JPMorgan's New Debt Security Ties Value to MerQube US Large-Cap Vol Advantage Index

JPMorgan Chase & Co. is offering a new type of debt security that links its value to the MerQube US Large-Cap Vol Advantage Index, or MQUSLVA.

The notes will pay an annualized interest rate of 8%, which translates to $20 per quarter, but only if the index reaches certain levels on specified review dates. The first automatic call for these notes will occur on March 15, 2027, when the closing level of the index is at or above 87% of its initial value.

The final review date and maturity date are September 17, 2029, and September 18, 2031, respectively. If the notes have not been automatically called by then, investors will receive a cash payment equal to their principal amount plus any accrued interest if the closing level of the index on the final review date is greater than or equal to its trigger value.

However, if the index falls below 55% of its initial value at any time before maturity, investors could lose more than 45% of their principal amount. The notes are priced at $1,000 each and will begin trading on September 18, 2026.