JPMorgan (AMJB) details S&P 500 5% Daily Risk Control Index update

Rhea-AI Filing Summary

JPMorgan provides a February 2026 performance update for the S&P 500® Daily Risk Control 5% Index, which targets 5% volatility by dynamically shifting between the S&P 500 and a cash component that accrues interest. The index is calculated on an excess return basis and was established on September 10, 2009.

The update compares hypothetical and actual performance from January 2016 through January 2026 against two notional excess return benchmarks, a Domestic 30/70 Portfolio and a Global 30/70 Portfolio, and shows monthly and annual returns. It highlights that all portfolio data is hypothetical, emphasizes that past and backtested performance are not indicative of future results, and outlines selected risks, including tracking, methodology and notional financing cost risks.

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 February 9, 2026 Rule 424(b)(3) FEBRUARY 2026 S&P 500® Daily Risk Control 5% Index The “Domestic 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % 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 30 / 70 Portfolio (ER) and the Global 30 / 70 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 5 % Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 5 % 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 5 % volatility . The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 5 % 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 September 10, 2009. Levels are published on Bloomberg using the ticker SPXT5UE. Hypothetical and actual historical performance: Jan 2016 through Jan 2026 S&P 500® Daily Risk Control 5% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: Jan 2016 through Jan 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.82 5.04% 4.15% 3.30% 4.04% 0.79% S&P 500 Daily Risk Control 5% Excess Return (USD) Index 0.53 6.32% 3.33% 0.86% 3.04% 4.36% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.34 6.17% 2.09% - 1.12% 2.16% 6.99% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Exposure Level Hypothetical and actual historical monthly weights: Jan 2016 through Jan 2026 100% 0% 50% Ja n - 16 Ja n - 17 Ja n - 18 Ja n - 19 Ja n - 20 Ja n - 21 Ja n - 22 Ja n - 23 Ja n - 24 Ja n - 25 Ja n - 26 Hypothetical and actual historical monthly and annual returns: Jan 2017 through Jan 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 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 0.48% 0.48% 2026

FEBRUARY 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 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 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 .

FAQ

What is the S&P 500 Daily Risk Control 5% Index described for AMJB?

The S&P 500 Daily Risk Control 5% Index is a portfolio combining the S&P 500 and a cash component, dynamically adjusted to target 5% volatility. Volatility is estimated from exponentially weighted historical returns, allowing exposure to shift between equities and cash as market conditions change.

How does the 5% volatility target work in the S&P 500 Daily Risk Control 5% Index?

The index applies a risk control overlay to maintain volatility around 5%. When measured volatility rises, a portion of exposure moves from the S&P 500 to cash; when volatility falls, exposure shifts back toward the S&P 500, seeking a more stable risk profile over time.

What are the Domestic 30/70 Portfolio (ER) and Global 30/70 Portfolio (ER) in the AMJB filing?

The Domestic 30/70 Portfolio (ER) is a notional, monthly rebalanced 30% S&P 500 Total Return and 70% Bloomberg Barclays U.S. Aggregate Bond Total Return mix. The Global 30/70 Portfolio (ER) uses 30% MSCI ACWI and 70% Bloomberg Barclays Global Aggregate bonds. Both are calculated on an excess return basis.

What performance period does the AMJB S&P 500 Daily Risk Control 5% Index update cover?

The update presents hypothetical and actual historical performance for the S&P 500 Daily Risk Control 5% Index and the two 30/70 notional portfolios from January 2016 through January 2026. It includes annualized returns, annualized 10-year volatility, Sharpe ratios, and detailed monthly and yearly return tables.

What key risks are highlighted for the S&P 500 Daily Risk Control 5% Index in the AMJB document?

Highlighted risks include that JPMorgan Chase & Co. is in the underlying index, the index may not achieve its 5% volatility target, may underperform or fail to track the underlying index, can be significantly uninvested, and reflects a notional financing cost whose calculation methodology was recently changed.

How is excess return and notional financing cost used in the AMJB index materials?

The index and the notional 30/70 portfolios are calculated on an excess return basis. A notional financing cost equal to the return of the J.P. Morgan Cash Index USD 3 Month is deducted, representing the cost of funding a theoretical three‑month U.S. dollar time deposit position over time.

What suitability and disclaimer statements are included for AMJB investors in this index update?

The material states that investment suitability must be determined individually and that CD notes linked to the index may not suit all investors. It stresses that historical and hypothetical performance are illustrative only, may change, and are not indicative of future results, with future term sheets governing final terms.