[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 2-year Capped Dual Directional Buffered Return Enhanced Notes linked equally to the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX). The notes are unsecured, senior obligations and expose investors to the credit risk of both entities.

Key economic terms

• Principal denomination: $1,000 per note
• Pricing date: 31 Jul 2025; Observation date: 02 Aug 2027; Maturity: 05 Aug 2027
• Upside leverage: 2.00× on the lesser-performing underlying when both indices finish above their initial values, subject to a Maximum Upside Return ≥ 22.50%
• Buffer: 10.00% protection on downside losses
• Dual-directional feature: If the lesser-performing index is flat or down ≤ 10%, investors receive a positive payoff equal to the absolute return of that index, effectively capping gains at 10.00% in these scenarios
• Estimated value on pricing date: ≥ $900 (90% of face), lower than the $1,000 purchase price
• CUSIP: 48136FFR8

Payout mechanics

• Both indices up: $1,000 + $1,000 × (Lesser-performing return × 2.0), capped by Maximum Upside Return
• Either index ≤ Initial and ≥ –10%: $1,000 + $1,000 × |Lesser-performing return| (effective cap 10%)
• Either index < –10%: $1,000 + $1,000 × (Lesser-performing return + 10%), leading to partial to full principal loss

Investor considerations & risks

• No interim coupon, dividend, or voting rights
• Return is capped on both the upside (≥ 22.5%) and the dual-directional feature (10%)
• Downside risk beyond the 10% buffer can result in significant loss of principal
• Secondary market is limited; J.P. Morgan Securities LLC may—but is not obliged to—provide liquidity
• Pricing includes an internal funding rate; the estimated value is below issue price, creating an upfront cost to investors
• Potential conflicts of interest as JPMorgan acts as issuer, guarantor, calculation agent, and hedger
• Complex tax treatment; investors should consult advisers

The notes may appeal to investors seeking short-term, equity-linked exposure with modest downside protection and a leveraged upside, but they carry credit, market, liquidity, and structural cap risks that can materially limit returns or erode principal.

Insights

Structured Products Analyst

TL;DR: Equity-linked note offers 2× upside and 10% buffer but caps gains and exposes buyers to JPM credit and liquidity risk.

From a product-design perspective, JPMorgan’s dual-directional structure gives investors a modest hedge on the first 10% of losses and a 2× participation when both indices rise, yet gains are constrained by (i) a hard Maximum Upside Return (≥ 22.5%) and (ii) a 10% cap when one index finishes down or flat. The exclusion of interim coupons forces total return reliance on the terminal payoff. The minimum estimated value of 90% implies roughly 1%-1.5% annualized embedded costs plus dealer margin, typical for retail-focused structured notes. Credit exposure to JPM remains investment-grade but is non-trivial over a 2-year horizon. Suitability hinges on investors accepting capped upside for limited—but not full—downside protection.

Risk Analyst

TL;DR: Product is capital-at-risk; buffer is thin, liquidity uncertain, and valuation starts 10% below purchase price.

The 10% buffer can evaporate quickly in a bear market; beyond that, losses track the weaker index one-for-one. Because the estimated value is at least $900, buyers incur an immediate mark-to-model haircut, limiting secondary-market exit prices. Liquidity is dealer-driven, giving JPM significant pricing power. Correlation risk is high: a single index breach destroys the upside leverage and triggers downside calculations. For risk-averse portfolios, these notes add concentrated issuer risk without compensation compared with direct ETF exposure plus options.

