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

Rhea-AI Filing Summary

JPMorgan Chase Financial Company LLC is marketing three-year Capped Barrier Notes linked to the Solactive US Mag 7 Index PR.

• Key dates: Pricing on 28 Jul 2025; single Observation Date on 28 Jul 2028; Maturity on 2 Aug 2028.
• Denomination: $1,000 per note; CUSIP 48136FLH3.
• Return profile: • If the Index is above its Initial Value at maturity, investors receive $1,000 plus index appreciation, capped by a Maximum Return ≥ 50%. • If the Index ends flat or up to 30 % down (≥ 70 % of Initial Value), principal is returned. • Below the 70 % barrier, investors participate 1-for-1 in the negative Index return, exposing them to a loss of more than 30 % and up to 100 % of principal.
• Estimated value: ≥ $930 per $1,000 note, implying an initial issuer/structuring premium of ≤ 7 %.
• Credit exposure: Payments rely on the senior unsecured obligations of JPMorgan Chase Financial Company LLC and its guarantor JPMorgan Chase & Co..
• Sector concentration: The underlying index is heavily weighted toward large U.S. technology names ("Magnificent 7"), established 21 Mar 2024; components are fixed for the note’s life.
• Selected risks: unlimited downside below barrier, capped upside, issuer/guarantor credit risk, limited liquidity (no market-making obligation), potential conflicts of interest in pricing/hedging, and uncertain tax treatment.

These securities suit investors seeking enhanced equity participation with conditional principal protection, who are comfortable with single-observation barrier risk, sector concentration, and JPMorgan credit exposure. They are not designed for income-oriented or fully risk-averse investors.

Positive

• Upside of at least 50 % maximum return provides enhanced equity participation relative to direct index investment over three years.
• 30 % soft protection barrier offers conditional principal preservation if the index decline does not breach 70 % of initial value.
• Short three-year tenor reduces long-dated credit and market uncertainty compared with typical 5–10 year structured notes.

Negative

• Capped upside limits participation in strong bull scenarios beyond 50 %.
• Single observation barrier exposes investors to cliff-risk; a sharp fall on the Observation Date eliminates protection.
• Full downside beyond barrier can lead to loss of more than 30 % up to all principal.
• Issuer/guarantor credit risk introduces dependence on JPMorgan’s solvency despite otherwise strong fundamentals.
• Estimated value at 93 % of par signals an immediate economic drag for investors.
• Limited liquidity—dealer repurchases are discretionary and may be at significant discounts.

Insights

Structured-Product Analyst

TL;DR Three-year JPM barrier notes offer ≥ 50 % capped upside, 30 % soft protection, but full downside beyond, and rely on JPM credit.

The product delivers equity-linked growth potential while shielding principal down to a 30 % decline. The single observation increases gap-risk: a severe market drop on 28 Jul 2028 triggers full loss participation. With the estimated value at only 93 % of issue price, buyers pay a 7 % premium relative to JPM’s internal model, reflecting distribution, hedging and funding costs. Sector concentration in the new Solactive US Mag 7 Index magnifies volatility; lack of interim coupons heightens opportunity cost. Credit risk is remote for an A-rated bank but non-trivial over three years. Liquidity is dealer-driven, and bid–offer spreads can be significant. Overall, the note is a trade-off between capped upside and tail-risk mitigation, suitable for tactical allocation rather than core holdings.

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: Solactive US Mag 7 Index PR Pricing Date: July 28, 2025 Observation Date: July 28, 2028 Maturity Date: August 2, 2028 Maximum Return: At least 50.00%* 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 î Index Return), subject to the Maximum Return 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 î 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: 48136FLH3 Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/48136FLH3/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 $930.00 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 t he credit risk of JPMorgan Chase & Co., as guarantor of the notes. * The actual Maximum Return will be provided in the pricing supplement and will not be less than 50.00%. ** Reflects a Maximum Return equal to the minimum Maximum Return 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 maturit y p er $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 b e a ssociated with any sale in the secondary market. If these fees and expenses were included, the hypothetical returns shown above would l ike ly be lower. J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com 3y MAG Capped Barrier Notes H North America Structured Investments Hypothetical Total Returns** Total Return on the Notes Index Return Final Value 50.00% 80.00% 180.00 50.00% 65.00% 165.00 50.00% 50.00% 150.00 40.00% 40.00% 140.00 20.00% 20.00% 120.00 10.00% 10.00% 110.00 5.00% 5.00% 105.00 1.00% 1.00% 101.00 0.00% 0.00% 100.00 0.00% - 5.00% 95.00 0.00% - 10.00% 90.00 0.00% - 20.00% 80.00 0.00% - 30.00% 70.00 - 30.01% - 30.01% 69.99 - 40.00% - 40.00% 60.00 - 50.00% - 50.00% 50.00 - 60.00% - 60.00% 40.00 - 80.00% - 80.00% 20.00 - 100.00% - 100.00% 0.00

 

 

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. • Your maximum gain on the notes is limited to the Maximum Return. • 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, dividend payments or voting rights. • The notes are subject to risks associated with the technology sector. • Concentration risks associated with the Index may adversely affect the value of your notes. • The Index was established on March 21, 2024 and may perform in unanticipated ways. • The components of the Index are not expected to change during the term of the notes, and are limited in number. • Hypothetical back - tested data relating to the Index do not represent actual historical data and are subject to inherent limitations. 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 pr osp ectus) 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 JPM organ 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 the se 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 participat ing in the this offering will arrange to send you the prospectus and each prospectus supplement, as well as any product 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 o f 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 Cha se & 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 the se 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 prod uct supplement, Annex A to the prospectus addendum and “Selected Risk Considerations” in the applicable preliminary pricing supplement for additional information. 3y MAG Capped Barrier Notes

 

 

FAQ

What is the maximum return on JPMorgan's 3-year MAG Capped Barrier Notes?

The Maximum Return will be set on 28 Jul 2025 and will be no less than 50 % of the $1,000 principal.

How does the 70 % barrier work at maturity?

If the Solactive US Mag 7 Index closes below 70 % of its Initial Value on 28 Jul 2028, investors lose principal in line with the index decline.

When will investors receive payment on the notes?

The Maturity Date is 2 Aug 2028; payment is made shortly thereafter based on the final index level and note terms.

What credit risks affect these notes?

All payments depend on the senior unsecured obligations of JPMorgan Chase Financial Company LLC and its guarantor JPMorgan Chase & Co..

Is there any secondary-market liquidity?

J.P. Morgan Securities intends, but is not obligated, to bid for the notes; any offer may be at a significant discount to par.

Do the notes pay interest or dividends during the term?

No. No periodic coupons or dividend passes are paid prior to maturity.