JPMorgan updates S&P Global 100 5% Risk Control Index

JPMorgan's supplement updates performance and methodology for the S&PGlobal 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER.

Rhea-AI Filing Summary

JPMorgan's supplement updates performance and methodology for the S&PGlobal 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER. The Index targets an annualized 5% volatility on a daily basis, applies a 0.50% per annum deduction plus a notional financing cost tied to the Effective Federal Funds Rate, and is calculated on an excess return basis. The Index was established on September 18, 2023 and is published on Bloomberg under ticker SPGLR5TE. The supplement shows hypothetical backtested performance from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through March 31, 2026. Selected risk items note the daily deduction, potential periods of being significantly uninvested, and that target volatility and relative performance are not guaranteed.

Insights

Index Product Specialist

Index applies daily volatility targeting with a 0.50% annual deduction and financing cost.

The supplement documents methodology: exposure is dynamically rebalanced to target 5% annualized volatility and a daily deduction equal to 0.50% per year plus a notional financing cost linked to the Effective Federal Funds Rate. Historical performance includes both backtested and actual periods through March 31, 2026.

Key dependencies include realized volatility, financing-rate assumptions, and rebalancing cadence; each affects actual returns and the likelihood the Index is partially or fully uninvested during periods of stress. Subsequent term sheets or disclosure supplements will govern if inconsistencies arise.

Quantitative Risk Analyst

Backtested and actual returns are presented; past results are not predictive.

The document labels performance as "Backtested" (Nov 20, 1996toSep 17, 2023) and "Actual" (Sep 18, 2023toMar 31, 2026). Reported metrics include a 10-year Sharpe Ratio 0.51 and a 10-year volatility 4.26% for the Index's series shown.

Backtesting uses different constituent histories and does not guarantee future outcomes; model inputs such as financing cost and daily rebalancing materially affect simulated results. Watch subsequent supplements for methodological changes.

Key Figures

Index deduction: 0.50% per annum Target volatility: 5% (annualized) Establishment date: September 18, 2023 +4 more

7 metrics

Index deduction 0.50% per annum Daily deduction applied to the Index

Target volatility 5% (annualized) Index targets 5% volatility on a daily basis

Establishment date September 18, 2023 Index was established on this date and uses excess return calculation

Backtest period Nov 20, 1996 to Sep 17, 2023 Backtested performance window shown in supplement

Actual performance window Sep 18, 2023 to Mar 31, 2026 Actual performance window shown in supplement

10 Year Sharpe Ratio 0.51 Sharpe Ratio presented for the Index series

10 Year Volatility 4.26% 10 Year Volatility (Annualized) shown for the Index series

Key Terms

excess return basis, backtested, notional financing cost, Daily Risk Control

4 terms

excess return basis financial

"The Index is calculated on an excess return basis."

backtested financial

"Backtested performance using the performance of the Constituent from November 20, 1996 through September 17, 2023"

Applying a trading rule, investment model, or signal to past market data to see how it would have performed. Investors use backtesting like a dress rehearsal—running a strategy on historical prices to measure returns, risk, and behavior under different conditions; it matters because it helps estimate whether a method behaved as intended in the past, while not proving it will work the same way in future markets.

notional financing cost financial

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

Daily Risk Control financial

"S&PGlobal 100 PR 5% Daily Risk Control 0.5% Deduction Index"

FAQ

AI-generated questions and answers. How Rhea-AI works. Not financial advice.

What is the S&P Global 100 5% Daily Risk Control Index (JPM)?

It targets a 5% annualized volatility with daily rebalancing and deductions. The Index applies a 0.50% per annum daily deduction plus a notional financing cost tied to the Effective Federal Funds Rate; it is calculated on an excess return basis.

When was the Index established and where is it published (JPM)?

The Index was established on September 18, 2023. Levels are published on Bloomberg under ticker SPGLR5TE. Performance shown includes actual data through March 31, 2026.

What historical data periods are used in the supplement (JPM)?

The supplement shows backtested performance from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through March 31, 2026. Backtested figures are hypothetical and conditional on model assumptions.

What are the main risks highlighted for this Index (JPM)?

Key risks include the 0.50% per annum deduction, the notional financing cost deduction, potential periods when the Index is significantly uninvested, and that target volatility and outperformance are not guaranteed.

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

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Accepted by SEC EDGAR 04/10/2026 - 04:23 PM Learn about SEC filing dates

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 April 8, 2026 Rule 424(b)(3) APRIL 2026 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 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 March 31 , 2026 (labeled “Actual” in the chart above) . 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® Global 100 PR 5 % Daily Risk Control 0 . 5 % Deduction Index (the “Index”) is designed to provide exposure to the S&P® Global 100 Index, while targeting an annualized volatility of 5 % , subject to the deduction, on a daily basis, of the notional financing cost and a daily deduction of 0 . 50 % per year . The notional financing cost for the Index is calculated by reference to the Etfective Federal Funds Rate . The Index’s exposure is dynamically rebalanced based on observed S&P® Global 100 volatility . The S&P® Global 100 Index is designed to measure the performance of 100 large - capitalization multinational companies whose businesses are global in nature and that derive a substantial portion of their operating income from multiple countries . The Index is calculated on an excess return basis. The Index was established on September 18, 2023. Levels are published on Bloomberg using the ticker SPGLR5TE. Hypothetical and actual historical performance: Mar 2016 through Mar 2026 S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Backtested 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: Mar 2016 through Mar 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.51 4.26% 2.17% 1.49% 2.60% 2.78% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.43 6.35% 2.76% 0.29% 2.26% 3.09% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.19 6.19% 1.15% - 1.70% 1.06% 3.60% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Mar 2016 through Mar 2026 Exposure Level Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Mar 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 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 - 2.20% - 2.17% - 0.47% 0.44% 2026

APRIL 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 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 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 CDs 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 .