S&P 500 Risk Control 10% Index Update and 70/30 Portfolios (AMJB)

Rhea-AI Filing Summary

The S&P 500^® Daily Risk Control 10% Index is a dynamic index that targets 10% volatility by shifting between the S&P 500 and cash; it was established on May 13, 2009 and is published on Bloomberg as SPXT10UE. The supplement describes two notional monthly‑rebalanced 70/30 portfolios — a Domestic 70/30 (S&P 500 & Bloomberg Barclays U.S. Aggregate) and a Global 70/30 (MSCI ACWI & Bloomberg Barclays Global Aggregate) — calculated on an excess return basis after a notional financing cost equal to the J.P. Morgan Cash Index USD 3 Month.

The document provides hypothetical and historical performance through Feb 2026, notes that past and backtested results do not predict future returns, and lists selected risks including potential deviation from the 10% target, significant uninvested periods, and a recent change to the methodology for the notional financing cost.

Insights

Index Strategist

Targets 10% volatility via dynamic exposure to equity and cash; history shown through Feb 2026.

The index applies a risk‑control overlay to the S&P 500 that increases cash allocation when realized volatility rises and shifts back toward equities when volatility falls. The supplement confirms the index is calculated on an excess return basis and publishes levels under SPXT10UE.

The document provides hypothetical and actual returns through Feb 2026 and warns that the index may not achieve its 10% target and can be significantly uninvested; methodology changes to the notional financing cost are disclosed and should be tracked in future disclosures.

Structured Product Specialist

Two notional 70/30 portfolios are shown for benchmarking; both are excess‑return series net of a financing deduction.

The Domestic and Global 70/30 notional portfolios are monthly‑rebalanced and include a notional financing cost equal to the J.P. Morgan Cash Index USD 3 Month. Performance data is explicitly labeled hypothetical/actual and may differ from the Index.

Investors should note the supplement flags that weights and rebalancing schedules differ from the Index and that product suitability must be assessed individually; subsequent term sheets or supplements will govern if inconsistent information appears.

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Accepted by SEC EDGAR 03/09/2026 - 09:04 PM Learn about SEC filing dates

FAQ

What is the S&P 500 Daily Risk Control 10% Index (AMJB)?

The index targets 10% volatility by dynamically shifting between the S&P 500 and cash. It is calculated on an excess return basis and published on Bloomberg under SPXT10UE.

What do the Domestic and Global 70/30 portfolios represent for AMJB?

They are notional, monthly‑rebalanced portfolios providing 70/30 equity/bond exposure: Domestic uses the S&P 500 and Bloomberg Barclays U.S. Aggregate; Global uses MSCI ACWI and Bloomberg Barclays Global Aggregate.

How recent is the performance data in this supplement for AMJB?

Performance data and hypothetical results are provided through February 2026, including historical monthly returns and summary volatility and return metrics for the period shown.

Does the index guarantee 10% volatility for AMJB products?

No. The supplement states the index may not approximate its 10% target and can be significantly uninvested, which could reduce participation in market gains or magnify losses.

What financing cost is deducted from the excess return series?

The notional financing cost equals the return of the J.P. Morgan Cash Index USD 3 Month, representing a notional 3‑month U.S. dollar time deposit deducted from returns.

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 March 9, 2026 Rule 424(b)(3) MARCH 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 exposure 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 calculated 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 track assets that ditfer 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 hypothetical 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 . Please 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: Feb 2016 through Feb 2026 S&P 500® Daily Risk Control 10% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: Feb 2016 through Feb 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.79 10.08% 8.01% 5.96% 8.23% 1.90% S&P 500 Daily Risk Control 10% Excess Return (USD) Index 0.68 12.63% 8.64% 6.36% 10.56% 8.27% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.63 10.56% 6.66% 4.16% 9.72% 13.51% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Feb 2016 through Feb 2026 Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Feb 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 27.73% 1.52% 4.47% 3.27% 2.54% - 0.04% 2.48% 0.53% 1.38% 1.36% 0.11% 5.15% 2.09% 2017 - 3.13% - 4.72% 0.93% - 7.88% 0.55% 3.10% 2.92% 0.07% 1.26% 0.10% - 1.68% - 4.88% 8.04% 2018 15.11% 2.86% 2.90% 1.34% 0.79% - 2.43% 0.90% 5.14% - 5.33% 2.76% 1.12% 1.49% 3.02% 2019 2.86% 2.14% 4.89% - 1.44% - 1.82% 2.82% 1.65% 0.49% 1.07% 1.85% - 2.33% - 5.99% - 0.05% 2020 17.39% 2.74% - 0.99% 5.24% - 4.56% 2.83% 2.05% 1.89% 0.46% 3.43% 2.67% 1.51% - 0.78% 2021 - 10.69% - 2.46% 2.15% 3.22% - 4.05% - 2.00% 3.47% - 3.18% - 0.03% - 4.28% 1.50% - 1.46% - 3.69% 2022 11.54% 3.42% 6.09% - 2.22% - 4.47% - 1.92% 2.31% 4.41% 0.05% 0.79% 1.79% - 1.48% 2.71% 2023 12.63% - 2.32% 4.43% - 1.15% 1.07% - 0.26% 0.51% 2.88% 3.48% - 4.11% 2.40% 4.32% 1.10% 2024 1.98% - 0.24% - 0.15% 1.40% 2.56% 1.10% 0.94% 1.99% 1.77% - 3.12% - 4.27% - 1.34% 1.58% 2025 0.14% - 0.79% 0.93% 2026

MARCH 2026 | S&P 500® Daily Risk Control 10% 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 10%  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 prospectus 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 change, 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, and 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 disclosure 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 hundred 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) divided 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 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 .