[424B2] Inverse VIX Short-Term Futures ETNs due March 22, 2045 Prospectus Supplement

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is offering $500,000 aggregate principal amount of Capped Dual Directional Contingent Buffered Equity Notes linked to the American Depositary Shares of Baidu, Inc. (BIDU UW). The notes settle on or about 11-Jul-2025 and mature on 12-Jul-2027.

• Pay-off profile: Investors receive the positive Stock Return on Baidu ADSs, capped at 38 %. If Baidu declines, holders receive the absolute value of the negative return—up to the 35 % Contingent Buffer.
• Principal risk: A fall of more than 35 % from the $89.79 strike wipes out the buffer; principal is reduced 1 % for each additional 1 % drop, potentially to zero.
• Credit exposure: The notes are unsecured, unsubordinated obligations of JPMorgan Chase Financial and are fully and unconditionally guaranteed by JPMorgan Chase & Co.; payments depend on their creditworthiness.
• Economics: Issue price = $1,000; selling commission = $15 (1.5 %); net proceeds = $985. Estimated value at pricing was $970.50, implying an initial mark-up of ~3 % over fair value.
• Liquidity: No exchange listing. JPMS may provide secondary markets but is not obliged to do so; bid prices likely below issue price and estimated value.
• Risk highlights: capped upside, potential full loss of capital, single-stock concentration, emerging-market and currency risks related to Baidu, and model-driven estimated value that differs from secondary prices.

Minimum denomination is $10,000 (and $1,000 multiples). Strike date: 7-Jul-2025; pricing date: 8-Jul-2025. The Final Stock Price is the average of five dates from 30-Jun-2027 to 7-Jul-2027. Investors forgo dividends and do not receive interest.

Suitability: The notes target investors comfortable with Baidu’s volatility and JPMorgan credit risk, who seek limited upside participation plus downside buffering, and are willing to hold to maturity.

Positive

• 35 % Contingent Buffer cushions moderate declines, allowing positive returns even if Baidu falls modestly.
• 38 % Maximum Upside Return offers defined profit potential without leverage risk.
• Full and unconditional guarantee by JPMorgan Chase & Co. enhances credit quality compared with standalone issuers.

Negative

• Unlimited downside once Baidu falls beyond the 35 % buffer—principal can be entirely lost.
• Upside capped at 38 %, materially limiting participation in strong rallies.
• Issue price exceeds estimated fair value by roughly 3 %, creating an initial mark-to-market deficit.
• Notes are illiquid; no exchange listing and secondary bids likely below intrinsic value.
• Investors forgo dividends and interest, reducing total return versus owning the stock.

Insights

Structured Products Analyst

TL;DR Dual-directional notes give 38 % capped upside and 35 % buffer but expose holders to Baidu single-stock risk and JPM credit.

From a structuring standpoint, the instrument offers a balanced risk-return profile: investors can earn positive returns even with a ≤35 % decline in Baidu, and upside is uncapped until 38 %. However, the cap materially underperforms outright equity exposure if Baidu rallies strongly. The 35 % buffer is meaningful but disappears beyond that point, converting the note into a 1:1 downside participation. The spread between issue price and estimated value (~3 %) plus 1.5 % sales load reduces secondary values from day one. No coupon and the lack of exchange listing add carry and liquidity costs. Overall, risk/return is neutral for investors seeking defined outcomes but unattractive for growth-oriented buyers.

Portfolio Risk Manager

TL;DR Product limits gains, embeds credit and liquidity risks; buffer helps only for moderate declines—risk skew is unfavourable.

The note’s asymmetric payoff tilts more downside than upside: maximum gain 38 % vs potential 100 % loss. Concentration in Baidu—an emerging-market tech name—adds volatility, while JPMorgan exposure introduces correlation risk during market stress. Estimated value below offer underscores immediate mark-to-market drag. Absence of interim liquidity and dividend strip further reduce attractiveness. Unless an investor has a tactical view that Baidu will move within ±35 % over two years, the structure is likely inferior to a direct position hedged with options.

 

Pricing supplement To prospectus dated April 13, 2023, prospectus supplement dated April 13, 2023, product supplement no. 4-I dated April 13, 2023 and prospectus addendum dated June 3, 2024	Registration Statement Nos. 333-270004 and 333-270004-01 Dated July 8, 2025 Rule 424(b)(2)  
JPMorgan Chase Financial Company LLC

Structured Investments $500,000 Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc. due July 12, 2027 Fully and Unconditionally Guaranteed by JPMorgan Chase & Co.

