S&P 500 Daily Risk Control 10% Index (AMJB) March 2026 return update

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides an index supplement and prospectus updates presenting hypothetical backtested returns from December 31, 1998 through May 12, 2009 and actual index performance from May 13, 2009 through February 28, 2026 for the S&P 500® Daily Risk Control 10% Index. The materials include monthly and annual return tables, disclose that backtests use proxies and that the Index targets a 10% volatility, and warn that past and backtested performance are not indicative of future results.

The supplement lists selected risks, including that the Index may not meet the 10% target, may be uninvested at times, and reflects a deducted notional financing cost; it also notes a recent change to the financing-cost methodology.

Insights

Index Strategist

Backtested and actual returns are presented with explicit volatility targeting.

The supplement provides monthly and annual return series covering hypothetical backtests to May 12, 2009 and actual index levels to February 28, 202610% volatility and that returns reflect a notional financing cost.

Key dependencies include the recently changed financing-cost methodology and daily rebalancing rules; both can materially alter realized tracking to the underlying. Subsequent offering documents will govern if inconsistent.

Quantitative Analyst

Backtest methodology and proxy use create meaningful divergence risk between hypothetical and realized results.

The materials state backtested returns were generated using proxies and current index methodology; the supplement cautions that proxies and alternative simulations may produce materially different outcomes and that hypothetical levels were not third‑party verified.

Analytical attention should focus on the financing-cost calculation change and daily exposure adjustments, both disclosed here as factors that may affect realized volatility and returns; timing and magnitude of effects require further detail in disclosure supplements.

Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus adden dum dated June 3, 2024, the product supplement no. 3 - I dated April 13, 2023 and the underlying supplement no. 2 - II dated April 18, 2 023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated March 9, 2026 Rule 424(b)(3) Hypothetical and Actual Historical Monthly and Annual Returnsþÿ   Backtested using proxies   Backtested   Actual Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 1999 1.83% - 1.61% 1.71% 1.74% - 1.48% 2.77% - 2.27% - 0.40% - 1.78% 2.81% 0.65% 3.22% 7.20% 2000 - 3.51% - 1.06% 3.83% - 1.68% - 0.80% 0.71% - 1.18% 3.03% - 3.86% - 1.52% - 3.96% 0.09% - 9.78% 2001 1.09% - 4.61% - 3.37% 2.43% 0.06% - 1.30% - 0.71% - 3.85% - 5.26% 0.40% 3.26% 0.42% - 11.25% 2002 - 0.98% - 1.32% 1.90% - 3.79% - 0.61% - 3.55% - 4.33% 0.14% - 3.53% 2.58% 1.87% - 2.17% - 13.23% 2003 - 1.13% - 0.59% 0.67% 3.35% 2.45% 0.58% 0.94% 1.27% - 0.85% 3.77% 0.63% 4.27% 16.28% 2004 1.48% 1.18% - 1.95% - 1.37% 1.14% 1.59% - 3.25% - 0.27% 0.77% 1.36% 3.32% 3.03% 7.05% 2005 - 2.68% 1.92% - 2.00% - 2.27% 2.10% - 0.31% 3.41% - 1.29% 0.50% - 2.65% 2.68% - 0.49% - 1.32% 2006 2.27% - 0.06% 0.92% 1.13% - 3.58% - 0.16% 0.03% 1.62% 2.09% 2.97% 1.75% 1.11% 10.39% 2007 1.25% - 3.29% 0.34% 3.20% 2.82% - 2.01% - 2.49% 0.78% 1.69% 0.60% - 3.01% - 0.43% - 0.82% 2008 - 3.49% - 1.64% - 0.18% 1.84% 0.47% - 4.69% - 0.62% 0.54% - 3.38% - 3.33% - 0.85% 0.36% - 14.18% 2009 - 1.58% - 2.35% 2.02% 2.14% 1.52% 0.02% 2.81% 1.50% 1.78% - 1.16% 3.02% 1.10% 11.17% 2010 - 2.49% 1.57% 3.80% 1.33% - 3.89% - 2.30% 2.90% - 2.23% 4.36% 2.12% 0.02% 4.44% 9.53% 2011 1.92% 2.84% - 0.34% 2.39% - 0.94% - 1.81% - 1.38% - 6.26% - 2.09% 3.42% 0.14% 0.41% - 2.09% 2012 1.78% 2.24% 2.18% - 0.48% - 4.47% 2.13% 1.03% 1.44% 1.96% - 1.69% 0.08% 0.81% 7.00% 2013 4.19% 1.16% 3.14% 1.10% 1.74% - 1.17% 3.43% - 2.72% 2.80% 3.82% 2.74% 2.51% 24.98% 2014 - 3.43% 2.90% 0.76% 0.21% 2.21% 2.16% - 1.69% 3.96% - 1.61% 0.41% 2.01% - 0.61% 7.26% 2015 - 2.00% 3.64% - 1.26% 0.62% 1.05% - 1.88% 1.83% - 7.43% - 0.96% 3.95% 0.17% - 1.06% - 3.77% 2016 - 3.27% 0.03% 3.54% 0.11% 1.41% - 1.02% 2.07% 0.03% - 0.55% - 1.68% 3.56% 1.94% 6.12% 2017 2.09% 5.15% 0.11% 1.36% 1.38% 0.53% 2.48% - 0.04% 2.54% 3.27% 4.47% 1.52% 27.73% 2018 8.04% - 4.88% - 1.68% 0.10% 1.26% 0.07% 2.92% 3.10% 0.55% - 7.88% 0.93% - 4.72% - 3.13% 2019 3.02% 1.49% 1.12% 2.76% - 5.33% 5.14% 0.90% - 2.43% 0.79% 1.34% 2.90% 2.86% 15.11% 2020 - 0.05% - 5.99% - 2.33% 1.85% 1.07% 0.49% 1.65% 2.82% - 1.82% - 1.44% 4.89% 2.14% 2.86% 2021 - 0.78% 1.51% 2.67% 3.43% 0.46% 1.89% 2.05% 2.83% - 4.56% 5.24% - 0.99% 2.74% 17.39% 2022 - 3.69% - 1.46% 1.50% - 4.28% - 0.03% - 3.18% 3.47% - 2.00% - 4.05% 3.22% 2.15% - 2.46% - 10.69% 2023 2.71% - 1.48% 1.79% 0.79% 0.05% 4.41% 2.31% - 1.92% - 4.47% - 2.22% 6.09% 3.42% 11.54% 2024 1.10% 4.32% 2.40% - 4.11% 3.48% 2.88% 0.51% - 0.26% 1.07% - 1.15% 4.43% - 2.32% 12.63% 2025 1.58% - 1.34% - 4.27% - 3.12% 1.77% 1.99% 0.94% 1.10% 2.56% 1.40% - 0.15% - 0.24% 1.98% 2026 0.93% - 0.79% 0.14% Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from December 31, 1998 through Ma y 1 2, 2009 and the actual performance of the Index from May 13, 2009 through February 28, 2026. Please see “Use of hypothetical backtested returns” at the end of this presentation for additional informa tio n related to backtesting. Except as noted above and in the sections entitled “Use of hypothetical backtested returns” at the end of this document, the hyp othetical monthly and annual returns set forth above were determined using the methodology currently used to calculate the Index. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE R ESU LTS. MARCH 2026 S&P 500® Daily Risk Control 10% Index

