JPMorgan Chase & Co. (NYSE: AMJB) details S&P 500 Risk Control index

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides a January 2026 update on the S&P 500 Daily Risk Control 5% Index, showing hypothetical and actual historical monthly and annual returns. The index uses backtested data from January 4, 1999 through September 9, 2009 and actual index performance from September 10, 2009 through December 31, 2025.

The update emphasizes that both historical and backtested performance are illustrative and not indicative of future results. It highlights that methodology uses proxies in some periods, and that alternative modeling approaches could produce very different outcomes.

Key risk points include that JPMorgan Chase & Co. is a component of the underlying S&P 500 index, the risk control index may fail to meet its 5% volatility target, may be significantly uninvested at times, and reflects a deduction for a notional financing cost whose calculation methodology was recently changed. The material stresses that investments linked to the index may not be suitable for all investors.

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Accepted by SEC EDGAR 01/13/2026 - 08:12 PM Learn about SEC filing dates

FAQ

What does JPMorgan Chase & Co. (AMJB) disclose about the S&P 500 Daily Risk Control 5% Index?

The document provides a January 2026 update on the S&P 500 Daily Risk Control 5% Index, including a table of hypothetical and actual monthly and annual returns and a summary of key risks and disclaimers for investors considering products linked to the index.

What time periods do the S&P 500 Daily Risk Control 5% Index returns cover in the AMJB materials?

The returns reflect hypothetical backtested performance from January 4, 1999 through September 9, 2009 and actual index performance from September 10, 2009 through December 31, 2025, using the index’s current calculation methodology except where noted.

How does the AMJB filing describe the risks of the S&P 500 Daily Risk Control 5% Index?

The risks highlighted include that the index may not be successful, may fail to approximate its 5% target volatility, may be significantly uninvested at times, and may not fully capture gains or may magnify losses of the underlying S&P 500. The level of the index also reflects a deducted notional financing cost.

What does the filing say about hypothetical backtested returns for the S&P 500 Daily Risk Control 5% Index?

It states that all backtested historical performance is hypothetical, may rely on proxy constituents, and often differs significantly from actual future results. It notes that alternative simulations or assumptions could generate very different outcomes and that these hypothetical levels have not been verified by an independent third party.

Is past performance of the S&P 500 Daily Risk Control 5% Index considered a reliable indicator of future results?

No. The materials repeatedly state that historical and backtested performance and allocations are not indicative of future results and that there is no assurance that any indicative returns or performance will be achieved by investments linked to the index.

What conflicts or relationships are highlighted for JPMorgan Chase & Co. in relation to the index?

The document notes that JPMorgan Chase & Co. is currently one of the companies that make up the underlying S&P 500 index, which means the issuer of products linked to the S&P 500 Daily Risk Control 5% Index is also a component of the underlying benchmark.

Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus addendum dated June 3, 2024, the product supplement no. 3 - I dated April 13, 2023 and the underlying supplement no. 2 - II dated April 18, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated January 13, 2026 Rule 424(b)(3) JANUARY 2026 S&P 500® Daily Risk Control 5% Index Hypothetical and Actual Historical Monthly and Annual Returns  Backtested using proxies  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 3.69% 1.61% 0.33% 1.41% - 0.88% - 0.19% - 1.14% 1.39% - 0.74% 0.88% 0.86% - 0.80% 0.95% 1999 - 4.88% 0.06% - 1.99% - 0.74% - 1.94% 1.50% - 0.59% 0.36% - 0.40% - 0.82% 1.91% - 0.52% - 1.76% 2000 - 5.69% 0.22% 1.62% 0.21% - 2.65% - 1.93% - 0.34% - 0.65% 0.03% 1.23% - 1.68% - 2.33% 0.55% 2001 - 6.72% - 1.08% 0.94% 1.29% - 1.78% 0.08% - 2.16% - 1.77% - 0.30% - 1.91% 0.96% - 0.66% - 0.47% 2002 7.94% 2.13% 0.32% 1.87% - 0.41% 0.65% 0.47% 0.29% 1.23% 1.66% 0.35% - 0.29% - 0.55% 2003 3.59% 1.52% 1.66% 0.69% 0.40% - 0.13% - 1.63% 0.80% 0.58% - 0.68% - 0.96% 0.59% 0.75% 2004 - 0.55% - 0.24% 1.33% - 1.31% 0.26% - 0.64% 1.71% - 0.15% 1.05% - 1.13% - 0.98% 0.96% - 1.34% 2005 5.19% 0.56% 0.88% 1.48% 1.05% 0.81% 0.02% - 0.06% - 1.79% 0.57% 0.47% - 0.02% 1.14% 2006 - 0.26% - 0.22% - 1.50% 0.31% 0.84% 0.40% - 1.24% - 0.99% 1.41% 1.59% 0.19% - 1.63% 0.63% 2007 - 7.21% 0.18% - 0.41% - 1.66% - 1.67% 0.29% - 0.30% - 2.37% 0.25% 0.91% - 0.07% - 0.81% - 1.74% 2008 5.53% 0.56% 1.50% - 0.56% 0.89% 0.76% 1.39% 0.02% 0.76% 1.06% 1.02% - 1.18% - 0.79% 2009 4.77% 2.19% 0.02% 1.05% 2.16% - 1.12% 1.45% - 1.15% - 1.94% 0.68% 1.89% 0.80% - 1.25% 2010 - 0.89% 0.21% 0.08% 1.70% - 1.05% - 3.13% - 0.68% - 0.90% - 0.46% 1.19% - 0.15% 1.42% 0.96% 2011 3.55% 0.41% 0.06% - 0.84% 0.98% 0.72% 0.53% 1.07% - 2.25% - 0.24% 1.10% 1.12% 0.88% 2012 11.93% 1.27% 1.36% 1.91% 1.40% - 1.36% 1.70% - 0.57% 0.88% 0.57% 1.56% 0.59% 2.07% 2013 3.71% - 0.28% 1.00% 0.23% - 0.80% 1.97% - 0.84% 1.08% 1.10% 0.12% 0.39% 1.45% - 1.72% 2014 - 1.76% - 0.52% 0.08% 1.96% - 0.47% - 3.74% 0.92% - 0.94% 0.54% 0.31% - 0.63% 1.81% - 0.99% 2015 3.13% 0.97% 1.78% - 0.84% - 0.26% 0.02% 1.03% - 0.48% 0.71% 0.06% 1.76% 0.03% - 1.64% 2016 13.54% 0.81% 2.50% 1.68% 1.26% - 0.01% 1.24% 0.27% 0.70% 0.68% 0.07% 2.55% 1.05% 2017 - 1.26% - 2.37% 0.47% - 3.98% 0.28% 1.54% 1.45% 0.04% 0.63% 0.06% - 0.83% - 2.42% 4.10% 2018 7.39% 1.43% 1.45% 0.68% 0.39% - 1.19% 0.46% 2.55% - 2.69% 1.38% 0.56% 0.74% 1.50% 2019 1.56% 1.06% 2.43% - 0.72% - 0.90% 1.40% 0.82% 0.25% 0.53% 0.93% - 1.13% - 3.00% - 0.01% 2020 8.49% 1.38% - 0.48% 2.60% - 2.29% 1.41% 1.03% 0.94% 0.24% 1.71% 1.34% 0.76% - 0.37% 2021 - 5.37% - 1.22% 1.08% 1.61% - 2.04% - 0.99% 1.72% - 1.59% 0.00% - 2.15% 0.76% - 0.72% - 1.85% 2022 5.71% 1.71% 3.01% - 1.11% - 2.25% - 0.95% 1.15% 2.19% 0.04% 0.40% 0.90% - 0.74% 1.35% 2023 6.27% - 1.15% 2.20% - 0.57% 0.54% - 0.11% 0.28% 1.43% 1.73% - 2.06% 1.20% 2.15% 0.55% 2024 1.11% - 0.11% - 0.07% 0.71% 1.28% 0.55% 0.47% 0.99% 0.89% - 1.54% - 2.14% - 0.66% 0.80% 2025 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from January 4, 1999 through September 9, 2009 and the actual performance of the Index from September 10, 2009 through December 31, 2025. Please see “Use of hypothetical backtested returns” at the end of this presentation for additional information related to backtesting. Except as noted above and in the sections entitled “Use of hypothetical backtested returns” at the end of this document, the hypothetical 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 RESULTS.

JANUARY 2026 | S&P 500® Daily Risk Control 5% Index Selected Risks  JPMorgan Chase & Co. is currently one of the companies that make up the underlying index  The Index may not be successful and may not outperform or underperform the underlying index  The Index may not approximate its target volatility of 5%  The daily adjustment of the exposure of the Index to the underlying index may cause the Index not to reflect fully any appreciation of the underlying index or to magnify any depreciation of the underlying index  The Index may be significantly uninvested, which will result in a portion of the Index reflecting no return  The level of the Index reflects the deduction of a notional financing cost  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 relevant 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 subject 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 otfering documents, the otfering documents shall govern . Use of hypothetical backtested returns Any backtested historical performance information included herein is hypothetical . The constituents and proxy constituents may not 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 . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The use of alternative “proxy” information may create additional ditferences between 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 obtained 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 operate 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, and such hypothetical historical levels have inherent limitations . Alternative simulations, techniques, modeling or assumptions might produce significantly ditferent results and prove to be more appropriate . 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 INDICATIVE OF FUTURE RESULTS . Investment suitability must be determined individually for each investor, and investments linked to the Index may not be suitable 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 supersedes all prior written materials of this type previously provided with respect to the Index .