General

●The notes are designed for investors who seek an unleveraged return equal to any appreciation (up to the Maximum Upside Return of 38.00%), or an unleveraged return equal to the absolute value of any depreciation (up to 35.00%), of the price of one share of the Reference Stock.

●Investors should be willing to forgo interest and dividend payments and, if the Final Stock Price is less than the Stock Strike Price by more than 35.00%, be willing to lose some or all of their principal amount at maturity.

●The notes are unsecured and unsubordinated obligations of JPMorgan Chase Financial Company LLC, which we refer to as JPMorgan Financial, the payment on which is fully and unconditionally guaranteed by JPMorgan Chase & Co. Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.

●Minimum denominations of $10,000 and integral multiples of $1,000 in excess thereof

Key Terms

Issuer:	JPMorgan Chase Financial Company LLC, a direct, wholly owned finance subsidiary of JPMorgan Chase & Co.
Guarantor:	JPMorgan Chase & Co.
Reference Stock:	The American Depositary Shares of Baidu, Inc., each representing eight Class A ordinary shares, (par value $0.000000625 per share) (Bloomberg ticker: BIDU UW). We refer to Baidu, Inc. as “Baidu.”
Payment at Maturity:	If the Final Stock Price is greater than the Stock Strike Price, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Stock Return, subject to the Maximum Upside Return. Accordingly, under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
 	$1,000 + ($1,000 × Stock Return), subject to the Maximum Upside Return
 	If the Final Stock Price is equal to the Stock Strike Price, you will receive the principal amount of your notes at maturity. If the Final Stock Price is less than the Stock Strike Price by up to the Contingent Buffer Amount, you will receive at maturity a cash payment that provides you with a return per $1,000 principal amount note equal to the Absolute Stock Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Absolute Stock Return) Because the payment at maturity will not reflect the Absolute Stock Return if the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 35.00%, your maximum payment at maturity if the Stock Return is negative is $1,350.00 per $1,000 principal amount note.
 	If the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Stock Strike Price. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows:
 	$1,000 + ($1,000 × Stock Return)
 	If the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 35.00%, you will lose more than 35.00% of your principal amount at maturity and may lose all of your principal amount at maturity
Maximum Upside Return:	38.00%. For example, if the Stock Return is equal to or greater than 38.00%, you will receive the Maximum Upside Return of 38.00%, which entitles you to a maximum payment at maturity if the Stock Return is positive of $1,380.00 per $1,000 principal amount note that you hold.
Contingent Buffer Amount:	35.00%
Stock Return:	(Final Stock Price – Stock Strike Price) Stock Strike Price	 
Absolute Stock Return:	The absolute value of the Stock Return. For example, if the Stock Return is -5%, the Absolute Stock Return will equal 5%.
Stock Strike Price:	$89.79, which was the closing price of one share of the Reference Stock on the Strike Date. The Stock Strike Price is not determined by reference to the closing price of one share of the Reference Stock on the Pricing Date.
Final Stock Price:	The arithmetic average of the closing prices of one share of the Reference Stock on the Ending Averaging Dates
Stock Adjustment Factor:	The Stock Adjustment Factor is referenced in determining the closing price of one share of the Reference Stock and is set initially at 1.0 on the Strike Date. The Stock Adjustment Factor is subject to adjustment upon the occurrence of certain corporate events affecting the Reference Stock. See “The Underlyings — Reference Stocks — Anti-Dilution Adjustments” and “The Underlyings — Reference Stocks — Reorganization Events” in the accompanying product supplement for further information.
Strike Date:	July 7, 2025
Pricing Date:	July 8, 2025
Original Issue Date:	On or about July 11, 2025 (Settlement Date)
Ending Averaging Dates*:	June 30, 2027, July 1, 2027, July 2, 2027, July 6, 2027 and July 7, 2027
Maturity Date*:	July 12, 2027
CUSIP:	48136FMD1

*  Subject to postponement in the event of a market disruption event and as described under “General Terms of Notes — Postponement of a Determination Date — Notes Linked to a Single Underlying — Notes Linked to a Single Underlying (Other Than a Commodity Index)” and “General Terms of Notes — Postponement of a Payment Date” in the accompanying product supplement

Investing in the notes involves a number of risks. See “Risk Factors” beginning on page S-2 of the accompanying prospectus supplement, Annex A to the accompanying prospectus addendum, “Risk Factors” beginning on page PS-11 of the accompanying product supplement and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement, prospectus and prospectus addendum. Any representation to the contrary is a criminal offense.

 	Price to Public (1)	Fees and Commissions (2)	Proceeds to Issuer
Per note	$1,000.00	$15.00	$985.00
Total	$500,000.00	$7,500.00	$492,500.00

(1)  See “Supplemental Use of Proceeds” in this pricing supplement for information about the components of the price to public of the notes.

