JPMorgan (NYSE: AMJB) details MerQube US Gold Vol Index risks update

Rhea-AI Filing Summary

J.P. Morgan provides a January 2026 index supplement describing the MerQube US Gold Vol Advantage Index, which underlies certain structured notes. The document presents monthly and annual performance figures, including hypothetical backtested returns from December 26, 2007 through February 10, 2025 and actual index performance from February 11, 2025 through December 31, 2025.

The index applies a 6.0% per annum daily deduction, uses significant leverage, may be substantially uninvested at times, and is based on gold futures, making it sensitive to gold market and futures trading risks. It is an excess return index rather than a total return index, so it does not reflect interest that could be earned on cash.

The supplement highlights that the index was established on February 11, 2025 and has a limited operating history, emphasizing that historical and backtested performance are not indicative of future results. It also notes that J.P. Morgan Securities LLC coordinated with MerQube in developing the index rules and licenses the index, and reminds investors that notes linked to the index are not bank deposits, are not FDIC insured, and are not guaranteed by a bank.

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. 4 - I dated April 13, 2023 and the underlying supplement no. 5 - III dated March 5, 2025 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated January 13, 2026 Rule 424(b)(3) JANUARY 2026 MerQube US Gold Vol Advantage Index Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 12.03% 5.50% 7.32% - 15.78% 5.33% - 16.18% - 3.06% 5.24% 3.22% - 9.67% - 8.24% 5.89% 13.06% 2008 37.69% - 12.41% 28.65% 4.18% 11.45% - 1.20% 5.72% - 9.33% 14.04% - 5.07% - 2.77% 1.37% 4.14% 2009 76.74% 4.88% 3.53% 8.47% 10.74% 11.84% - 3.84% 4.11% 5.02% 13.55% - 1.07% 4.88% - 2.19% 2010 36.48% - 13.09% 1.46% 5.99% - 13.01% 25.39% 21.11% - 5.45% - 3.79% 20.86% 4.69% 12.28% - 14.47% 2011 - 2.32% - 7.45% - 2.54% - 8.27% 12.03% 9.34% 0.16% 4.51% - 9.07% - 1.15% - 5.13% - 5.91% 14.75% 2012 - 61.69% - 7.99% - 12.18% - 1.44% - 8.83% 10.68% 9.59% - 18.81% - 10.66% - 27.88% 1.22% - 14.95% - 3.41% 2013 - 21.53% 0.85% 1.91% - 10.06% - 19.35% 0.66% - 10.06% 16.61% - 10.66% 1.75% - 7.80% 12.87% 5.41% 2014 - 40.54% - 1.91% - 19.50% 4.58% - 4.73% 7.13% - 23.28% - 4.95% 1.03% - 0.87% - 6.68% - 10.82% 16.06% 2015 - 0.60% - 4.86% - 25.57% - 11.46% - 0.20% - 8.55% 4.85% 20.48% - 13.65% 10.03% 0.40% 26.25% 14.18% 2016 32.88% 11.89% - 1.10% - 4.72% - 9.95% 13.91% 7.74% - 11.31% 1.41% 4.46% - 2.16% 9.92% 12.86% 2017 - 23.67% 18.23% 1.28% 8.86% - 4.32% - 9.85% - 11.32% - 17.33% - 6.60% - 2.84% 0.97% - 7.67% 9.45% 2018 60.75% 12.70% - 10.83% 8.30% - 9.87% 21.47% 1.73% 36.58% 6.94% - 5.64% - 8.95% - 3.82% 9.88% 2019 46.84% 12.69% - 10.94% - 1.93% - 7.92% - 0.27% 16.01% 5.04% 4.02% 4.70% 9.44% - 0.35% 12.23% 2020 - 12.38% 7.18% - 1.91% 3.53% - 8.57% - 0.69% 5.86% - 18.91% 23.13% 8.21% - 3.26% - 15.13% - 5.60% 2021 - 12.15% 9.55% 13.59% - 4.62% - 9.89% - 7.67% - 7.04% - 5.47% - 8.39% - 3.82% 5.13% 15.66% - 5.52% 2022 14.20% 1.77% 5.81% 28.00% - 18.01% - 7.51% 6.14% - 6.29% - 5.13% 0.85% 18.53% - 14.48% 13.28% 2023 63.85% - 3.80% - 7.68% 7.03% 10.96% 5.35% 9.34% - 1.04% 1.14% 9.70% 29.37% - 2.22% - 2.90% 2024 150.63% 3.16% 8.63% 5.83% 23.68% 11.84% - 1.59% - 1.44% - 2.04% 13.05% 22.56% 0.87% 15.05% 2025 Please refer to the “Selected Risks” and “Disclaimer” on the following page . Historical performance measures for the MerQube US Gold Vol Advantage Index (the “Index”) represent hypothetical backtested performance from December 26 , 2007 through February 10 , 2025 and the actual performance of the Index from February 11 , 2025 through December 31 , 2025 . Please see “Use of hypothetical backtested returns” at the end of this presentation for further information related to backtesting including a discussion of certain limitation of backtesting and simulated returns . The hypothetical backtested and historical levels presented herein have not been verified by J . P . Morgan, and hypothetical historical levels have inherent limitations . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . Investing in the notes linked to the Index involves a number of risks . See “Selected Risks” on page 2 of this document, “Risk Factors” in the prospectus supplement and the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement . Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus . Any representation to the contrary is a criminal otfense . The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank .

