JPMorgan (AMJB) updates S&P Global 100 5% Daily Risk Control index data

Rhea-AI Filing Summary

JPMorgan provides an index supplement for the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, including hypothetical backtested monthly and annual returns from November 20, 1996 through September 17, 2023 and actual index performance from September 18, 2023 through January 31, 2026.

The index applies a daily 5% volatility control and reflects both a 0.50% per annum index deduction and a notional financing cost that reduce index levels over time. The document stresses that historical and backtested performance are illustrative only and are not indicative of future results.

Key risks highlighted include the possibility that the index may not approximate its target volatility, may be significantly uninvested, and may fail to outperform or underperform its underlying index. It also notes that JPMorgan Chase & Co. is one of the companies in the underlying index and directs readers to broader risk factor discussions in related offering materials.

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Accepted by SEC EDGAR 02/11/2026 - 11:20 AM Learn about SEC filing dates

FAQ

What is the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER in the AMJB filing?

It is an index linked to the S&P Global 100 that targets 5% daily volatility and applies a 0.50% per annum deduction plus notional financing costs. The filing presents hypothetical backtested and actual performance data to illustrate how this rules-based index has behaved historically.

What time periods of performance does the AMJB index supplement cover for this JPMorgan index?

The supplement shows hypothetical backtested performance from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through January 31, 2026. These returns are presented on both monthly and annual bases to illustrate how the index methodology would have performed over time.

How does the 0.50% annual deduction affect the JPMorgan S&P Global 100 risk control index?

The index level reflects a 0.50% per annum index deduction that is applied daily, along with a notional financing cost. Together, these charges reduce the index level versus the underlying index over time, meaning long-term index returns are lower than the raw performance of the underlying basket.

What are the main risks highlighted for investors considering products linked to this AMJB index?

Key risks include that the index may not be successful, may not approximate its 5% target volatility, and can be significantly uninvested so part of it earns no return. Performance may fail to reflect underlying index gains or may magnify losses, adding structural risk to linked products.

How does JPMorgan describe the backtested performance for the S&P Global 100 risk control index?

JPMorgan states all backtested historical performance is hypothetical and based on index rules applied to historical data, sometimes using proxy constituents. They emphasize significant differences can occur between hypothetical backtests and actual results and that these simulations are not indicative of future performance or allocations.

Is JPMorgan affiliated with the underlying index for this S&P Global 100 risk control strategy?

Yes. The filing notes that JPMorgan Chase & Co. is currently one of the companies in the underlying index. This means the issuer of structured products linked to the index is also a constituent of the equity benchmark the strategy references, creating a disclosed relationship between issuer and underlying.

What additional documents should investors review alongside this AMJB index supplement?

Investors are directed to the related disclosure statement, underlying supplement, and term sheet or disclosure supplement. These materials contain detailed risk factors, selected risk considerations, and full offering terms that go beyond the high-level selected risks and illustrative performance shown in this monthly index update.