(2)  J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Financial, will pay all of the selling commissions of $15.00 per $1,000 principal amount note it receives from us to other affiliated or unaffiliated dealers. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement

The estimated value of the notes, when the terms of the notes were set, was $970.50 per $1,000 principal amount note. See “The Estimated Value of the Notes” in this pricing supplement for additional information.

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.

 

 

Additional Terms Specific to the Notes

You should read this pricing supplement together with the accompanying prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes, of which these notes are a part, the accompanying prospectus addendum and the more detailed information contained in the accompanying product supplement. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in the “Risk Factors” sections of the accompanying prospectus supplement and the accompanying product supplement and in Annex A to the accompanying prospectus addendum, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.

You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

●Product supplement no. 4-I dated April 13, 2023:
https://www.sec.gov/Archives/edgar/data/19617/000121390023029539/ea152803_424b2.pdf

●Prospectus supplement and prospectus, each dated April 13, 2023:
https://www.sec.gov/Archives/edgar/data/19617/000095010323005751/crt_dp192097-424b2.pdf

●Prospectus addendum, dated June 3, 2024:
http://www.sec.gov/Archives/edgar/data/1665650/000095010324007599/dp211753_424b3.htm

Our Central Index Key, or CIK, on the SEC website is 1665650, and JPMorgan Chase & Co.’s CIK is 19617. As used in this pricing supplement, “we,” “us” and “our” refer to JPMorgan Financial.

JPMorgan Structured Investments —  PS- 1
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?

The following table and examples illustrate the hypothetical total return and the hypothetical payment at maturity on the notes. The “total return” as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. Each hypothetical total return or payment at maturity set forth below assumes a hypothetical Stock Strike Price of $100.00 and reflects the Maximum Upside Return of 38.00% and the Contingent Buffer Amount of 35.00%. The hypothetical Stock Strike Price of 100.00 has been chosen for illustrative purposes only and does not represent the actual Stock Strike Price. Each hypothetical total return or payment at maturity set forth below is for illustrative purposes only and may not be the actual total return or payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following table and in the examples below have been rounded for ease of analysis.

Final Stock Price	Stock Return	Absolute Stock Return	Total Return
$180.00	80.00%	N/A	38.00%
$170.00	70.00%	N/A	38.00%
$160.00	60.00%	N/A	38.00%
$150.00	50.00%	N/A	38.00%
$140.00	40.00%	N/A	38.00%
$138.00	38.00%	N/A	38.00%
$130.00	30.00%	N/A	30.00%
$120.00	20.00%	N/A	20.00%
$110.00	10.00%	N/A	10.00%
$105.00	5.00%	N/A	5.00%
$102.50	2.50%	N/A	2.50%
$100.00	0.00%	N/A	0.00%
$97.50	-2.50%	2.50%	2.50%
$95.00	-5.00%	5.00%	5.00%
$90.00	-10.00%	10.00%	10.00%
$80.00	-20.00%	20.00%	20.00%
$70.00	-30.00%	30.00%	30.00%
$65.00	-35.00%	35.00%	35.00%
$64.99	-35.01%	N/A	-35.01%
$60.00	-40.00%	N/A	-40.00%
$50.00	-50.00%	N/A	-50.00%
$40.00	-60.00%	N/A	-60.00%
$30.00	-70.00%	N/A	-70.00%
$20.00	-80.00%	N/A	-80.00%
$10.00	-90.00%	N/A	-90.00%
$0.00	-100.00%	N/A	-100.00%

 

JPMorgan Structured Investments —  PS- 2
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

Hypothetical Examples of Amount Payable at Maturity

The following examples illustrate how the total payment at maturity in different hypothetical scenarios is calculated.

Example 1: The price of one share of the Reference Stock increases from the Stock Strike Price of $100.00 to a Final Stock Price of $102.50.

Because the Final Stock Price of $102.50 is greater than the Stock Strike Price of $100.00 and the Stock Return of 2.50% does not exceed the Maximum Upside Return of 38.00%, the investor receives a payment at maturity of $1,025.00 per $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 × 2.50%) = $1,025.00

Example 2: The price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock Price of $95.00.

Although the Stock Return is negative, because the Final Stock Price of $95.00 is less than the Stock Strike Price of $100.00 and the Stock Return of -5.00% does not exceed the Contingent Buffer Amount of 35.00%, The Absolute Stock Return is 5.00%. Accordingly, the investor receives a payment at maturity of $1,050.00 per $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 × 5.00%) = $1,050.00

Example 3: The price of one share of the Reference Stock increases from the Stock Strike Price of $100.00 to a Final Stock Price of $140.00.

