J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series

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1 J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series QUESTIONS AND ANSWERS These Questions and Answers highlight selected information to help you better understand: 1. JPERPLMF: J.P. Morgan Equity Risk Premia Europe Multi-Factor Long Only (EUR) Index (the Multi-factor ERPF Index or Index ). The Multi-factor ERPF Index is an index within the J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series (the ERPF Series ) family of indices created and maintained by J.P. Morgan Securities plc. The description of the Indices and its methodology included in this document is based on the rules and the applicable module (the Rules ) of each of the Indices and is qualified by the full text of the Rules. The Rules, and not the description in this document, govern the calculation and constitution of the Index and other decisions and actions relating to its maintenance. Prospective investors in any investment product, the performance of which is linked to these Indices, should: (1) have sufficient knowledge and experience (if necessary, in consultation with the investor s own legal, tax, accountancy, regulatory, investment or other professional advisers) to evaluate the Indices; and (2) refer to the Rules for a complete description of the Indices and their methodology. THIS DOCUMENT IS IMPORTANT. YOU SHOULD NOT INVEST IN A PRODUCT LINKED TO THE INDEX UNLESS YOU HAVE ENSURED THAT YOU FULLY UNDERSTAND THE NATURE OF SUCH AN INVESTMENT AND THE RISKS INVOLVED AND ARE SATISFIED THAT THE INVESTMENT IS SUITED TO YOUR CIRCUMSTANCES AND OBJECTIVES. IF YOU ARE IN ANY DOUBT ABOUT THIS YOU SHOULD TAKE ADVICE FROM AN APPROPRIATELY QUALIFIED ADVISOR. EVEN IF YOU ARE A HIGHLY SOPHISTICATED INVESTOR WHO REGULARLY TRANSACTS IN PRODUCTS LINKED TO INDICES OF THIS TYPE, YOU ARE STRONGLY ADVISED TO TAKE SUCH ADVICE IN ANY EVENT. 1. What is the Index? The Index is created and maintained by J.P. Morgan Securities plc ( J.P. Morgan, the Index Sponsor ). The Index tracks the performance of a long-only basket of shares. Hereafter, the shares are referred to as Constituent Stocks. The Constituent Stocks are stocks that comprise a set of equity indices which are created and maintained by J.P. Morgan Securities plc. These equity indices, hereafter Component Indices, are full described in their relevant rules and questions and answers document. More information on these indices are available at the hyper links set out in Section 10. Each Component Index is part of the J.P. Morgan Equity Risk Premia Long Only Index Series, a family of rules based equity indices designed to provide exposure to equity risk premia factors. The aim of each Index is to provide an equally weighted exposure to its Component Indices by tracking the weighted returns of the shares that comprise its Component Indices (the Component Index Shares ). In respect of the Multi-factor ERPF Index, it tracks the returns of the shares from five (5) Component Indices. When aggregated across all Component Indices, the Component Index Shares are equivalent to the Constituent Stocks. Each Index is rebalanced on a monthly basis on or around the last business day of the month, as further specified in the relevant index rules. Important note: The Multi-factor ERPF Index track the performance of various stocks. However, investors in products linked to any of the Multi-factor ERPF Index will not be entitled to or have any ownership, voting or other interest in any of these stocks. The exposures to the stocks are entirely synthetic which means that the Error! Unknown document property name.

2 Index itself takes no actual position in any of the relevant equity stocks referenced by any of the Indices, but merely mimic investments in such stocks. In respect of the Index and in accordance with its Index Rules, a rebalancing adjustment factor (the Rebalancing Adjustment Factor ) is deducted from the Index Level whenever such Index is rebalanced. The magnitude of the Rebalancing Adjustment Factor per Index is set out in question 8 below. Although it is designed to reflect the cost of rebalancing the stocks within the Index, the Rebalancing Adjustment Factor may exceed the exact costs that any dealer may incur when trying to replicate the strategy behind the Index. Name Bloomberg Ticker Currency J.P. Morgan Equity Risk Premia Europe Multi- Factor Long Only (EUR) Index JPERPLMF Index EUR Index Base Date 30 January 2015 Live Date 4 August Some Basic Concepts Explained 2.1 What are long positions? If someone has a long position in an asset it means they have bought the asset or a derivative that replicates the same return as purchasing the asset. If, at the point on which the asset is sold, its price has risen, then the holder of such asset would have made a positive return. In the context of an index, a long position in the underlying constituents of the index means that if the weighted average price of the underlying constituents rise, the level of the index will increase. Similarly, if the weighted average price of the underlying constituents decrease, the level of the index will decrease 2.2 What is Equity Risk Premium Factor? Risk premium is a concept used in financial markets to describe the return that an investor earns, above a risk free rate, for taking an exposure to a certain type of risk. The equity risk premium can be defined as the risk premium that investors experience for investing in equities. The risk premium pertaining to equities can be further divided or explained by different factors that are specific to a stock, such as company valuations, dividend yields, volatility etc. These factors could potentially indicate future performance in respect of a stock and can help investor to allocate funds based on its risk and return appetite. Such factors can be defined as the Equity Risk Premium Factors. Each of the Component Indices implements its own applicable Equity Risk Premium Factor for selecting the stocks to be included in such Component Index. Since each Multi-factor ERPF Index tracks the returns of the stocks in its Component Indices, each Multi-factor ERPF Index can be viewed as an aggregation of the various component equity risk premia factors hence the term multi-factor. The specific Equity Risk Premium Factor pertaining to each Component Index in Annex [A] hereto. NCM/ / v5 2

