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

Rhea-AI Filing Summary

On 20 June 2025, JPMorgan Chase Financial Company LLC priced $500,000 of Uncapped Accelerated Barrier Notes (UABNs) linked to the MerQube US Tech+ Vol Advantage Index (MQUSTVA). The notes settle on 24 June 2025 and mature on 25 June 2030.

Key economic terms

• Upside participation: 2.83× any positive Index return, uncapped.
• Barrier: 50 % of the Initial Value (5,156.54). If the Final Value is below this level, the investor participates one-for-one in all losses.
• Initial Value: 10,313.08 | Observation Date: 20 June 2030.
• Price to public: 100 % | Selling commission: 2 % | Net proceeds: 98 %.
• Estimated value: $950.50 per $1,000 (≈ 4.9 % below issue price).

Index mechanics and structural drag

• Weekly volatility targeting seeks 35 % implied volatility with exposure between 0 % and 500 % to the QQQ Fund.
• Two daily deductions: (1) 6 % p.a. index fee and (2) a notional financing rate (SOFR + 0.50 %). Both reduce returns and magnify leveraged losses.

Risk profile

• No coupons or dividends; investors face up to 100 % capital loss if the Index declines more than 50 %.
• Senior unsecured obligations of JPMorgan Financial, fully and unconditionally guaranteed by JPMorgan Chase & Co.; repayment is subject to issuer/guarantor credit risk.
• Small issuance size and bespoke index imply limited secondary liquidity; structuring margin reflected in the estimated value.

The notes target investors seeking leveraged upside to a tech-heavy, volatility-managed index with conditional protection. However, high index deductions, leverage and barrier mechanics introduce significant path-dependent risk that may erode or eliminate returns.

Positive

• 2.83× uncapped upside participation provides leveraged exposure to any positive Index performance.
• 50 % barrier offers conditional principal preservation against moderate market declines.

Negative

• 6 % annual index fee plus SOFR-based financing cost create significant return drag.
• Barrier breach triggers full downside participation, risking losses greater than 50 % and up to total principal.
• Estimated value 4.9 % below issue price indicates upfront negative carry for investors.
• $500 k issuance size limits secondary market liquidity, potentially widening spreads and hampering exit.

Insights

Structured Products Analyst

TL;DR – Attractive uncapped 2.83× upside but sizable fee drag and 50 % barrier make risk-adjusted return questionable.

The offering provides leveraged participation in a rules-based tech index but embeds meaningful costs—6 % annual index fee, daily financing and a 4.9 % structuring margin. These deductions must be overcome before investors realise gains. While a 50 % barrier offers conditional protection, a breach converts the note into a direct downside vehicle, exposing holders to potentially full principal loss. Given the tiny $500 k size, liquidity will be thin and bid–offer spreads wide. From the issuer’s standpoint, the deal is immaterial; for investors, the profile suits tactical, high-risk allocations rather than core holdings.

Risk Analyst

TL;DR – Structural drag, leverage up to 5× and credit exposure create an asymmetric, high-tail-risk product.

The 35 % volatility-targeting algorithm can push exposure to 500 % when implied volatility is low, amplifying both gains and losses. Because the 6 % fee and SOFR-based financing are applied before leverage, effective costs can outpace moderate index advances. The barrier only mitigates loss down to –50 %; below that, losses accelerate. Credit risk is non-trivial over a five-year horizon despite JPM’s AA-/A1 ratings, and the note’s senior unsecured status offers no collateral. Investors should treat the product as a leveraged option with embedded financing cost rather than a pseudo principal-protected note.