Because the Final Stock Price of $140.00 is greater than the Stock Strike Price of $100.00 and the Stock Return of 40.00% exceeds the Maximum Upside Return of 38.00%, the investor receives a payment at maturity of $1,380.00 per $1,000 principal amount note, the maximum payment at maturity if the Stock Return is positive.

Example 4: The price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock Price of $50.00.

Because the Final Stock Price of $50.00 is less than the Stock Strike Price of $100.00 by more than the Contingent Buffer Amount of 35.00% and the Stock Return is -50.00%, the investor receives a payment at maturity of $500.00 per $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 × -50.00%) = $500.00

Example 5: The price of one share of the Reference Stock decreases from the Stock Strike Price of $100.00 to a Final Stock Price of $65.00. Although the Stock Return is negative, because the Final Stock Price of $65.00 is less than the Stock Strike Price of $100.00 by up to the Contingent Buffer Amount of 35.00% and the Absolute Stock Return is 35.00%, the investor receives a payment at maturity of $1,350.00 per $1,000 principal amount note, the maximum payment at maturity if the Stock Return is negative, calculated as follows:

$1,000 + ($1,000 × 35.00%) = $1,350.00

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term. These hypotheticals do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

JPMorgan Structured Investments —  PS- 3
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

Selected Purchase Considerations

●CAPPED, UNLEVERAGED APPRECIATION POTENTIAL IF THE STOCK RETURN IS POSITIVE — The notes provide the opportunity to earn a capped, unleveraged return equal to a positive Stock Return, up to the Maximum Upside Return of 38.00%. Accordingly, the maximum payment at maturity if the Stock Return is positive is $1,380.00 per $1,000 principal amount note. Because the notes are our unsecured and unsubordinated obligations, the payment of which is fully and unconditionally guaranteed by JPMorgan Chase & Co., payment of any amount on the notes is subject to our ability to pay our obligations as they become due and JPMorgan Chase & Co.’s ability to pay its obligations as they become due.

●POTENTIAL FOR UP TO A 35.00% RETURN ON THE NOTES EVEN IF THE STOCK RETURN IS NEGATIVE — If the Final Stock Price is less than the Stock Strike Price by up to the Contingent Buffer Amount, you will earn a positive, unleveraged return on the notes equal to the Absolute Stock Return. Under these circumstances, you will earn a positive return on the notes even though the Final Stock Price is less than the Stock Strike Price. For example, if the Stock Return is -5%, the Absolute Stock Return will equal 5%. Because the payment at maturity will not reflect the Absolute Stock Return if the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 35.00%, your maximum payment at maturity if the Stock Return is negative is $1,350.00 per $1,000 principal amount note.

●RETURN DEPENDENT ON A SINGLE REFERENCE STOCK — The return on the notes is linked to the performance of a single Reference Stock, which is the American depositary shares of Baidu. For additional information see “The Reference Stock” in this pricing supplement.

●TAX TREATMENT — You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I. The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Latham & Watkins LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.

Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S. Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming this treatment is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the IRS or a court may not respect this treatment, in which case the timing and character of any income or loss on the notes could be materially and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice.

Withholding under legislation commonly referred to as “FATCA” may (if the notes are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition, including redemption at maturity, of a note, although under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply to payments of gross proceeds (other than any amount treated as interest). You should consult your tax adviser regarding the potential application of FATCA to the notes.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference Stock. These risks are explained in more detail in the “Risk Factors” section of the accompanying prospectus supplement and product supplement and in Annex A to the accompanying prospectus addendum.

Risks Relating to the Notes Generally

●YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the Reference Stock and will depend on whether, and the extent to which, the Stock Return is positive or negative. If the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 35.00%, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Stock Strike Price. Accordingly, under these circumstances, you will lose more than 35.00% of your principal amount at maturity and may lose all of your principal amount at maturity.

JPMorgan Structured Investments —  PS- 4
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

●YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED BY THE MAXIMUM UPSIDE RETURN AND THE CONTINGENT BUFFER AMOUNT — If the Final Stock Price is greater than the Stock Strike Price, for each $1,000 principal amount note, you will receive at maturity $1,000 plus an additional return that will not exceed the Maximum Upside Return of at least 38.00%, regardless of the appreciation of the Reference Stock, which may be significant. In addition, if the Final Stock Price is less than the Stock Strike Price by up to the Contingent Buffer Amount of 35.00%, you will receive at maturity $1,000 plus an additional return equal to the Absolute Stock Return, up to 35.00%. Because the payment at maturity will not reflect the Absolute Stock Return if the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount of 35.00%, your maximum payment at maturity if the Stock Return is negative is $1,350.00 per $1,000 principal amount note.

