JPMorgan (AMJB) updates S&P 500 Daily Risk Control 10% Index returns

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides a February 2026 update on the S&P 500 Daily Risk Control 10% Index, which dynamically shifts between the S&P 500 and a cash component to target 10% volatility and is calculated on an excess return basis.

For the period from January 2016 through January 2026, the Index shows a 10-year annualized return of 8.10% with 10.06% annualized volatility and a Sharpe Ratio of 0.80. Comparative hypothetical and actual data are given for Domestic and Global 30/70 excess-return portfolios, which exhibit different return and risk profiles.

The update highlights key risks, including that the Index may not approximate its 10% volatility target, can be significantly uninvested, and reflects a notional financing cost. All performance data are partly hypothetical, and the materials stress that past and backtested performance are not indicative of future results.

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 February 9, 2026 Rule 424(b)(3) FEBRUARY 2026 S&P 500® Daily Risk Control 10% Index The “Domestic 70/30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70%/30% weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U.S. Aggregate Bond Total Return Index. The “Global 70/30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70%/30% weighted e xposure to the MSCI ACWI Net Total Return Index and the Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD (a global investment - grade bond index). Each notional portfolio is calcul ated on an excess return basis, i.e., net of a notional financing cost deduction equal to the return of the J.P. Morgan Cash Index USD 3 Month, which tracks the return of a notional 3 - month U.S. dollar time deposit. Weights within these notional portfolios are intended to approximate the average weights within the Index, but will not correspond to historical or future weights within the Index. The notional portfolios t rac k assets that differ from those tracked by the Index and are not rebalanced on the same schedule as the Index. All performance data for the Domestic 70/30 Portfolio (ER) and the Global 70/30 Portfolio (ER) is hypo the tical and there is no guarantee that the Index will outperform either one, or any other benchmark or index, in the future. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. Pl eas e see the Disclaimer on the following page PERFORMANCE UPDATE The S&P 500® Daily Risk Control 10% Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 10% level of volatility. Volatility is calculated as a function of historical returns that uses exponential weightings to give more significance to recent observations. S&P Risk Control Indices use an overlay designed to maintain risk at a predefined level — in this case, up to 10% volatility. The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 10% target by moving a portion of the portfolio allocation from the underlying index to cash in volatile markets and from cash to the underlying index in less volatile markets. The Index is calculated on an excess return basis. The Index was established on May 13, 2009. Levels are published on Bloomberg using the ticker SPXT10UE. Hypothetical and actual historical performance: Jan 2016 through Jan 2026 S&P 500® Daily Risk Control 10% Index Domestic 30/70Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: Jan 2016 through Jan 2026 1 Year Return 3 Year Return (Annualized) 5 Year Return (Annualized) 10 Year Return (Annualized) 10 Year Volatility (Annualized) Sharpe Ratio S&P 500 Daily Risk Control 10% Excess Return (USD) Index 1.33% 7.98% 6.44% 8.10% 10.06% 0.80 Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 7.99% 9.69% 6.76% 8.69% 12.65% 0.69 Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) 12.07% 8.21% 4.21% 6.58% 10.59% 0.62 Hypothetical and actual historical monthly weights: Jan 2016 through Jan 2026 Exposure Level 0% 50% 100% 150% Jan - 16 Jan - 17 Jan - 18 Jan - 19 Jan - 20 Jan - 21 Jan - 22 Jan - 23 Jan - 24 Jan - 25 Jan - 26 Hypothetical and actual historical monthly and annual returns: Jan 2017 through Jan 2026 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 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% 0.93%

FEBRUARY 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 pro spe ctus supplement and the relevant product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant pricing supplement. Disclaimer 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. These terms are subject to cha nge, and J.P. Morgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet and/or disclosure supplement, a nd the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet and/or disclosure supplement, such term sheet and/or disclos ure supplement shall govern. The 10 Year Volatility (Annualized) on the previous page is a measure of market risk, calculated as of the square root of two hu ndred and fifty - two (252) multiplied by the sample standard deviation of the daily logarithmic returns of each applicable index or portfolio (considering only days for which levels are available for all three) over the preceding 10 years. The Sharpe Ratio on the previous page is a measure of risk - adjusted performance, calculated as the 10 Year Return (Annualized) d ivided by the 10 Year Volatility (Annualized). Investment suitability must be determined individually for each investor, and CDnotes linked to the Index may not be suitable fo r 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 is the S&P 500 Daily Risk Control 10% Index in the AMJB filing?

The S&P 500 Daily Risk Control 10% Index dynamically allocates between the S&P 500 and a cash component to target 10% volatility. It is calculated on an excess return basis and adjusts exposure daily based on recent market volatility.

How did the S&P 500 Daily Risk Control 10% Index perform over 10 years?

Over the period from January 2016 through January 2026, the Index shows a 10-year annualized return of 8.10%. Its 10-year annualized volatility was 10.06%, producing a Sharpe Ratio of 0.80, indicating its risk-adjusted return over that timeframe.

How does the Index compare with the Domestic 30/70 Portfolio (ER) in AMJB materials?

The Domestic 30/70 Portfolio (ER) shows a 10-year annualized return of 8.69% with 12.65% annualized volatility and a Sharpe Ratio of 0.69. By comparison, the Index has slightly lower return but also lower volatility and a higher Sharpe Ratio of 0.80.

What are key risks of the S&P 500 Daily Risk Control 10% Index for AMJB investors?

Key risks include the Index potentially failing to meet its 10% volatility target, underperforming the underlying S&P 500, and sometimes being significantly uninvested. Returns also reflect a notional financing cost deduction, which reduces index levels over time.

What does excess return basis mean in the AMJB index disclosure?

An excess return index reflects performance after subtracting a notional financing cost. Here, the S&P 500 Daily Risk Control 10% Index and the notional portfolios deduct a cost linked to the J.P. Morgan Cash Index USD 3 Month, reducing reported index returns.

Are the portfolio performance figures in the AMJB index update hypothetical?

Yes. The Domestic 70/30 and Global 70/30 notional portfolios and other portfolio data include hypothetical performance. The materials emphasize that both hypothetical and actual historical results are illustrative and that past and backtested performance are not indicative of future outcomes.