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 - IV dated October 20, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated February 9, 2026 Rule 424(b)(3) FEBRUARY 2026 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 0.22% - 0.80% 0.58% 1996 7.12% 0.31% 0.61% - 2.42% 2.02% - 2.76% 2.43% 2.14% 1.10% 2.17% - 1.05% 0.16% 2.36% 1997 5.98% 1.46% 1.80% 1.55% 0.19% - 4.50% - 0.06% 1.06% - 0.40% 0.40% 1.49% 2.28% 0.73% 1998 4.94% 2.00% 0.74% 1.61% - 1.16% 0.25% - 0.45% 1.38% - 1.09% 0.23% 1.39% - 1.15% 1.17% 1999 - 7.44% - 0.07% - 2.02% - 0.78% - 2.69% 0.87% - 0.92% 0.81% - 0.55% - 1.38% 1.89% - 0.33% - 2.42% 2000 - 7.85% 0.14% 1.39% 0.36% - 2.89% - 1.85% - 0.82% - 0.89% - 0.82% 1.55% - 1.90% - 3.22% 0.94% 2001 - 8.36% - 1.47% 1.08% 1.83% - 2.47% - 0.12% - 2.29% - 1.70% - 0.53% - 1.84% 0.75% - 0.47% - 1.39% 2002 5.88% 1.77% 0.41% 1.12% 0.16% 0.13% 0.37% 0.31% 0.91% 1.80% 0.20% - 0.47% - 0.94% 2003 1.72% 1.04% 1.30% 0.55% 0.07% 0.02% - 1.10% 0.34% 0.08% - 0.50% - 0.91% 0.36% 0.48% 2004 - 0.46% 0.25% 0.75% - 1.19% 0.75% - 0.04% 1.00% - 0.35% 0.21% - 0.96% - 1.15% 1.10% - 0.80% 2005 4.30% 0.75% 0.46% 1.22% 0.24% 0.92% 0.29% - 0.14% - 1.90% 1.35% 0.73% - 0.74% 1.09% 2006 0.73% - 0.60% - 1.42% 0.86% 1.53% - 0.15% - 1.11% - 0.07% 0.64% 2.27% 0.25% - 1.35% - 0.06% 2007 - 11.84% 0.48% - 0.51% - 1.74% - 2.65% - 0.73% - 0.33% - 3.07% - 0.57% 1.29% - 0.23% - 0.43% - 3.92% 2008 2.95% 0.11% 0.78% - 0.15% 0.65% 0.66% 1.71% - 0.21% 1.47% 1.33% 0.81% - 2.01% - 2.16% 2009 0.91% 1.56% - 1.02% 0.86% 1.73% - 0.98% 1.99% - 0.82% - 1.86% - 0.39% 1.09% 0.00% - 1.16% 2010 - 2.48% 0.13% - 0.17% 1.61% - 1.47% - 2.81% - 0.65% - 0.44% - 0.84% 1.31% - 0.48% 0.63% 0.75% 2011 1.93% 0.54% 0.03% - 0.03% 0.65% 0.35% 0.26% 1.33% - 2.47% - 0.56% 0.22% 0.80% 0.85% 2012 5.52% 0.45% 0.68% 1.21% 1.30% - 1.02% 1.37% - 1.12% 0.12% 0.95% 0.32% - 0.30% 1.46% 2013 - 0.91% - 1.47% 0.86% - 0.35% - 0.79% 0.67% - 0.69% 0.20% - 0.01% 0.73% 0.11% 1.53% - 1.63% 2014 - 3.55% - 0.89% - 0.38% 2.40% - 0.73% - 3.75% 0.64% - 1.42% - 0.40% 1.03% - 0.89% 2.11% - 1.19% 2015 0.25% 1.33% 0.14% - 0.42% - 0.02% 0.04% 0.86% - 1.10% 0.13% 0.06% 1.86% - 0.59% - 1.97% 2016 7.46% 0.47% 0.53% 1.38% 0.80% 0.03% 0.84% - 0.25% 0.95% 0.49% 0.59% 1.07% 0.34% 2017 - 4.21% - 2.32% 0.06% - 2.95% 0.25% 0.39% 1.79% - 0.11% - 0.06% 0.14% - 1.13% - 2.51% 2.29% 2018 7.24% 1.62% 0.86% 0.91% 0.94% - 1.39% 0.08% 2.46% - 2.78% 1.32% 0.76% 0.82% 1.51% 2019 2.33% 1.08% 2.18% - 0.78% - 1.25% 1.62% 0.93% 0.72% 0.57% 1.06% - 0.85% - 2.94% 0.08% 2020 5.44% 1.30% - 0.28% 1.70% - 1.37% 0.66% 0.58% 0.58% 0.14% 1.16% 0.69% 0.29% - 0.10% 2021 - 6.35% - 1.31% 1.33% 1.54% - 2.31% - 1.43% 1.91% - 2.22% - 0.16% - 2.27% 0.24% - 0.84% - 0.89% 2022 4.61% 0.88% 2.30% - 0.70% - 1.54% - 0.69% 0.54% 1.34% - 0.22% 0.86% 1.37% - 0.92% 1.36% 2023 4.39% 0.08% 0.83% - 0.75% 0.04% - 0.37% - 0.32% 1.32% 1.79% - 1.02% 0.95% 1.32% 0.47% 2024 2.98% - 0.07% 0.07% 1.39% 1.19% 0.65% 0.89% 1.41% 1.43% - 1.93% - 2.01% - 0.31% 0.30% 2025 0.44% 0.44% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance using the performance of the Constituent from November 20, 1996 through September 17, 2023 (labeled “Backtested” in the chart above); and actual performance from September 18, 2023 through January 31, 2026 (labeled “Actual” in the chart above). 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.

FEBRUARY 2026 | S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Selected Risks  The level of the Index reflects a 0.50% per annum index deduction and the deduction of a notional financing cost, both of which are deducted daily.  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  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 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 .