●CREDIT RISKS OF JPMORGAN FINANCIAL AND JPMORGAN CHASE & CO. — The notes are subject to our and JPMorgan Chase & Co.’s credit risks, and our and JPMorgan Chase & Co.’s credit ratings and credit spreads may adversely affect the market value of the notes.  Investors are dependent on our and JPMorgan Chase & Co.’s ability to pay all amounts due on the notes. Any actual or potential change in our or JPMorgan Chase & Co.’s creditworthiness or credit spreads, as determined by the market for taking that credit risk, is likely to adversely affect the value of the notes.  If we and JPMorgan Chase & Co. were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.

●THE BENEFIT PROVIDED BY THE CONTINGENT BUFFER AMOUNT MAY TERMINATE ON THE FINAL ENDING AVERAGING DATE — If the Final Stock Price is less than the Stock Strike Price by more than the Contingent Buffer Amount, the benefit provided by the Contingent Buffer Amount will terminate and you will be fully exposed to any depreciation of the Reference Stock from the Stock Strike Price to the Final Stock Price.

●AS A FINANCE SUBSIDIARY, JPMORGAN FINANCIAL HAS NO INDEPENDENT OPERATIONS AND HAS LIMITED ASSETS — As a finance subsidiary of JPMorgan Chase & Co., we have no independent operations beyond the issuance and administration of our securities and the collection of intercompany obligations. Aside from the initial capital contribution from JPMorgan Chase & Co., substantially all of our assets relate to obligations of JPMorgan Chase & Co. to make payments under loans made by us to JPMorgan Chase & Co. or under other intercompany agreements. As a result, we are dependent upon payments from JPMorgan Chase & Co. to meet our obligations under the notes. We are not a key operating subsidiary of JPMorgan Chase & Co. and in a bankruptcy or resolution of JPMorgan Chase & Co. we are not expected to have sufficient resources to meet our obligations in respect of the notes as they come due. If JPMorgan Chase & Co. does not make payments to us and we are unable to make payments on the notes, you may have to seek payment under the related guarantee by JPMorgan Chase & Co., and that guarantee will rank pari passu with all other unsecured and unsubordinated obligations of JPMorgan Chase & Co. For more information, see the accompanying prospectus addendum.

●NO OWNERSHIP OR DIVIDEND RIGHTS IN THE REFERENCE STOCK — As a holder of the notes, you will not have any ownership interest or rights in the Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Reference Stock and the notes.

●SINGLE STOCK RISK — The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions.

●NO INTEREST PAYMENTS — As a holder of the notes, you will not receive any interest payments.

●VOLATILITY RISK — Greater expected volatility with respect to the Reference Stock indicates a greater likelihood as of the Strike Date that the Final Stock Price could be less than the Stock Strike Price by more than the Contingent Buffer Amount. The Reference Stock’s volatility, however, can change significantly over the term of the notes. The closing price of one share of the Reference Stock could fall sharply during the term of the notes, which could result in your losing some or all of your principal amount at maturity.

●LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.

Risks Relating to Conflicts of Interest

●POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and as an agent of the offering of the notes, hedging our obligations under the notes and making the assumptions used to determine the pricing of the notes and the estimated value of the notes when the terms of the notes are set, which we refer to as the estimated value of the notes. In performing these duties, our and JPMorgan Chase & Co.’s economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. In addition, our and JPMorgan Chase & Co.’s business activities, including hedging and trading activities, could cause our and JPMorgan Chase & Co.’s economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes. It is possible that hedging or trading activities of ours or our affiliates in connection with the notes could result in substantial returns for us or our affiliates while the value

JPMorgan Structured Investments —  PS- 5
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

of the notes declines. Please refer to “Risk Factors — Risks Relating to Conflicts of Interest” in the accompanying product supplement for additional information about these risks.

We and/or our affiliates may also currently or from time to time engage in business with Baidu, including extending loans to, or making equity investments in, Baidu or providing advisory services to Baidu. In addition, one or more of our affiliates may publish research reports or otherwise express opinions with respect to Baidu, and these reports may or may not recommend that investors buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in the notes.

Risks Relating to the Estimated Value and Secondary Market Prices of the Notes

●THE ESTIMATED VALUE OF THE NOTES IS LOWER THAN THE ORIGINAL ISSUE PRICE (PRICE TO PUBLIC) OF THE NOTES — The estimated value of the notes is only an estimate determined by reference to several factors. The original issue price of the notes exceeds the estimated value of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. See “The Estimated Value of the Notes” in this pricing supplement.

