JPMorgan Chase & Co. (NYSE: JPM) details S&P 500 Daily Risk Control 10% Index

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides performance information and risk disclosures for the S&P 500® Daily Risk Control 10% Index, which targets 10% volatility by dynamically adjusting exposure to the S&P 500®.

The index history combines hypothetical backtested monthly and annual returns from December 31, 1998 through May 12, 2009 with actual index performance from May 13, 2009 through July 31, 2026. Annual returns over this period range from double‑digit losses to gains above 20%, illustrating substantial variability.

Key risks noted include that JPMorgan Chase & Co. is a constituent of the underlying S&P 500® index; the index may not outperform or underperform the underlying index; it may not achieve its 10% target volatility; daily exposure adjustments can limit gains or magnify losses; the index may at times be significantly uninvested; and its level reflects a deducted notional financing cost, whose calculation methodology was recently changed. The materials emphasize that historical and backtested performance and allocations are not indicative of future results and that all backtested data are hypothetical and subject to modeling limitations.

Key Figures

Backtested period: December 31, 1998 through May 12, 2009 Actual performance period: May 13, 2009 through July 31, 2026 Annual return 2017: 27.73% +3 more

6 metrics

Backtested period December 31, 1998 through May 12, 2009 Hypothetical backtested monthly and annual index returns

Actual performance period May 13, 2009 through July 31, 2026 Actual historical index performance following backtest period

Annual return 2017 27.73% Calendar-year performance for the index in 2017

Annual return 2008 -14.18% Calendar-year performance for the index in 2008

Annual return 2013 24.98% Calendar-year performance for the index in 2013

Target volatility 10% Stated volatility target for the S&P 500 Daily Risk Control 10% Index

Key Terms

hypothetical backtested performance, notional financing cost, target volatility of 10%, Daily Risk Control 10% Index, +1 more

5 terms

hypothetical backtested performance financial

"Any backtested historical performance information included herein is hypothetical."

notional financing cost financial

"The level of the Index reflects the deduction of a notional financing cost."

target volatility of 10% financial

"The Index may not approximate its target volatility of 10%."

Daily Risk Control 10% Index financial

"AUGUST 2026 | S&P 500® Daily Risk Control 10% Index"

proxy constituents financial

"The constituents and proxy constituents may not have traded together in the manner shown."

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Available on EDGAR 08/10/2026 - 06:03 AM Accepted by SEC EDGAR 08/07/2026 - 06:12 PM Learn about SEC filing dates

FAQ

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

The index is a rules-based strategy that targets 10% volatility by adjusting its daily exposure to the S&P 500® Index and cash. It aims to moderate risk but may underperform or outperform the underlying index and can be significantly uninvested at times.

What historical period do JPM (JPM) index returns cover in this document?

The document shows hypothetical backtested returns from December 31, 1998 to May 12, 2009 and actual index performance from May 13, 2009 to July 31, 2026. Monthly and annual percentage returns are listed for each calendar year across this full period.

How does JPM (JPM) describe the use of hypothetical backtested returns?

JPMorgan states that all backtested historical performance is hypothetical, may differ significantly from actual performance, and uses proxy constituents and modeling assumptions. It emphasizes these results have inherent limitations and are not indicative of future results for investments linked to the index.

What key risks are highlighted for JPM (JPM) S&P 500 Daily Risk Control 10% Index?

Key risks include that the index may not achieve its 10% target volatility, may underperform or fail to reflect full S&P 500® gains, can be significantly uninvested, and its level reflects a deducted notional financing cost with a recently changed calculation methodology.

Is past or backtested performance of JPM (JPM) risk control index indicative of future results?

No. The materials explicitly state that historical and backtested performance and allocations are not indicative of future results. Alternative simulations or assumptions could produce very different outcomes, and actual investment results may vary, perhaps materially, from the hypothetical figures shown.

Does JPM (JPM) mention any conflicts of interest related to this index?

Yes. One disclosed risk is that JPMorgan Chase & Co. is currently one of the companies in the underlying S&P 500® index. This creates a potential conflict because the firm both maintains and offers products linked to an index that includes its own stock.

