[FWP] Inverse VIX Short-Term Futures ETNs due March 22, 2045 Free Writing Prospectus

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC, guaranteed by JPMorgan Chase & Co., is offering five-year S&P 500 Futures Excess Return Index Uncapped Accelerated Barrier Notes (CUSIP 48136FDM1). The notes are linked to the performance of the S&P 500® Futures Excess Return Index and require a $1,000 minimum denomination.

Key economic terms

• Pricing Date: 28 July 2025
• Maturity: 28 June 2030 (single Observation Date 25 June 2030)
• Upside Leverage Factor: ≥ 1.71 (final level set on pricing date)
• Barrier Amount: 70% of the Initial Value
• Estimated Value: not less than $900 per $1,000 note, lower than issue price

Payment at maturity

• If the Final Value > Initial Value: principal + (principal × Index Return × Leverage Factor).
• If Final Value between Barrier and Initial (inclusive): full principal returned.
• If Final Value < Barrier: principal + (principal × Index Return) — investors lose more than 30% and up to 100% of principal.

Illustrative total returns range from +111.15% (Index +65%) to –100% (Index –100%).

Risk highlights

• Principal risk: no principal guarantee below the 70% barrier.
• Credit risk: repayment depends on JPMorgan Chase Financial Company LLC and the guarantor JPMorgan Chase & Co.
• No coupons: investors receive no periodic interest.
• Liquidity: JPMS may repurchase in the secondary market but is not obligated; exit prices could be well below par.
• Structural complexities: index differs from spot S&P 500 due to futures roll, potential negative carry and trading halts.
• Estimated value gap: internal valuation is expected to be at least $900, reflecting upfront fees and hedging costs.
• Potential conflicts: JPMorgan acts as calculation agent, hedger and market-maker.

The offering is being made under an effective shelf registration statement; investors should review the prospectus, product supplement and preliminary pricing supplement before investing.

Positive

• Leveraged upside participation of at least 1.71× provides enhanced gains if the S&P 500 Futures Excess Return Index rises.
• 70% barrier offers conditional principal protection against the first 30% decline, returning par if barrier not breached.
• No performance cap allows unlimited upside subject to leverage factor.

Negative

• Full downside exposure below the 70% barrier could result in losses exceeding 30% and up to 100% of principal.
• Issuer and guarantor credit risk ties repayment to JPMorgan's solvency, independent of index performance.
• No periodic interest means negative carry until maturity.
• Estimated value ($900) lower than $1,000 issue price embeds upfront costs and may pressure secondary prices.
• Dealer-driven liquidity can lead to significant discounts if investors need to exit early.
• Index tracking variance and negative roll on futures can erode returns even in a flat equity market.

Insights

Structured Products Analyst

TL;DR – Leveraged upside with 30% barrier, but uncapped downside and issuer credit risk make this a high-risk yield substitute.

The note provides equity participation at ≥ 1.71× up to maturity without a cap, combined with soft protection down to 70% of the initial index level. This structure appeals to investors expecting moderate to strong S&P 500 futures performance while accepting potential loss of principal. Credit exposure is to JPMorgan Chase Financial Company LLC, rated in line with JPMorgan Chase & Co. The 10-point discount between issue price and estimated value embeds distribution and hedging costs, creating negative carry if sold before maturity. Absence of interest payments and a single observation date amplify path dependency. From a share-price perspective, the issuance size is immaterial for JPMorgan; impact lies mainly with suitability for risk-tolerant retail investors.

Risk Analyst

TL;DR – Barrier notes concentrate downside below –30% and expose investors to liquidity and valuation gaps.

While the 70% barrier affords conditional protection, a single day breach converts the note into a linear shortfall versus the index, leading to steep capital losses. The futures-based index can diverge materially from the cash S&P 500 due to negative roll, raising the likelihood of underperformance in flat markets. Secondary-market liquidity is dealer-driven; spreads typically widen after issuance as hedging costs evolve. Investors must also consider concentration: JPMorgan both structures and values the product, giving rise to conflicts and a non-transparent internal funding curve. Tax treatment remains uncertain, likely as prepaid forward contracts. Overall, the risk/return pay-off is asymmetric and should be measured against cheaper, more liquid alternatives such as S&P 500 ETFs plus options.

 