3 2.3 How are the Constituent Stocks Selected and Weighted? There is no selection algorithm per se as each Multi-factor ERPF Index merely tracks all the stocks that comprise its Component Indices. Within each Multi-factor ERPF Index, the weight assigned to a relevant Constituent Stock is equal to the product of (i) the weight assigned to the Component Index and (ii) the weight of the relevant share within the Component Index. If the share is present in more than one Component Index, the product above is added up across the different Component Indices. As a hypothetical example, if we assume the stock ABC has a weight of 2.5% within Component Index Alpha and a weight of 2.5% in Component Index Beta. Let us assume that another stock XYZ has a weight of 2.5% in Component Index Alpha but is not present in Component Index Beta. Further, let us assume that the weight assigned to both Component Index Alpha and Component Index Beta (within the Multi-factor ERPF Index) is 50%. The weight assigned to ABC within the Multi-factor ERPF Index is therefore 50% * 2.5% (from Alpha ) plus 50% * 2.5% (from Beta ) i.e. 2.5%. However, the weight assigned to XYZ is 50% * 2.5% (from Alpha alone), i.e. 1.25%. The following schematic further illustrates the weighting scheme. Multi-Factor ERPF Index Component Index 1 (20%) Component Index 2 (20%) Component Index 3 (20%) Component Index 4 (20%) Component Index 5 (20%) Stock 1 Stock 1 Stock 1 Stock 1 Stock 1 Stock 2 Stock 2 Stock 2 Stock 2 Stock 2 Stock Stock Stock Stock Stock Stock 40 Stock 40 Stock 40 Stock 40 Stock What are the key steps implemented by the Index Calculation Agent? Each day, the following steps are contemplated by the Index Calculation Agent: NCM/ / v5 3

4 Step 1 Step 2 Step 3 Step 4 Selecting the Constituent Stocks. In respect of each rebalancing date the Index Calculation Agent shall determine the Constituent Stocks from the Component Indices Determining the weight to each Constituent Stock. In respect of each rebalancing date, the Index Calculation Agent shall determine the weight assigned to each Constituent Stock in accordance with 2.3 Determining the applicable rebalancing adjustment In respect of each rebalancing date the Index Calculation Agent will deduct the applicable rebalancing adjustment factor by calculating the net turnover of the Constituent Stocks Calculating the Index level. The final step is for the Index Calculation Agent to calculate and publish the Index level. 4. Who is this Index for? Exposure to the Index may be of interest to investors if: (a) They are familiar with trading in stocks and therefore appreciate the risks associated with such investments; (b) (c) They are familiar with all the concepts outlined in the Rules (including, for example, Equity Risk Premium Factor); They have obtained a copy of the Rules and are able to understand the construct and calculation of the Index as set out in the Rules. Gaining exposure to the Index may be suitable for you if: You are looking for an investment that seeks to achieve a long exposure to shares selected on the basis of an equity risk premium factor method. You understand the rationale for equity risk premium investment. You wish to access synthetic investments. You are comfortable that, due to its long only construction, it may have a high correlation with the broader Reference Index and may post losses in the event of an equity markets sell-off. Gaining exposure to the Index may not be suitable for you if: You prefer a diversified allocation either via exposure to different equity markets or across different asset classes. You prefer an equity index that is a recognised benchmark rather than a risk factor index. You do not understand the rationale for risk premia factor indices. 5. How is the Index expected to perform under normal market conditions? Each Multi-factor ERPF Index takes a long exposure to a basket of stocks. The basket of stocks are in turn selected from a Reference Index e.g. in the case of the J.P. Morgan Equity Risk Premia Europe Multi- Factor Long Only (EUR) Index, the stocks of the Component Indices are selected from the MSCI Europe Index (the Reference Index ). NCM/ / v5 4