JANUARY 2026 | MerQube US Gold Vol Advantage Index Selected Risks  Our affiliate, J.P. Morgan Securities LLC (“JPMS”), coordinated with the Index Sponsor in the development of the Index.  The level of the Index will include a 6.0% per annum daily deduction.  MerQube (the “Index Sponsor”) may adjust the Index in a way that atfects its level, and the Index Sponsor has no obligation to consider your interests.  The Index may not approximate its target volatility.  The Index is subject to risks associated with the use of significant leverage.  The Index may be significantly uninvested.  The Index may be adversely atfected if later futures contracts have higher prices than an expiring futures contract included in the Index.  The Index is an “excess return” index and not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts.  The Index, which was established on February 11, 2025, has a limited operating history and may perform in unanticipated ways.  The Index is subject to significant risks associated with futures contracts, including volatility.  An investment linked to the Index will be subject to risks associated with gold.  Concentration risks associated with the Index may adversely atfect the value of investments linked to the Index.  Suspension or disruptions of market trading in the futures contracts included in the Index may adversely atfect the value of investments linked to the Index.  The official settlement price and intraday trading prices of the relevant futures contracts included in the Index may not be readily available.  Changes in the margin requirements for the underlying futures contracts included in the Index may adversely atfect the value of investments linked to the Index.  The Index may not be successful or outperform any alternative strategy that may be employed in respect of future contracts. 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 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 document, the otfering document shall govern . Use of hypothetical backtested returns Any backtested historical performance and weighting information included herein is hypothetical . The constituent may not have traded 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 . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment in notes referencing the Index . J . P . Morgan provides no assurance or guarantee that notes 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 . Hypothetical back - tested performance measures have inherent limitations . Hypothetical back - tested performance is derived by means of the retroactive application of a back - tested model that has been designed with the benefit of hindsight . Hypothetical back - tested results are neither an indicator nor a guarantee of future returns . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . A copy of the index methodology is available upon request or can be viewed on MerQube’s website . MerQube performed the calculation of the hypothetical back - tested performance data . Neither J . P . Morgan Securities LLC (JPMS), nor any of its affiliates paid MerQube to perform these calculations . JPMS has entered into a license agreement with MerQube, Inc . that provides for an exclusive license to it and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Indices, which are owned and published by MerQube, Inc . JPMS worked with MerQube in developing the guidelines and policies governing the composition and calculation of the Index . The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your notes . JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the Index or making judgments that may atfect the level of the Index . 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 . Neither MerQube, Inc . nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of any investment linked to the Index referenced herein and MerQube has no duties, responsibilities, or obligations to investors in such investment . The Index is a product of MerQube and has been licensed for use by JPMS (“Licensee”) and its affiliates . Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each a “Data Provider”) . MerQube® is a registered trademark of MerQube, Inc . These trademarks have been licensed for certain purposes by Licensee, including use by Licensee’s affiliate in its capacity as the issuer of investments linked to the Index . Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, Index or any associated data . 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 .

FAQ

What is the MerQube US Gold Vol Advantage Index referenced by AMJB?

The MerQube US Gold Vol Advantage Index is an excess return index linked to gold futures that targets a specified volatility level using leverage and can at times be significantly uninvested. It includes a 6.0% per annum daily deduction and serves as the underlying index for certain J.P. Morgan notes.

What performance history is shown for the MerQube US Gold Vol Advantage Index?

The document shows hypothetical backtested monthly and annual returns from December 26, 2007 through February 10, 2025 and actual index performance from February 11, 2025 through December 31, 2025. It repeatedly states that historical and backtested results are not indicative of future performance.

What are the key risks of investing in notes linked to the MerQube US Gold Vol Advantage Index?

Highlighted risks include the 6.0% per annum daily deduction, use of significant leverage, potential for the index to be significantly uninvested, and exposure to gold-related and futures contract risks. The index may not approximate its target volatility and can be affected by futures term structure, margin changes, trading suspensions, and concentration in gold.

How was the MerQube US Gold Vol Advantage Index developed and who sponsors it?

MerQube is the index sponsor and calculates the index. J.P. Morgan Securities LLC (JPMS) coordinated with MerQube in developing the index guidelines and has an exclusive license to use the index for certain affiliated issuers, in exchange for a fee. The document notes that JPMS is under no obligation to consider investors’ interests when making judgments affecting the index.

When was the MerQube US Gold Vol Advantage Index launched and what is its operating history?

The index was established on February 11, 2025. The supplement stresses that it has a limited operating history, and that much of the performance information shown is based on hypothetical backtested data rather than long-term live trading.

Are notes linked to the MerQube US Gold Vol Advantage Index bank deposits or insured?

No. The document states that these notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, and are not obligations of, or guaranteed by, a bank.

How does the document treat hypothetical backtested returns for the MerQube US Gold Vol Advantage Index?

The supplement explains that backtested performance is hypothetical, created via retroactive application of a model with the benefit of hindsight, and has inherent limitations. It notes that actual results could differ materially, that alternative modeling approaches might produce different outcomes, and that backtested and historical performance should not be regarded as a guarantee of future returns.