JPMorgan (JPM) monthly update: JPUSKRSP dynamic 50/100/150% exposure

Rhea-AI Filing Summary

JPMorgan provides a monthly performance update for the J.P. Morgan Kronos SM US Equity (JPUSKRSP) Index, a rules-based index that targets dynamic 50%, 100% or 150% exposure to the S&P 500 Price Index. The update presents hypothetical backtested performance from Apr 2016 through Apr 2026 and actual index levels since the index launch on June 11, 2021.

The Index excludes dividend reinvestment, is subject to a daily deduction equivalent to a 0.35% per annum index fee, and may include a notional financing cost tied to the Effective Federal Funds Rate. The document highlights historical returns, volatility, Sharpe ratios and monthly exposure schedules, and reiterates standard disclaimers that past and backtested performance are not indicative of future results.

Insights

Index Strategy Analyst

Dynamic exposure strategy shows mixed historical metrics; investors should weigh fee and financing mechanics.

The update documents the Kronos Index's 10-year backtested and actual performance metrics, including Sharpe ratios and annualized returns, and confirms a 0.35% per annum fee and possible notional financing tied to the Effective Federal Funds Rate. The index applies turn-of-month, option-expiry momentum, and month-end mean-reversion rules.

The strategy's results combine backtested and live periods; limitations of backtesting are stated. Subsequent term sheets and pricing supplements govern final note terms, so transaction-specific economics and investor suitability depend on those documents.

Key Figures

Index fee: 0.35% per annum Index launch date: June 11, 2021 Backtest period: Apr 2016–Apr 2026 +2 more

5 metrics

Index fee 0.35% per annum daily deduction applied to Index level

Index launch date June 11, 2021 start of actual index performance

Backtest period Apr 2016–Apr 2026 hypothetical and actual historical performance window

Example 10-year volatility 21.27% (one series shown) 10 Year Volatility (Annualized) as presented

Example Sharpe Ratio 0.79 (one series shown) 10-year Sharpe Ratio reported for a series

Key Terms

Backtesting, Notional assets and liabilities, Effective Federal Funds Rate, Turn-of-month strategy

4 terms

Backtesting financial

"Hypothetical and actual historical performance: Apr 2016 through Apr 2026"

Backtesting is the practice of applying an investment strategy or trading rule to historical market data to see how it would have performed. It matters to investors because it helps reveal strengths, weaknesses, and potential risks of a strategy before real money is at stake—like replaying past games to refine tactics—while remembering that past results do not guarantee future outcomes.

Notional assets and liabilities financial

"The Index comprises notional assets and liabilities"

Effective Federal Funds Rate financial

"notional financing cost based on the Effective Federal Funds Rate"

The effective federal funds rate is the average interest rate banks pay each other for overnight loans of reserve balances held at the central bank, calculated from actual transactions across the market. It matters to investors because it acts as a benchmark that helps set borrowing costs, loan and bond rates, and company financing expenses—like a thermostat for the price of short-term money that influences stock and bond valuations.

Turn-of-month strategy strategy

"Strong historical performance around the turn of the month"

AI-generated analysis. How Rhea-AI works. Not financial advice.

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Accepted by SEC EDGAR 05/06/2026 - 04:16 PM Learn about SEC filing dates

FAQ

What is the JPUSKRSP Index and how does it determine exposure?

The JPUSKRSP Index is a rules-based index targeting dynamic 50%/100%/150% exposure to the S&P 500 Price Index. It adjusts exposure using turn-of-month signals, option-expiry momentum, and month-end mean reversion as described in the update.

How are fees and financing costs applied to the JPUSKRSP Index?

The Index level reflects a daily deduction representing a 0.35% per annum index fee. It may also include a notional financing cost tied to the Effective Federal Funds Rate, which can affect net cash returns.

Does the JPUSKRSP Index reinvest dividends in its performance figures?

No. The Index does not reflect the reinvestment of dividends; performance shown is based on the S&P 500 Price Index for the backtested period and actual index performance after launch on June 11, 2021.

Are the performance figures in the update actual or backtested?

The update combines hypothetical backtested performance from Apr 2016 through June 10, 2021 with actual Index performance from June 11, 2021 through Apr 30, 2026. The document cautions that backtested results are not indicative of future returns.

What are the primary risks called out for notes linked to this Index (JPM)?

The update lists risks including limited operating history, strategy overlap risks (turn-of-month vs month-end), possible index adjustments by the sponsor, notional financing effects from the Effective Federal Funds Rate, and that the Index comprises notional assets and liabilities only.

