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

Rhea-AI Filing Summary

J.P. Morgan Chase Financial Company LLC is offering 2.5-year, non-call 6-month, Auto-Callable Contingent Interest Notes linked equally to the Nasdaq-100 (NDX), Russell 2000 (RTY) and S&P 500 (SPX) indices. The notes are issued in $1,000 denominations (CUSIP 48136EU94) and pay a contingent monthly coupon of 8.00%-10.00% p.a. (0.66667%-0.83333% per month) only if the closing level of every underlying is at or above its Interest Barrier (80 % of initial) on the relevant review date.

An automatic call feature is assessed monthly beginning month 7; if all three indices are at or above initial levels on any call-eligible date, investors receive par plus the current coupon and the note terminates early. If the note is not called, final redemption depends on a Trigger Barrier set at 70 % of initial. Provided each index closes at or above its trigger on the final review date, investors receive par plus the final coupon. If any index finishes below its trigger, principal is reduced one-for-one with the decline of the worst performer, exposing investors to up to 100 % capital loss.

The preliminary estimated value will be <$900 per $1,000 note, reflecting J.P. Morgan’s internal funding rate, and secondary market liquidity is uncertain as JPMS is not obliged to make a market. Key risks outlined include credit exposure to JPMorgan Chase Financial Company LLC and JPMorgan Chase &Co., contingent and limited coupon, early call risk, barrier event risk, potential conflicts in pricing/hedging, tax uncertainty, and market risks associated with large-cap (NDX/SPX) and small-cap (RTY) equity indices.

Positive

• Attractive headline coupon of 8-10 % per annum payable monthly, higher than current investment-grade yields.
• 30 % downside protection via the 70 % trigger barrier if held to maturity and barriers are respected.
• Monthly automatic call feature allows early principal return, reducing duration in rising markets.
• Diversified underlying basket of large-cap (NDX, SPX) and small-cap (RTY) U.S. equity indices.

Negative

• Principal at risk: any index below 70 % at maturity drives a proportional loss up to 100 %.
• Contingent coupons are not guaranteed; a single barrier breach on any observation date cancels that month’s interest.
• Early call truncates income, capping total return to distributed coupons only.
• Estimated value <$900 per $1,000 note highlights high embedded fees and negative secondary pricing.
• Limited liquidity; JPMS may but is not obligated to make a market, potentially forcing sales at deep discounts.
• Exposure to JPM credit risk despite being an equity-linked note.
• Tax treatment uncertain; investors must seek individual advice.

Insights

Structured-Products Analyst

TL;DR: High coupon but conditional; 30 % protection; callable; typical JPM retail note, risk largely borne by investor.

The note targets yield-seeking investors willing to trade equity downside risk for an 8-10 % headline coupon. The 70 % trigger offers moderate protection; however, principal loss escalates quickly if any index breaches its barrier. Because coupons require all three indices to stay above 80 % on each observation, effective realized yield could be materially lower than the headline rate, especially in volatile periods. Early auto-call is likely if markets trend higher, truncating income while capping upside to distributed coupons. The sub-$900 estimated value (≈90 % of issue price) embeds distributor fees and JPM’s funding spread, creating negative carry for secondary sellers. Credit exposure to JPM remains investment-grade but is a non-trivial overlay. Overall, risk-adjusted appeal is neutral; suitable only for investors who understand barrier mechanics and are comfortable with limited liquidity.

Equity-Index Risk Specialist

TL;DR: Triple-index structure raises correlation risk; worst-of design heightens downside probability.

Linking NDX, RTY and SPX diversifies underlying drivers yet, under the worst-of payout, it increases barrier-breach likelihood. Historical drawdowns show RTY underperforms large-cap indices in stress events, meaning the 70 % trigger could be reached even if NDX and SPX remain safer. The 6-month non-call window adds some coupon visibility but leaves little time for path dependency relief. From a risk standpoint, investors are effectively short an out-of-the-money put on the worst index while being long JPM credit. Given current equity volatility and small-cap underperformance, probability-weighted outcomes skew to mid-single-digit returns with tail risk of 30-100 % loss. Hence I classify the instrument as not materially impactful to JPM’s balance sheet, but potentially hazardous to retail capital allocators.