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 August 10, 2026 Rule 424(b)(3) Hypothetical and Actual Historical Monthly and Annual Returns  Backtested using proxies  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 7.20% 3.22% 0.65% 2.81% - 1.78% - 0.40% - 2.27% 2.77% - 1.48% 1.74% 1.71% - 1.61% 1.83% 1999 - 9.78% 0.09% - 3.96% - 1.52% - 3.86% 3.03% - 1.18% 0.71% - 0.80% - 1.68% 3.83% - 1.06% - 3.51% 2000 - 11.25% 0.42% 3.26% 0.40% - 5.26% - 3.85% - 0.71% - 1.30% 0.06% 2.43% - 3.37% - 4.61% 1.09% 2001 - 13.23% - 2.17% 1.87% 2.58% - 3.53% 0.14% - 4.33% - 3.55% - 0.61% - 3.79% 1.90% - 1.32% - 0.98% 2002 16.28% 4.27% 0.63% 3.77% - 0.85% 1.27% 0.94% 0.58% 2.45% 3.35% 0.67% - 0.59% - 1.13% 2003 7.05% 3.03% 3.32% 1.36% 0.77% - 0.27% - 3.25% 1.59% 1.14% - 1.37% - 1.95% 1.18% 1.48% 2004 - 1.32% - 0.49% 2.68% - 2.65% 0.50% - 1.29% 3.41% - 0.31% 2.10% - 2.27% - 2.00% 1.92% - 2.68% 2005 10.39% 1.11% 1.75% 2.97% 2.09% 1.62% 0.03% - 0.16% - 3.58% 1.13% 0.92% - 0.06% 2.27% 2006 - 0.82% - 0.43% - 3.01% 0.60% 1.69% 0.78% - 2.49% - 2.01% 2.82% 3.20% 0.34% - 3.29% 1.25% 2007 - 14.18% 0.36% - 0.85% - 3.33% - 3.38% 0.54% - 0.62% - 4.69% 0.47% 1.84% - 0.18% - 1.64% - 3.49% 2008 11.17% 1.10% 3.02% - 1.16% 1.78% 1.50% 2.81% 0.02% 1.52% 2.14% 2.02% - 2.35% - 1.58% 2009 9.53% 4.44% 0.02% 2.12% 4.36% - 2.23% 2.90% - 2.30% - 3.89% 1.33% 3.80% 1.57% - 2.49% 2010 - 2.09% 0.41% 0.14% 3.42% - 2.09% - 6.26% - 1.38% - 1.81% - 0.94% 2.39% - 0.34% 2.84% 1.92% 2011 7.00% 0.81% 0.08% - 1.69% 1.96% 1.44% 1.03% 2.13% - 4.47% - 0.48% 2.18% 2.24% 1.78% 2012 24.98% 2.51% 2.74% 3.82% 2.80% - 2.72% 3.43% - 1.17% 1.74% 1.10% 3.14% 1.16% 4.19% 2013 7.26% - 0.61% 2.01% 0.41% - 1.61% 3.96% - 1.69% 2.16% 2.21% 0.21% 0.76% 2.90% - 3.43% 2014 - 3.77% - 1.06% 0.17% 3.95% - 0.96% - 7.43% 1.83% - 1.88% 1.05% 0.62% - 1.26% 3.64% - 2.00% 2015 6.12% 1.94% 3.56% - 1.68% - 0.55% 0.03% 2.07% - 1.02% 1.41% 0.11% 3.54% 0.03% - 3.27% 2016 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 3.34% - 0.25% - 1.07% 3.46% 5.70% - 4.37% - 0.79% 0.93% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from December 31, 1998 through May 12, 2009 and the actual performance of the Index from May 13, 2009 through July 31, 2026. Please see “Use of hypothetical backtested returns” at the end of this presentation for additional information related to backtesting. 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. AUGUST 2026 S&P 500® Daily Risk Control 10% Index

AUGUST 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 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 .