JPMorgan (JPM) updates S&P 500 Daily Risk Control 10% Index performance and methodology

Rhea-AI Filing Summary

JPMorgan provides a monthly update and prospectus supplements for the S&P 500® Daily Risk Control 10% Index, a volatility-targeting index that dynamically shifts between the S&P 500 and cash to seek a 10% annualized volatility target. The Index is calculated on an excess return basis and was established on May 13, 2009. The supplement discloses hypothetical and historical performance through April 2026, including a 10‑year annualized return of 7.74% and a 10‑year annualized volatility of 10.15% for the Index. It also describes two notional 70/30 portfolios (Domestic and Global) calculated net of a notional financing cost and warns that past and backtested performance are not indicative of future results.

Insights

Index Strategy Analyst

Volatility-targeting framework explained; performance and methodology are disclosed.

The Index applies a risk-control overlay to target 10% volatility by re-allocating between the S&P 500 and a cash component; volatility uses exponentially weighted historical returns. The supplement provides hypothetical and actual returns through Apr 2026, including a 10-year annualized return of 7.74% and 10-year volatility of 10.15%.

Key dependencies include the notional financing cost deduction and recent methodology changes; the document notes the Index may not meet its 10% target and that the notional portfolios are hypothetical.

Product Structuring Specialist

Notional portfolios and excess-return calculation clarified; limitations highlighted.

The Domestic and Global 70/30 notional portfolios are presented on an excess return (ER) basis after a deduction equal to the J.P. Morgan Cash Index USD 3 Month. The supplement states weights approximate, but do not match, Index weights and rebalancing schedules differ.

Investors should note performance is illustrative and the document supersedes prior materials; subsequent term sheets or pricing supplements prevail.

Key Figures

Volatility target: 10% (annualized) 10 Year Return (Annualized): 7.74% 10 Year Volatility (Annualized): 10.15% +2 more

5 metrics

Volatility target 10% (annualized) Index target volatility

10 Year Return (Annualized) 7.74% S&P 500 Daily Risk Control 10% Excess Return (Apr 2016–Apr 2026)

10 Year Volatility (Annualized) 10.15% S&P 500 Daily Risk Control 10% (Apr 2016–Apr 2026)

Sharpe Ratio 0.76 S&P 500 Daily Risk Control 10% (10‑year)

Index established May 13, 2009 Index inception date

Key Terms

excess return, notional financing cost, risk control overlay

3 terms

excess return financial

"Index is calculated on an excess return basis"

notional financing cost financial

"deduction equal to the return of the J. P. Morgan Cash Index USD 3 Month"

risk control overlay financial

"S&P Risk Control Indices use an overlay designed to maintain risk"

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Accepted by SEC EDGAR 05/08/2026 - 08:45 PM Learn about SEC filing dates

FAQ

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

It is an index that dynamically shifts allocation between the S&P 500 and cash to target 10% annualized volatility. The methodology uses exponential weighting of historical returns and is calculated on an excess return basis, established on May 13, 2009.

What historical performance figures does the supplement report for the Index?

The supplement shows hypothetical and actual returns through April 2026, including a 10‑year annualized return of 7.74% and a 10‑year annualized volatility of 10.15% for the Index, and a reported Sharpe Ratio of 0.76.

What are the Domestic and Global 70/30 notional portfolios?

They are hypothetical, monthly‑rebalanced notional portfolios with 70% equity / 30% bond exposures: Domestic uses the S&P 500 and Bloomberg Barclays U.S. Aggregate; Global uses MSCI ACWI and Bloomberg Barclays Global Aggregate (unhedged USD). Performance is net of a notional financing cost.

Does the Index reflect actual investable assets or real financing costs?

No; the Index and notional portfolios are calculated on an excess return basis with a notional financing cost deduction tied to the J.P. Morgan Cash Index USD 3 Month. The supplement states the portfolios track assets that differ from the Index and are hypothetical.

What risks and caveats does the supplement highlight?

The supplement warns the Index may not achieve its 10% volatility target, may be significantly uninvested at times, and recent methodology changes affect notional financing cost calculation. It emphasizes that past and backtested performance are not indicative of future results.

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. 2 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 01 Dated May 11, 2026 Rule 424(b)(3) MAY 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: Apr 2016 through Apr 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: Apr 2016 through Apr 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.76 10.15% 7.74% 4.91% 7.70% 11.07% S&P 500 Daily Risk Control 10% Excess Return (USD) Index 0.66 12.69% 8.33% 5.46% 9.98% 16.73% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.56 10.64% 5.94% 3.28% 8.57% 16.14% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Apr 2016 through Apr 2026 Exposure Level 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 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 1.22% 5.70% - 4.37% - 0.79% 0.93% 2026

MAY 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 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 . 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 .