S&P Global 100 5% Risk Control Index Update (JPM)

Rhea-AI Filing Summary

The supplement updates historical and hypothetical performance for the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, showing backtested data through Sept 17, 2023 and actual data through May 31, 2026. The Index targets a 5% annualized volatility (subject to a 0.50% per annum deduction and a notional financing cost) with dynamic daily exposure rebalancing. Ten‑year metrics shown include a 10‑Year Return (Annualized) 4.26% and 10‑Year Volatility (Annualized) 2.62%, producing a reported Sharpe Ratio 0.61 for the Index. The supplement reiterates standard disclaimers about backtested performance, daily deductions, and investor suitability and directs readers to related prospectus and product supplements for full risk factors and terms.

Insights

Index Strategist

Index targets low volatility with daily exposure adjustments and explicit deductions.

The Index is constructed to target 5% annualized volatility by dynamically adjusting exposure to the S&P Global 100 and applying a daily notional financing cost plus a 0.50% per year deduction. Historical tables show combined backtested and actual returns through May 31, 2026.

Key dependencies are realized volatility and the Effective Federal Funds Rate (used for financing cost); if realized volatility departs from the target, exposure changes will alter realized returns. Subsequent term sheets and pricing supplements govern final product economics.

Product Risk Analyst

Daily deductions and dynamic de‑leveraging raise path‑dependence and tail risk.

The supplement explicitly notes a 0.50% per annum deduction and daily financing cost, both reducing returns and compounding over time. Daily exposure adjustments can cause the Index to be "significantly uninvested" at times, which may mute upside and magnify downside during rapid moves.

Investors should review the prospectus supplement’s "Risk Factors" and pricing supplement for details on how exposure is calculated and how periods of low investment affect payout profiles.

Key Figures

Index target volatility: 5% annualized Index deduction: 0.50% per year 10‑Year Return (Annualized): 4.26% +3 more

6 metrics

Index target volatility 5% annualized Index target (daily rebalancing)

Index deduction 0.50% per year daily deduction stated in supplement

10‑Year Return (Annualized) 4.26% May 2016–May 2026 reported for the Index

10‑Year Volatility (Annualized) 2.62% May 2016–May 2026 reported for the Index

Sharpe Ratio 0.61 10‑Year Return divided by 10‑Year Volatility

Actual performance coverage Sept 18, 2023–May 31, 2026 Actual Index performance period

Key Terms

backtested performance, excess return basis, notional financing cost, daily risk control

4 terms

backtested performance financial

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

excess return basis financial

"The Index is calculated on an excess return basis"

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

"5 % Daily Risk Control 0 . 5 % Deduction Index"

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

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Available on EDGAR 06/10/2026 - 06:05 AM Accepted by SEC EDGAR 06/09/2026 - 08:13 PM Learn about SEC filing dates

FAQ

What does the JPMorgan S&P Global 100 5% Daily Risk Control Index track?

It provides exposure to the S&P Global 100 Index with dynamic exposure targeting 5% annualized volatility, subject to daily financing costs and a 0.50% per year index deduction. The Index is calculated on an excess return basis.

What historical period does the supplement cover for performance?

Performance uses backtested Constituent returns from Nov 20, 1996 through Sept 17, 2023 and actual Index performance from Sept 18, 2023 through May 31, 2026, with monthly and annual return tables shown.

How are index financing costs determined?

The notional financing cost is calculated by reference to the Effective Federal Funds Rate, and that cost is deducted daily from Index returns alongside the 0.50% per annum deduction stated in the supplement.

What do the 10‑year metrics in the supplement show?

The supplement reports a 10‑Year Return (Annualized) 4.26%, 10‑Year Volatility (Annualized) 2.62%, and a Sharpe Ratio 0.61 for the Index over the period displayed in the tables.

Does the supplement include risk disclosures for the Index notes?

Yes, it lists selected risks including the 0.50% annual deduction, daily financing cost, potential for the Index to be "significantly uninvested," and that backtested performance is 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 June 8, 2026 Rule 424(b)(3) JUNE 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 May 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: May 2016 through May 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: May 2016 through May 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.61 4.26% 2.62% 2.15% 3.96% 8.18% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.49 6.39% 3.12% 0.65% 3.90% 6.91% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.26 6.24% 1.62% - 1.33% 3.33% 5.66% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: May 2016 through May 2026 Exposure Level Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through May 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 2.38% 1.71% 2.93% - 2.17% - 0.47% 0.44% 2026

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 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 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 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 .