The following is a summary of the terms of the notes offered by the preliminary pricing supplement hyperlinked below. Summary of Terms Issuer: JPMorgan Chase Financial Company LLC Guarantor: JPMorgan Chase & Co. Minimum Denomination: $1,000 Index: S&P 500® Futures Excess Return Index Pricing Date: July 28, 2025 Observation Date: June 25, 2030 Maturity Date: June 28, 2030 Upside Leverage Factor: At least 1.71* Barrier Amount: 70.00% of the Initial Value Payment At Maturity: If the Final Value is greater than the Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Index Return × Upside Leverage Factor) If the Final Value is equal to the Initial Value or is less than the Initial Value but greater than or equal to the Barrier Amount, you will receive the principal amount of your notes at maturity. If the Final Value is less than the Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 × Index Return) If the Final Value is less than the Barrier Amount, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity. CUSIP: 48136FDM1 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/48136FDM1/doctype/Product_Termsheet/document.pdf Estimated Value: The estimated value of the notes, when the terms of the notes are set, will not be less than $900.00 per $1,000 principal amount note. For information about the estimated value of the notes, which likely will be lower than the price you paid for the notes, please see the hyperlink above. Any payment on the notes is subject to the credit risk of JPMorgan Chase Financial Company LLC, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes. * The actual Upside Leverage Factor will be provided in the pricing supplement and will not be less than 1.71. ** Reflects an Upside Leverage Factor equal to the minimum Upside Leverage Factor set forth herein for illustrative purposes. Capitalized terms used but not defined herein shall have the meanings set forth in the preliminary pricing supplement. The “total return” as used above is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical returns shown above apply only at maturity. 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 shown above would likely be lower. J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com 5y SPXFP Uncapped Accelerated Barrier Notes H North America Structured Investments Hypothetical Total Returns** Final Value Index Return Total Return on the Notes 165.00 65.00% 111.15% 140.00 40.00% 68.40% 120.00 20.00% 34.20% 110.00 10.00% 17.10% 105.00 5.00% 8.55% 101.00 1.00% 1.71% 100.00 0.00% 0.00% 95.00 -5.00% 0.00% 90.00 -10.00% 0.00% 80.00 -20.00% 0.00% 70.00 -30.00% 0.00% 69.99 -30.01% -30.01% 60.00 -40.00% -40.00% 50.00 -50.00% -50.00% 40.00 -60.00% -60.00% 20.00 -80.00% -80.00% 0.00 -100.00% -100.00%

 

J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com Selected Risks • Your investment in the notes may result in a loss. The notes do not guarantee any return of principal. • Any payment on the notes is subject to the credit risks of JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. Therefore the value of the notes prior to maturity will be subject to changes in the market’s view of the creditworthiness of JPMorgan Chase Financial Company LLC or JPMorgan Chase & Co. • As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent operations and has limited assets. • The benefit provided by the Barrier Amount may terminate on the Observation Date. • No interest payments. • You will not have any rights to the E-Mini® S&P 500® Futures Contracts (the “Underlying Futures Contracts”) or the securities included in the index underlying the Underlying Futures Contracts. • JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500® Index, the index underlying the Underlying Futures Contracts of the Index. • The Index is subject to significant risks associated with the Underlying Futures Contracts. • Suspension or disruptions of market trading in the Underlying Futures Contracts may adversely affect the value of your notes. • The performance of the Index will differ from the performance of the index underlying the Underlying Futures Contracts. • Negative roll returns associated with the Underlying Futures Contracts may adversely affect the level of the Index and the value of the notes. • 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. Selected Risks (continued) • The estimated value of the notes will be lower than the original issue price (price to public) of the notes. • The estimated value of the notes does not represent future values and may differ from others’ estimates. • The estimated value of the notes is determined by reference to an internal funding rate. • The value of the notes, which may be reflected in customer account statements, may be higher than the then current estimated value of the notes for a limited time period. • Lack of liquidity: J.P. Morgan Securities LLC (who we refer to as JPMS) intends to offer to purchase the notes in the secondary market but is not required to do so. The price, if any, at which JPMS will be willing to purchase notes from you in the secondary market, if at all, may result in a significant loss of your principal. • Potential conflicts: We and our affiliates play a variety of roles in connection with the issuance of notes, including acting as calculation agent and 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. It is possible that such hedging or other trading activities of J.P. Morgan or its affiliates could result in substantial returns for J.P. Morgan and its affiliates while the value of the notes declines. • The tax consequences of the notes may be uncertain. You should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the notes. Additional Information SEC Legend: JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. have filed a registration statement (including a prospectus) with the SEC for any offerings to which these materials relate. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, JPMorgan Chase Financial Company LLC and JPMorgan Chase & Co., any agent or any dealer participating in the this offering will arrange to send you the prospectus and each prospectus supplement, as well as any product supplement, underlying supplement and preliminary pricing supplement if you so request by calling toll-free 1-866-535-9248. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters addressed herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisers as to these matters. This material is not a product of J.P. Morgan Research Departments. Free Writing Prospectus Filed Pursuant to Rule 433, Registration Statement Nos. 333-270004 and 333-270004-01 North America Structured Investments The risks identified above are not exhaustive. Please see “Risk Factors” in the prospectus supplement and the applicable product supplement, Annex A to the prospectus addendum and “Selected Risk Considerations” in the applicable preliminary pricing supplement for additional information. 5y SPXFP Uncapped Accelerated Barrier Notes

FAQ

What is the Upside Leverage Factor for JPMorgan's 5-year S&P 500 Futures Barrier Notes?

The Upside Leverage Factor will be set on the pricing date and will not be less than 1.71×.

How much principal protection do the notes provide?

Principal is returned in full only if the index never closes below 70% of the initial value on the observation date.

What happens if the S&P 500 Futures Excess Return Index falls 35% by maturity?

Because the decline breaches the 70% barrier, the repayment equals $1,000 + ($1,000 × –35%) = $650, a 35% loss.

Do investors receive interest payments during the 5-year term?

No. The notes are non-interest-bearing; returns are determined solely at maturity.

Can I sell the notes before maturity?

JPMS may provide secondary market bids but is not obligated; prices could be significantly below par and estimated value.

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

The estimated value (≥ $900) reflects JPMorgan's internal funding rate, hedging costs and selling concessions, which reduce economic value to investors.