JPMorgan (JPM) posts S&P Global 100 index supplement with 0.50% deduction

Rhea-AI Filing Summary

JPMorgan provides an index supplement and prospectus supplement for the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER. The document shows hypothetical backtested monthly and annual returns from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through May 31, 2026. The Index level reflects a 0.50% per annum index deduction and a notional financing cost, both deducted daily. The supplement lists selected risks, including potential underperformance versus the underlying index, imperfect volatility targeting from daily exposure adjustments, and periods when the Index may be significantly uninvested.

Insights

Index Strategist

Backtested and actual returns are presented separately; fees and daily adjustments materially shape net index levels.

The materials show hypothetical backtested returns covering November 20, 1996–September 17, 2023 and actual returns from September 18, 2023–May 31, 2026. The index level reported in the supplement incorporates a 0.50% per annum deduction and a notional financing cost, deducted daily, which reduces reported net returns.

Performance attribution depends on the daily volatility control mechanism and financing assumptions; subsequent pricing supplements or term sheets will state product-specific payoff mechanics and investor outcomes.

Risk Analyst

The document emphasizes operational and model risks tied to daily exposure adjustments and hypothetical backtests.

The supplement warns that daily rebalancing can not fully capture underlying index appreciation and can magnify depreciation, and that the Index may be significantly uninvested at times. It also notes that hypothetical backtested levels were not independently verified and may differ materially from actual performance.

Investors should review the product supplement, underlying supplement, and selected risks in the term sheet for method, assumptions, and fee treatment used in the presented returns.

Key Figures

Prospectus/Registration: Registration Statement Nos. 333-293684 and 333-293684-01 Index deduction: 0.50% per annum Backtest period: November 20, 1996 – September 17, 2023 +2 more

5 metrics

Prospectus/Registration Registration Statement Nos. 333-293684 and 333-293684-01 Prospectus and supplements dated <date>April 17, 2026</date> and document dated <date>June 8, 2026</date>

Index deduction <percent>0.50%</percent> per annum Deducted daily from Index level

Backtest period November 20, 1996 – September 17, 2023 Hypothetical backtested performance window

Actual performance period September 18, 2023 – May 31, 2026 Labeled “Actual” in the returns chart

Replacement notice This monthly update supersedes prior materials Document footer statement

Key Terms

backtested, index deduction, daily risk control, notional financing cost

4 terms

backtested financial

""hypothetical backtested performance using the performance of the Constituent""

index deduction financial

"The level of the Index reflects a 0.50% per annum index deduction"

daily risk control financial

"S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index"

notional financing cost financial

"the deduction of a notional financing cost, both of which are deducted daily"

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Available on EDGAR 06/10/2026 - 06:05 AM Accepted by SEC EDGAR 06/09/2026 - 08:11 PM Learn about SEC filing dates

FAQ

What period do the S&P Global 100 PR 5% Daily Risk Control index returns cover for JPM?

The chart shows backtested returns from November 20, 1996 to September 17, 2023, then actual returns through May 31, 2026. The supplement separates hypothetical and actual performance periods for clarity and comparison.

How does the 0.50% deduction affect the Index shown in the JPM supplement?

The Index level reflects a 0.50% per annum index deduction taken daily, plus a notional financing cost deducted daily. These deductions are applied to reported net index levels and reduce returns accordingly.

Are the backtested returns in the JPM supplement verified by a third party?

No, the supplement states the hypothetical historical levels have not been verified by an independent third party. It warns that backtested results may differ materially from actual subsequent performance.

What are the primary risks highlighted for the Index in the JPM document?

The supplement lists risks including potential underperformance versus the underlying index, imperfect volatility targeting from daily exposure adjustments, periods of significant non-investment, and the impact of a daily financing cost and 0.50% deduction.

Does the JPM supplement explain how daily risk control may change returns?

Yes, it states that daily adjustment of exposure can cause the Index to not fully reflect appreciation or to magnify depreciation, affecting realized returns depending on market movements and timing.

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 June 8, 2026 Rule 424(b)(3) JUNE 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 2.38% 1.71% 2.93% - 2.17% - 0.47% 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 May 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.

JUNE 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 product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or pricing 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 .