JPMorgan Issues Uncapped Barrier Notes Linked to MerQube US Large-Cap Vol Advantage Index

The JPMorgan Chase Financial Company LLC is issuing Uncapped Accelerated Barrier Notes Linked to the MerQube US Large-Cap Vol Advantage Index. The notes are fully and unconditionally guaranteed by JPMorgan Chase & Co.

The index attempts to provide a dynamic rules-based exposure to an unfunded rolling position in E-mini S&P 500 futures, targeting a level of implied volatility. However, the index is subject to a 6.0% per annum daily deduction.

The notes are designed for investors seeking an uncapped return of at least 3.00 times any appreciation of the MerQube US Large-Cap Vol Advantage Index at maturity. Investors should be willing to forgo interest and dividend payments and may lose a significant portion or all of their principal amount at maturity.