●THE ESTIMATED VALUE OF THE NOTES DOES NOT REPRESENT FUTURE VALUES OF THE NOTES AND MAY DIFFER FROM OTHERS’ ESTIMATES — The estimated value of the notes is determined by reference to internal pricing models of our affiliates when the terms of the notes are set. This estimated value of the notes is based on market conditions and other relevant factors existing at that time and assumptions about market parameters, which can include volatility, dividend rates, interest rates and other factors. Different pricing models and assumptions could provide valuations for the notes that are greater than or less than the estimated value of the notes. In addition, market conditions and other relevant factors in the future may change, and any assumptions may prove to be incorrect. On future dates, the value of the notes could change significantly based on, among other things, changes in market conditions, our or JPMorgan Chase & Co.’s creditworthiness, interest rate movements and other relevant factors, which may impact the price, if any, at which JPMS would be willing to buy notes from you in secondary market transactions. See “The Estimated Value of the Notes” in this pricing supplement.

●THE ESTIMATED VALUE OF THE NOTES IS DERIVED BY REFERENCE TO AN INTERNAL FUNDING RATE — The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. See “The Estimated Value of the Notes” in this pricing supplement.

●THE VALUE OF THE NOTES AS PUBLISHED BY JPMS (AND WHICH MAY BE REFLECTED ON CUSTOMER ACCOUNT STATEMENTS) MAY BE HIGHER THAN THE THEN-CURRENT ESTIMATED VALUE OF THE NOTES FOR A LIMITED TIME PERIOD — We generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. See “Secondary Market Prices of the Notes” in this pricing supplement for additional information relating to this initial period. Accordingly, the estimated value of your notes during this initial period may be lower than the value of the notes as published by JPMS (and which may be shown on your customer account statements).

●SECONDARY MARKET PRICES OF THE NOTES WILL LIKELY BE LOWER THAN THE ORIGINAL ISSUE PRICE OF THE NOTES — Any secondary market prices of the notes will likely be lower than the original issue price of the notes because, among other things, secondary market prices take into account our internal secondary market funding rates for structured debt issuances and, also, because secondary market prices may exclude selling commissions, projected hedging profits, if any, and estimated hedging costs that are included in the original issue price of the notes. As a result, the price, if any, at which JPMS will be willing to buy notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price. Any sale by you prior to the Maturity Date could result in a substantial loss to you. See the immediately following risk consideration for information about additional factors that will impact any secondary market prices of the notes.

The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity. See “— Lack of Liquidity”.

●SECONDARY MARKET PRICES OF THE NOTES WILL BE IMPACTED BY MANY ECONOMIC AND MARKET FACTORS — The secondary market price of the notes during their term will be impacted by a number of economic and market factors, which may either offset or magnify each other, aside from the selling commissions, projected hedging profits, if any, estimated hedging costs and the price of one share of the Reference Stock.

JPMorgan Structured Investments —  PS- 6
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

Additionally, independent pricing vendors and/or third party broker-dealers may publish a price for the notes, which may also be reflected on customer account statements. This price may be different (higher or lower) than the price of the notes, if any, at which JPMS may be willing to purchase your notes in the secondary market. See “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement.

Risks Relating to the Reference Stock

●NO AFFILIATION WITH THE REFERENCE STOCK ISSUER — We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for the adequacy of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public disclosure of information, whether contained in SEC filings or otherwise.

●RISKS ASSOCIATED WITH NON-U.S. COMPANIES WITH RESPECT TO THE REFERENCE STOCK — The Reference Stock have been issued by a non-U.S. company. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the home countries of the issuers of those non-U.S. equity securities.

●EMERGING MARKETS RISK WITH RESPECT TO THE REFERENCE STOCK — The Reference Stock have been issued by a non-U.S. company conducting its business in an emerging markets country (China). Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.