North America Structured Investments 3yr INDU/SPX Auto Callable Accelerated Barrier Notes The following is a summary of the terms of the notes offered by the preliminary pricing supplement hyperlinked below. Summary of Terms J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com JPMorgan Chase Financial Company LLC JPMorgan Chase & Co. $1,000 ® ® Dow Jones Industrial Average and S&P 500 Index Issuer: Guarantor: Minimum Denomination: Underlyings: Upside Leverage Factor: Barrier Amount : Pricing Date: Review Date : Observation Date : Maturity Date: CUSIP: Preliminary Pricing Supplement: Estimated Value: 1.50 With respect to each Underlying, 70.00% of its Initial Value July 11, 2025 July 17, 2026 July 11, 2028 July 14, 2028 48136E6F7 http://sp.jpmorgan.com/document/cusip/48136E6F7/doctype/Product_Termsheet/document.pdf The estimated value of the notes, when the terms of the notes are set, will not be less than $960.00 per $1,000 principal amount note. For more 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. You may lose some or all of your principal at maturity. 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. Automatic Call If the closing value of each Underlying on the Review Date is greater than or equal to its Call Value, the notes will be automatically called for a cash payment, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Call Premium Amount, payable on the Call Settlement Date. No further payments will be made on the notes. If the notes are automatically called, you will not benefit from the Upside Leverage Factor that applies to the payment at maturity if the Final Value of each Underlying is greater than its Initial Value. Because the Upside Leverage Factor does not apply to the payment upon an automatic call, the payment upon an automatic call may be significantly less than the payment at maturity for the same level of appreciation in the Lesser Performing Underlying. Call Value Call Premium* 100.00% of the Initial Value At least 13.00% Payment At Maturity If the notes have not been automatically called and the Final Value of each Underlying is greater than its Initial Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 î Lesser Performing Underlying Return î Upside Leverage Factor) If the notes have not been automatically called and the Final Value of either Underlying is equal to or less than its Initial Value but the Final Value of each Underlying is greater than or equal to its Barrier Amount, you will receive the principal amount of your notes at maturity. If the notes have not been automatically called and the Final Value of either Underlying is less than its Barrier Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 î Lesser Performing Underlying Return) If the notes have not been automatically called and the Final Value of either Underlying is less than its 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. Hypothetical Examples of Amounts Payable Upon Automatic Call or at Maturity** Total Return at Maturity if not Automatically Called Total Return at Review Date* Lesser Performing Underlying Return at Review Date/ Observation Date 150.00% 13.00% 100.00% 120.00% 13.00% 80.00% 60.00% 13.00% 40.00% 30.00% 13.00% 20.00% 15.00% 13.00% 10.00% 0.00% 13.00% 0.00% 0.00% N/A - 0.01% 0.00% N/A - 5.00% 0.00% N/A - 10.00% 0.00% N/A - 20.00% 0.00% N/A - 30.00% - 30.01% N/A - 30.01% - 40.00% N/A - 40.00% - 50.00% N/A - 50.00% - 60.00% N/A - 60.00% - 80.00% N/A - 80.00% - 100.00% N/A - 100.00% N/A – indicates that the notes would not be called and no payment would be made. * Reflects a Call Premium of 13.00% per annum. The Call Premium will be determined on the Pricing Date and will not be less than 13.00% per annum. ** The hypothetical returns on the notes shown above apply only if you hold the notes for their entire term or until automatically called. 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.

North America Structured Investments 3yr INDU/SPX Auto Callable Accelerated Barrier Notes Selected Risks Ɣ Ɣ 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. If the notes are automatically called, the appreciation potential of the notes is limited to the Call Premium Amount paid on the notes. You are exposed to the risk of decline in the value of each Underlying. Your payment at maturity will be determined by the Lesser Performing Underlying. The benefit provided by the Barrier Amount may terminate on the Observation Date. The automatic call feature may force a potential early exit. No interest payments, dividend payments or voting rights. JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500 ® Index and the Dow Jones Industrial Average ® . As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent operations and has limited assets. Ɣ Ɣ Ɣ Ɣ Ɣ Ɣ Ɣ Ɣ Selected Risks (continued) Ɣ Ɣ Ɣ 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 is determined by reference to an internal funding rate. The estimated value of the notes does not represent future values and may differ from others’ estimates. 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. Ɣ Ɣ Ɣ Ɣ 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. 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 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 J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com

FAQ

What Upside Leverage Factor do the VYLD notes offer?

The notes credit 2.83× any positive MerQube US Tech+ Vol Advantage Index return at maturity, with no cap.

How does the 50 % Barrier Amount protect my principal?

If the Index closes at or above 50 % of its Initial Value on the Observation Date, you receive at least your full $1,000 principal per note.

What deductions reduce Index performance?

The Index incurs a 6 % p.a. daily fee and a daily notional financing cost of SOFR + 0.50 %, both of which lower returns.

What is the estimated value of the notes at pricing?

JPMorgan estimated the value at $950.50 per $1,000 note, roughly 4.9 % below the public offering price.

When do the notes mature and what dates determine payout?

Final Index level is set on 20 June 2030 (Observation Date); payment is made on 25 June 2030.

Are these notes principal-protected?

No. If the Index falls below the 50 % barrier, you participate fully in the decline and could lose your entire investment.