Index supplement to the prospectus dated April 17, 2026, the prospectus supplement dated April 17, 2026, the product supplement no. 3 - I dated April 17, 2026 and the underlying supplement no. 8 - I dated April 22, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 1 Dated May 6, 2026 Rule 424(b)(3) PERFORMANCE UPDATE The J.P. Morgan Kronos SM US Equity (JPUSKRSP) Index attempts to provide a dynamic 50%, 100% or 150% exposure to the S&P 500® Price Index (“the S&P 500”) based on the following principles: • Strong historical performance around the turn of the month • Historical price momentum ahead of index options’ expiry • Historical mean reversion at month - end The Index does not reflect the reinvestment of dividends and is subject to a daily deduction of 0.35% per annum index fee The Index was established on June 11, 2021. Levels are published on Bloomberg using the ticker JPUSKRSP. Hypothetical and actual historical performance: Apr 2016 through Apr 2026 Please see the footnotes at the bottom of this page and “Backtesting” on the following page for information on backtested performance. Hypothetical and actual historical returns and volatilities: Apr 2016 through Apr 2026 J.P. Morgan Kronos US Equity (JPUS RSP) Index S&P 500® Total Return Index Backtested Actual J.P. Morgan Kronos US Equity (JPUS K RSP) Index S&P 500® Total Return Index Backtested Actua Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.79 21.27% 16.75% 7.86% 15.42% 27.28% J.P. Morgan Kronos US Equity (JPUSKRSP) Index 0.84 18.11% 15.26% 13.14% 21.69% 31.05% S&P 500® Total Return Index Historical exposure at end - of - day: Feb 2026 through Apr 2026 Hypothetical and actual historical monthly and annual returns: Jan 2017 through Apr 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 23.59% 1.02% 2.60% 2.62% 1.77% 1.46% 2.06% 0.95% 1.44% 0.68% 0.68% 4.26% 1.88% 2017 3.42% - 7.20% 5.21% - 6.85% 0.54% 2.89% 4.06% 2.36% 3.48% 1.40% - 1.57% - 7.23% 7.71% 2018 32.25% 2.63% 3.99% 0.88% 2.57% - 3.45% 1.49% 9.82% - 8.68% 4.15% 3.15% 3.92% 9.16% 2019 53.87% 4.21% 13.25% - 1.35% - 2.56% 7.51% 6.75% 4.66% 3.68% 12.59% 0.69% - 5.12% 1.25% 2020 34.66% 4.31% 0.85% 9.18% - 4.86% 3.28% 1.23% 1.71% 1.69% 6.25% 2.54% 3.77% 0.80% 2021 - 28.46% - 10.62% 3.18% 8.99% - 10.90% - 4.84% 10.54% - 8.61% 4.55% - 12.37% - 1.19% - 1.55% - 6.76% 2022 28.43% 4.29% 11.42% - 1.13% - 6.20% - 1.86% 2.41% 7.99% - 2.22% 2.04% 6.06% - 2.62% 6.56% 2023 17.12% - 3.71% 5.90% - 1.12% 0.03% - 2.19% 1.93% 3.83% 7.22% - 4.65% 3.06% 5.47% 0.94% 2024 9.45% 0.19% 0.02% 0.85% 4.68% 1.04% 2.70% 3.57% 6.74% - 1.37% - 9.31% - 1.01% 1.85% 2025 4.88% 12.19% - 4.97% - 1.76% 0.13% 2026 MAY 2026 J.P. Morgan Kronos US Equity (JPUSKRSP) Index Historical performance measures for the Index represent hypothetical backtested performance using the actual performance of the S&P 500® Price Return Index through June 10, 2021 and the actual performance of the Index from June 11, 2021 through April 30, 2026. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. Please see the Disclaimer on the following page. Investing in the notes linked to the Index involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal otfense. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank. Apr 2026 150% 100% 50% S&P 500® Exposure 4/1 — 4/6 4/7 — 4/13 4/14 — 4/17 4/20 — 4/21 4/22 — 4/27 4/28 — 4/29 4/30 Feb 2026 Mar 2026 150% 100% 50% S&P 500® Exposure 150% 100% 50% S&P 500® Exposure 2/2 — 2/4 3/2 — 3/4 2/5 — 2/6 3/5 — 3/16 2/9 — 2/13 3/17 — 3/20 2/17 — 2/20 3/23 — 3/26 2/23 — 2/27 3/27 — 3/30 3/31

MAY 2026 | J.P. Morgan Kronos US Equity (JPUSKRSP) Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the sponsor and calculation agent of the Index and may adjust the Index in a way that atfects its level. The level of the Index will include the deduction of a fee of 0.35% per annum and, in some circumstances, a notional financing cost based on the Etfective Federal Funds Rate. JPMorgan Chase & Co. is currently one of the companies that make up the Constituent. There are risks associated with the Index’s turn - of - month strategy. There are risks associated with the Index’s option expiry momentum strategy. There are risks associated with the Index’s mean reversion strategy. The Index’s strategies are applied during only a portion of each month. The Index may be adversely atfected by an overlap between its turn - of - the - month strategy and its month - end mean reversion strategy. The Index may be uninvested in the Constituent. The Constituent of the Index may be replaced by a substitute index in certain extraordinary events. The notional cash return will be negatively atfected if the underlying interest rate is negative. The Index, which was established on June 11, 2021, has a limited operating history and may perform in unanticipated ways. The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index may not be successful or outperform any alternative strategy that may be employed of the Constituents. The Etfective Federal Funds Rate is atfected by a number of factors and may be volatile. The method pursuant to which the Etfective Federal Funds Rate is determined may change, and any such change may adversely atfect the value of notes linked to the Index. 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 pricing supplement, and the documents referred to therein . In the event any inconsistency between the information presented herein and any such term sheet and/or pricing supplement, such term sheet and/or pricing supplement shall govern . Backtesting : Hypothetical backtested performance measures have inherent limitations . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . Past performance, and especially hypothetical back - tested performance, is not indicative of future results . This type of information has inherent limitations and you should carefully consider these limitations before placing reliance on such information . 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 notes 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 .