North America Structured Investments 2.5yrNC6m NDX/RTY/SPX Auto Callable Contingent Interest Notes The following is a summary of the terms of the notes offered by the preliminary pricing supplement hyperlinked below. Summary of Terms Issuer: Guarantor: Minimum Denomination: Underlying s : Pricing Date: JPMorgan Chase Financial Company LLC JPMorgan Chase & Co. $1,000 Nasdaq - 100 Index ® , Russell 2000 ® Index and S&P 500 ® Index June 25, 2025 Contingent Interest Rate: [8.00% - 10.00%]* per annum, paid monthly at a rate of between 0.66667% and 0.83333%*, if applicable Preliminary Pricing Supplement: http://sp.jpmorgan.com/document/cusip/48136EU94/doctype/Product_Termsheet/document.pdf amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment applicable to that Review Date, payable on the applicable Call Settlement Date. No further payments will be made on the notes. Payment at Maturity If the notes have not been automatically called and the Final Value of each Underlying is greater than or equal to its Trigger Value, you will receive a cash payment at maturity, for each $1,000 principal amount note, equal to (a) $1,000 plus (b) the Contingent Interest Payment, if any, applicable to the final Review Date. If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 î Least Performing Underlying Return) If the notes have not been automatically called and the Final Value of any Underlying is less than its Trigger Value, you will lose more than 30.00% of your principal amount at maturity and could lose all of your principal amount at maturity. Capitalized terms used but not defined herein shall have the meanings set forth in the preliminary pricing supplement. 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. Hypothetical Payment at Maturity** Least Performing Underlying Return Payment at Maturity (assuming 8.00% per annum Contingent Interest Rate) $1,006.6667 60.00% December 27, 2027 December 30, 2027 Final Review Date: Maturity Date: $1,006.6667 40.00% Monthly Review Dates: $1,006.6667 20.00% With respect to each Underlying, an amount that represents 80.00% of its Initial Value Interest Barrier : $1,006.6667 5.00% With respect to each Underlying, an amount that represents 70.00% of its Initial Value 48136EU94 Trigger Value : CUSIP: 0.00% $1,006.6667 - 5.00% $1,006.6667 $1,006.6667 - 20.00% 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 more information about the estimated value of the notes, which likely will be lower than the price you paid for the notes, $1,000.0000 - 20.01% please see the hyperlink above. $1,000.0000 - 30.00% $699.9000 - 30.01% Automatic Call $600.0000 - 40.00% If on any Review Date (other than the first, second, third, fourth, fifth and final Review Dates) the closing level of each Underlying is greater than or equal to its Initial Value, the notes will be automatically called and you will receive a cash payment for each $1,000 principal $500.0000 - 50.00% $400.0000 - 60.00% $200.0000 - 80.00% $0.0000 - 100.00% J.P. Morgan Structured Investments | 1 800 576 3529 | jpm_structured_investments@jpmorgan.com This table does not demonstrate how your interest payments can vary over the term of your notes. Contingent Interest *If the notes have not been automatically called and the closing level of each Underlying on any Review Date is greater than or equal to its Interest Barrier, you will receive on the applicable Interest Payment Date for each $1,000 principal amount note a Contingent Interest Payment equal to between $6.6667 and $8.3333 (equivalent to a Contingent Interest Rate of between 8.00% and 10.00% per annum, payable at a rate of between 0.66667% and 0.83333% per month). **The hypothetical payments 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 payments shown above would likely be lower .

North America Structured Investments 2.5yrNC6m NDX/RTY/SPX Auto Callable Contingent Interest Notes Selected Risks Ɣ Ɣ Ɣ Your investment in the notes may result in a loss. The notes do not guarantee any return of principal. The notes do not guarantee the payment of interest and may not pay interest at all. 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. You are exposed to the risk of decline in the value of each Underlying. Your payment at maturity will be determined by the Least Performing Underlying. The appreciation potential of the notes is limited to the sum of any Contingent Interest Payments that may be paid over the term of the notes. The benefit provided by the Trigger Value may terminate on the final Review Date. The automatic call feature may force a potential early exit. No dividend payments or voting rights. The notes are subject to the risks associated with non - U.S. securities. JPMorgan Chase & Co. is currently one of the companies that make up the S&P 500 ® Index. The notes are subject to the risks associated with small capitalization companies. Ɣ 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. As a finance subsidiary, JPMorgan Chase Financial Company LLC has no independent operations and has limited assets. 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 is the coupon rate on JPM's 2.5-year auto-callable notes (symbol VYLD)?

The notes pay a contingent coupon of 8.00 %–10.00 % per annum, credited monthly if all three indices are above the 80 % interest barrier.

How does the 70 % trigger barrier affect principal repayment for VYLD investors?

If, on the final review date, any index closes below 70 % of its initial level, investors lose principal in line with the worst performer, up to total loss.

When can the JPM structured note be automatically called?

Beginning after six months, the note is called on any monthly review date if all indices are at or above their initial levels.

What is the estimated value versus issue price of the VYLD-linked notes?

J.P. Morgan estimates the fair value at no less than $900 per $1,000 note, below the $1,000 issue price due to fees and funding spread.

Are the coupons on these notes guaranteed like traditional bonds?

No. Coupons are paid only if the barrier condition is met; several or all coupons may be skipped in adverse markets.

Is there secondary market liquidity for these JPM Auto-Callable Notes?

JPMS may offer to buy the notes but is not obliged; resale could incur a significant discount.