●CURRENCY EXCHANGE RATE RISK WITH RESPECT TO THE REFERENCE STOCK — Because the shares of the Reference Stock are quoted and traded in U.S. dollars on The Nasdaq Stock Market and the Class A ordinary shares of Baidu are quoted and traded in Hong Kong dollars on The Stock Exchange of Hong Kong Limited, fluctuations in the exchange rate between the Hong Kong dollar and the U.S. dollar will likely affect the relative value of the shares of the Reference Stock and the Class A ordinary shares of Baidu in the two currencies and, as a result, will likely affect the market price of the shares of the Reference Stock trading on The Nasdaq Stock Market. These trading differences and currency exchange rates may affect the market value of the notes and the closing price of one share of the Reference Stock. The Hong Kong dollar has been subject to fluctuations against the U.S. dollar in the past and may be subject to significant fluctuations in the future. Previous fluctuations or periods of relative stability in the exchange rate between the Hong Kong dollar and the U.S. dollar are not necessarily indicative of fluctuations or periods of relative stability in that rate that may occur over the term of the notes. The exchange rate between the Hong Kong dollar and the U.S. dollar is the result of the supply of, and the demand for, those currencies. Changes in the exchange rate results over time from the interaction of many factors directly or indirectly affecting economic and political conditions in Hong Kong and the United States, including economic and political developments in other countries. Of particular importance are rates of inflation, interest rate levels, the balance of payments, any political, civil or military unrest and the extent of governmental surpluses or deficits in Hong Kong and the United States, all of which are in turn sensitive to the monetary, fiscal and trade policies pursued by Hong Kong and the United States and other jurisdictions important to international trade and finance.

●THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF THE REFERENCE STOCK AND THE RIGHTS OF HOLDERS OF THE CLASS A ORDINARY SHARES OF BAIDU — There exist important differences between the rights of holders of the Reference Stock and the rights of holders of the Class A ordinary shares of Baidu, which we refer to as the underlying stock. For example, the issuer of the underlying stock may make distributions in respect of the underlying stock that are not passed on to the holders of the Reference Stock. Any such differences between the rights of holders of the Reference Stock and holders of the underlying stock may be significant and may materially and adversely affect the value of the Reference Stock and, as a result, the notes.

●THE ANTI-DILUTION PROTECTION FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY — The calculation agent will make adjustments to the Stock Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an adjustment in response to all events that could affect the Reference Stock. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected. You should also be aware that the calculation agent may make adjustments in response to events that are not described in the accompanying product supplement to account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your interests as a holder of the notes in making these determinations.

JPMorgan Structured Investments —  PS- 7
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

The Reference Stock

Historical Information

All information contained herein on the Reference Stock and on Baidu is derived from publicly available sources, without independent verification. According to its publicly available filings with the SEC, Baidu, a Cayman Islands company, conducts its operations primarily in China. Baidu’s business consists of two segments, Baidu Core and iQIYI. Baidu Core offers online marketing services and other services, including cloud services, intelligent driving and Xiaodu smart devices. iQIYI is an online entertainment service provider in China and offers membership services, online advertising services, content distribution and other services. iQIYI’s platform features original content, as well as a library of other professionally produced content, professional user generated content and user-generated content. The American Depositary Shares of Baidu, each representing eight Class A ordinary shares, (par value $0.000000625 per share) (Bloomberg ticker: BIDU UW), is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the “Exchange Act”, and is listed on The Nasdaq Stock Market, which we refer to as the relevant exchange for purposes of Baidu in the accompanying product supplement. Information provided to or filed with the SEC by Baidu pursuant to the Exchange Act can be located by reference to SEC file number 000-51469, and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete.

Historical Information

The following graph sets forth the historical performance of the Reference Stock based on the weekly historical closing prices of one share of the Reference Stock from January 3, 2020 through July 3, 2025. The closing price of one share of the Reference Stock on July 8, 2025 was $90.28. We obtained the closing prices above and below from the Bloomberg Professional® service (“Bloomberg”), without independent verification. The closing prices may have been adjusted by Bloomberg for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy.

Since its inception, the Reference Stock has experienced significant fluctuations. The historical performance of the Reference Stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Reference Stock on any Ending Averaging Date. There can be no assurance that the performance of the Reference Stock will result in the return of any of your principal amount.

The Estimated Value of the Notes

The estimated value of the notes set forth on the cover of this pricing supplement is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the same maturity as the notes, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying the economic terms of the notes. The estimated value of the notes does not represent a minimum price at which JPMS would be willing to buy your notes in any secondary market (if any exists) at any time. The internal funding rate used in the determination of the estimated value of the notes may differ from the market-implied funding rate for vanilla fixed income instruments of a similar maturity issued by JPMorgan Chase & Co. or its affiliates. Any difference may be based on, among other things, our and our affiliates’ view of the funding value of the notes as well as the higher issuance, operational and ongoing liability management costs of the notes in comparison to those costs for the conventional fixed income instruments of JPMorgan Chase & Co. This internal funding rate is based on certain market inputs and assumptions, which may prove to be incorrect, and is intended to approximate the prevailing market replacement funding rate for the notes. The use of an internal funding rate and any potential changes to that rate may have an adverse effect on the terms of the notes and any secondary market prices of the notes. For additional information, see “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Derived by Reference to an Internal Funding Rate” in this pricing supplement. The value of the derivative or derivatives underlying the economic terms of the notes is derived from internal pricing models of our affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments and on various other inputs, some of which

JPMorgan Structured Investments —  PS- 8
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

are market-observable, and which can include volatility, dividend rates, interest rates and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated value of the notes is determined when the terms of the notes are set based on market conditions and other relevant factors and assumptions existing at that time. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Does Not Represent Future Values of the Notes and May Differ from Others’ Estimates” in this pricing supplement.