MARCH 2026 | S&P 500® Daily Risk Control 10% Index Selected Risks þÿ JPMorgan Chase & Co. is currently one of the companies that make up the underlying index þÿ The Index may not be successful and may not outperform or underperform the underlying index þÿ The Index may not approximate its target volatility of 10% þÿ The daily adjustment of the exposure of the Index to the underlying index may cause the Index not to reflect fully any apprec iat ion of the underlying index or to magnify any depreciation of the underlying index þÿ The Index may be significantly uninvested, which will result in a portion of the Index reflecting no return þÿ The level of the Index reflects the deduction of a notional financing cost þÿ The Index’s methodology for calculating the notional financing cost was recently changed The risks identified above are not exhaustive. You should also review carefully the related “Risk Factors” section in the rel eva nt disclosure statement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or disclosure supplement. Disclaimer Important Information The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. All information herein is s ubj ect to change without notice, however, J.P. Morgan undertakes no duty to update this information. In the event of any inconsistency between the information presented herein and any offering document s, the offering documents shall govern. Use of hypothetical backtested returns Any backtested historical performance information included herein is hypothetical. The constituents and proxy constituents ma y n ot have traded together in the manner shown in the hypothetical backtest of the Index included herein, and no representation is being made that the Index will achieve similar performance. T her e are frequently significant differences between hypothetical backtested performance and actual subsequent performance. The use of alternative “proxy” information may create additional differences b etw een hypothetical backtested and actual performance and allocations. The results obtained from backtesting information should not be considered indicative of the actual results that might be obt ain ed from an investment or participation in a financial instrument or transaction referencing the Index. J.P. Morgan provides no assurance or guarantee that investments linked to the Index will o per ate or would have operated in the past in a manner consistent with these materials. The hypothetical historical levels presented herein have not been verified by an independent third party, an d s uch hypothetical historical levels have inherent limitations. Alternative simulations, techniques, modeling or assumptions might produce significantly different results and prove to be more appropria te. Actual results will vary, perhaps materially, from the hypothetical backtested returns and allocations presented in this document. HISTORICAL AND BACKTESTED PERFORMANCE AND ALLOCATIONS ARE NOT IND ICATIVE OF FUTURE RESULTS. Investment suitability must be determined individually for each investor, and investments linked to the Index may not be suit abl e for all investors. This material is not a product of J.P. Morgan Research Departments. Copyright © 2026 JPMorgan Chase & Co. All rights reserved. For additional regulatory disclosures, please consult: www.jpmorgan.com/disclosures. Information contained on this website is not incorporated by reference in, and should not be considered part of, this document. This monthly update document replaces and sup ersedes all prior written materials of this type previously provided with respect to the Index.

FAQ

What period do the AMJB index returns cover?

The supplement covers hypothetical backtested returns from December 31, 1998 through May 12, 2009, and actual index performance from May 13, 2009 through February 28, 2026 as stated in the materials.

Does the Index target a specific volatility level?

Yes, the document states the Index targets a 10% volatility level. It also notes the Index may not achieve that target due to daily adjustments and methodology effects.

Are the historical returns audited or independently verified?

No; the supplement states the hypothetical historical levels have not been verified by an independent third party and that backtested results have inherent limitations and may differ materially from actual performance.

What methodological changes are disclosed that could affect returns?

The materials disclose a recent change to the Index's notional financing-cost methodology and note daily exposure adjustments; both are identified as factors that can affect how the Index reflects appreciation or depreciation.

Do the materials warn about reliance on backtested performance?

Yes, the supplement explicitly warns that backtested and past performance are not indicative of future results and cautions that using proxies may create additional differences between backtested and actual allocations.