North America Structured Investments 2yr NDX/SPX Capped Dual Directional Buffered Return Enhanced Notes The following is a summary of the terms of the notes offered by the preliminary pricing supplement highlighted below. Summary of Terms Issuer: Guarantor: Minimum Denomination: Underlyings: Pricing Date: Observation Date: Maturity Date: Upside Leverage Factor: Maximum Upside Return: Buffer Amount: Payment At Maturity: JPMorgan Chase Financial Company LLC JPMorgan Chase & Co. $1,000 Nasdaq - 100 Index ® and S&P 500 ® Index July 31, 2025 August 2, 2027 August 5, 2027 2.00 At least 22.50%* 10.00% If 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), subject to the Maximum Upside Return If (i) the Final Value of one Underlying is greater than its Initial Value and the Final Value of the other Underlying is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount or (ii) the Final Value of each Underlying is equal to its Initial Value or is less than its Initial Value by up to the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 î Absolute Underlying Return of the Lesser Performing Underlying) This payout formula results in an effective cap of 10.00% on your return at maturity if the Lesser Performing Underlying Return is negative. Under these limited circumstances, your maximum payment at maturity is $1,100.00 per $1,000 principal amount note. If the Final Value of either Underlying is less than its Initial Value by more than the Buffer Amount, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + [$1,000 x (Lesser Performing Underlying Return + Buffer Amount)] If the Final Value of either Underlying is less than its Initial Value by more than the Buffer Amount, you will lose some or most of your principal amount at maturity. 48136FFR8 CUSIP: Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/48136FFR8/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, see the hyperlink above. * The actual Maximum Upside Return will be provided in the pricing supplement and will not be less than 22.50% ** Reflects Maximum Upside Return equal to the minimum set forth herein, for illustrative purposes. 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 "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 on the Notes 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. Hypothetical Returns on the Notes at Maturity** Lesser Performing Underlying Performance Note Payoff at Maturity Payment at Maturity Lesser Performing Underlying Return Total Return on the Notes Absolute Underlying Return Lesser Performing Underlying Return 22.50% N/A 65.00% 22.50% N/A 50.00% 22.50% N/A 30.00% 22.50% N/A 20.00% 22.50% N/A 11.25% 20.00% N/A 10.00% 10.00% N/A 5.00% 0.00% 0.00% 0.00% 5.00% 5.00% - 5.00% 10.00% 10.00% - 10.00% - 20.00% N/A - 30.00% - 30.00% N/A - 40.00% - 50.00% N/A - 60.00% - 70.00% N/A - 80.00% - 90.00% N/A - 100.00% J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com

North America Structured Investments 2yr NDX/SPX Capped Dual Directional Buffered Return Enhanced Notes Ɣ 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 by the Maximum Upside Return if the Lesser Performing Underlying Return is positive. Your maximum gain on the notes is limited by the Buffer Amount if the Lesser Performing Underlying Return is negative. Your payment at maturity will be determined by the Lesser Performing Underlying. You are exposed to the risk of decline in the value of each Underlying. 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. No interest payments, dividend payments or voting rights. The notes are subject to risks associated with non - U.S. securities. JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500 ® Index. As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent operations and has limited assets. Selected Risks Selected Risks (continued) Ɣ Ɣ Ɣ Ɣ Ɣ Ɣ Ɣ 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 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 indices underlie JPMorgan's Capped Dual Directional Notes?

The notes reference the Nasdaq-100 Index (NDX) and the S&P 500 Index (SPX).

How much downside protection do the notes provide?

A 10.00% buffer shields the principal only for losses up to 10%; deeper declines reduce principal dollar-for-dollar beyond the buffer.

What is the maximum potential gain on the notes?

If both indices rise, the payoff is capped by a Maximum Upside Return of at least 22.50%. If one index is flat or down ≤ 10%, gains are capped at 10%.

When do the notes mature and what is the term length?

The notes price on 31 Jul 2025 and mature on 05 Aug 2027, giving an approximate 2-year term.

Is there any secondary market for these structured notes?

J.P. Morgan Securities may offer to buy the notes, but is not obligated to provide liquidity, and resale values could be significantly below face.

Does the estimated value differ from the purchase price?

Yes. The estimated value will be ≥ $900 per $1,000 note on the pricing date, lower than the initial $1,000 issue price.