The estimated value of the notes is lower than the original issue price of the notes because costs associated with selling, structuring and hedging the notes are included in the original issue price of the notes. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes and the estimated cost of hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected, or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations under the notes. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Estimated Value of the Notes Is Lower Than the Original Issue Price (Price to Public) of the Notes” in this pricing supplement.

Secondary Market Prices of the Notes

For information about factors that will impact any secondary market prices of the notes, see “Risk Factors — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — Secondary market prices of the notes will be impacted by many economic and market factors” in the accompanying product supplement. In addition, we generally expect that some of the costs included in the original issue price of the notes will be partially paid back to you in connection with any repurchases of your notes by JPMS in an amount that will decline to zero over an initial predetermined period. These costs can include selling commissions, projected hedging profits, if any, and, in some circumstances, estimated hedging costs and our internal secondary market funding rates for structured debt issuances. This initial predetermined time period is intended to be the shorter of six months and one-half of the stated term of the notes. The length of any such initial period reflects the structure of the notes, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the notes and when these costs are incurred, as determined by our affiliates. See “Selected Risk Considerations — Risks Relating to the Estimated Value and Secondary Market Prices of the Notes — The Value of the Notes as Published by JPMS (and Which May Be Reflected on Customer Account Statements) May Be Higher Than the Then-Current Estimated Value of the Notes for a Limited Time Period” in this pricing supplement.

Supplemental Use of Proceeds

The notes are offered to meet investor demand for products that reflect the risk-return profile and market exposure provided by the notes. See “What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?” and “Hypothetical Examples of Amount Payable at Maturity” in this pricing supplement for an illustration of the risk-return profile of the notes and “Selected Purchase Considerations — Return Dependent on a Single Reference Stock” in this pricing supplement for a description of the market exposure provided by the notes.

The original issue price of the notes is equal to the estimated value of the notes plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations under the notes, plus the estimated cost of hedging our obligations under the notes.

Supplemental Terms of the Notes

Any values of the Reference Stock, and any values derived therefrom, included in this pricing supplement may be corrected, in the event of manifest error or inconsistency, by amendment of this pricing supplement and the corresponding terms of the notes. Notwithstanding anything to the contrary in the indenture governing the notes, that amendment will become effective without consent of the holders of the notes or any other party.

Validity of the Notes and the Guarantee

In the opinion of Latham & Watkins LLP, as special product counsel to JPMorgan Financial and JPMorgan Chase & Co., when the notes offered by this pricing supplement have been executed and issued by JPMorgan Financial and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of JPMorgan Financial and the related guarantee will constitute a valid and binding obligation of JPMorgan Chase & Co., enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such special product counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above or (ii) any provision of the indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of JPMorgan Chase & Co.’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated

JPMorgan Structured Investments —  PS- 9
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

 

February 24, 2023, which was filed as an exhibit to the Registration Statement on Form S-3 by JPMorgan Financial and JPMorgan Chase & Co. on February 24, 2023.

JPMorgan Structured Investments —  PS- 10
Capped Dual Directional Contingent Buffered Equity Notes Linked to the American Depositary Shares of Baidu, Inc.

 

FAQ

What is the maximum potential return on the VYLD structured notes?

The notes cap positive performance at a 38 % Maximum Upside Return, equal to $1,380 per $1,000 note.

How much protection do the VYLD notes provide if Baidu shares decline?

You are buffered for up to a 35 % decline; beyond that, losses are 1 % per additional 1 % drop, up to full principal loss.

Do the notes pay interest or Baidu dividends?

No. There are no interest or dividend payments; all payout occurs at maturity based on Baidu price performance.

Who is obligated to repay the notes at maturity?

The issuer is JPMorgan Chase Financial Company LLC, and payments are fully guaranteed by JPMorgan Chase & Co.—both carry credit risk.

Will the notes be listed on an exchange?

No public listing is planned. JPMS may make a market, but liquidity and pricing are not guaranteed.

Why is the estimated value ($970.50) lower than the $1,000 issue price?

The difference reflects selling commissions, hedging costs and issuer profit embedded in the offer price.