document replaces and supersedes all prior written materials of this type previously provided with respect to the Index.

FAQ

What is the live operating history of the JPUSKRSE Index?

The Index has been calculated on a live basis only since 11 June 2021.

How did the Index perform in 2020 and 2022?

Back-tested 2020 return was 30.31%, while live 2022 performance was -12.08%.

What annual fee is deducted from the JPUSKRSE Index level?

A 0.35% per annum index fee is built into the daily calculation.

Who sponsors and calculates the Index?

The sponsor and calculation agent is J.P. Morgan Securities plc, an affiliate of the note issuer.

What are the main strategies embedded in the Index?

It employs turn-of-month, option-expiry momentum and month-end mean reversion overlays.

Does the Index include dividends?

No. Dividends on the S&P 500 Constituent are not included, which can reduce excess-return performance.