5 As such, it is expected that each Multi-factor ERPF Index will have a high degree of correlation with the Reference Index. In addition, there may be some idiosyncratic risk associated with the shares in such basket, and in some cases the Multi-factor ERPF Index can move either similarly to the Reference Index or opposite to the Reference Index. Furthermore, the Multi-factor Long Only Index is expected to be more concentrated than the Reference Index since there are approximately 200 stocks in the Index compared with the Reference Index which has approximately 400 stocks. Worst case scenario: Historically (in the time frame covered by the historical simulation of the Index, i.e. from 4 th Jan 2000 to 30 th Jun 2015) the biggest single daily move in each of the Indices described in this document was: Name Index J.P. Morgan Equity Risk Premia Europe Multi-Factor Long Only (EUR) Index Return -8.19% Date 6 th Oct How do dividends paid on the stocks impact the level of the indices? The dividends paid by the Constituent Stocks referenced in each Multi-factor ERPF Index are reinvested net of withholding taxes across the Basket. For the calculation of the Indices, a dividend will be considered to be paid and reinvested into the Index when any stock is a constituent of the index on the ex-dividend date for that stock. The ex-dividend date is the date on which a buyer of a stock would not be entitled to receive the dividend. 7. What are the key risks? The Index and its objective: The Index may not be successful in achieving its stated objective. In order to achieve its stated objective, the Index follows a proprietary strategy of selecting stocks on each rebalancing date from the Component Indices. Each Component Index follows an applicable Equity Risk Premium Factor methodology and therefore by aggregation, each Multi-factor ERPF Index follows a combination of Equity Risk Premia Factor methodologies. No assurance can be given that the stocks selected will continue to exhibit the Equity Risk Premium Factor subsequent to each rebalancing date. The Index methodology has been constructed on the basis of certain historically observed trends, correlations or assumptions, none of which may be realized during the term of any exposure to the stocks. Risks associated with the Component Indices: potential investors in products linked to the Multi-factor ERPF Indices should carefully read and understand the risks associated with each Component Index. Dynamic allocation mechanism: There is a dynamic allocation mechanism in the Index that limits the exposure of the Index to the performance of a sub-set of the stocks of the Reference Index, which results in the Index being more concentrated than the Reference Index itself. Accordingly, the performance of the Index may be lower and/or more volatile than that which would be achieved if there was a full allocation or exposure to stocks comprising the Reference Index. For instance but not limited to this example, the Index is likely to underperform the Reference Index in a bearish (i.e. where the price of securities which comprise the Reference Index are generally falling) and volatile scenario, when negative returns of the Index may become strongly correlated and the lesser diversification in comparison with the NCM/ / v5 5

6 Reference Index may make the Index underperform the Reference Index. In addition, the allocation mechanism is proprietary and may not behave in a manner similar to other such mechanisms offered by other index sponsors and may result in an Index performance that is lower than would have been achieved using a different allocation mechanism. Lack of Reactivity to Changing Circumstances: The Index rebalances on a monthly basis on each rebalancing date based on stocks which are selected on the rebalancing selection date in accordance with the Index rules. In the event that circumstances change affecting the equity risk premium factor of the constituents of the Index between a rebalancing selection date and a rebalancing date, or shortly after a rebalancing date, this will not change the constituents of the Index until the next rebalancing date. As a result, the Index may not react to changing circumstances as quickly as an actively managed strategy. Rules for determining the eligible stocks may change: The Index provides exposure to eligible stocks of the Reference Index. The methodology for determining (i) the selection of the eligible stocks which will form part of the Index and (ii) the level of the eligible stocks, may be amended by the Index sponsor in certain circumstances as set out in the Index rules. Any such changes may have a detrimental effect on the level of the Index and the determination methodology of the eligible stocks. Performance and/or Correlation of the Index: There is no assurance as to how the Index will perform in either absolute terms or in relative terms. Specifically, there can be no assurance as to how the Index will perform in relation to the performance of equities or any other asset class. The performance of each Index is likely to diverge from the performance of the Reference Index; and in a manner that can be unpredictable or volatile. The historical performance of the Index is not an indication of its future performance: It is not possible to predict whether the level of the Index will rise or fall. The actual performance of the Index may bear little relation to the historical levels of the Index. The Index has limited historical information and may perform in unanticipated ways: The Index has only recently been established as a tradable strategy and therefore has no data on which to evaluate its longterm historical performance. Any back-testing or similar analysis on the Index is illustrative only and may be based on estimates or assumptions not used in determining actual levels of the Index. The historical performance of the Index before Live Date available on Bloomberg or from any other information vendors may show hypothetical performance based on backtesting and/or scenario analysis. This does not represent the performance of an actual investment and is derived by applying the methodology (using certain assumptions) on a retroactive basis. Hypothetical performance results have many inherent limitations and there may frequently be sharp differences between hypothetical performance results and the actual results subsequently achieved. Because the Index is of recent origin and limited historical performance data exists with respect to it, your investment in the Sub-Fund may involve greater risk than investing in investments linked to one or more indices with an established record of performance. Volatility: The levels of the stocks underlying the Index can be volatile and move dramatically over short periods of time. There can be no assurance that the relevant exposures will not be subject to substantial negative returns. Positive returns on the Index may therefore be reduced or eliminated entirely. Determinations of Index calculation agent and Index sponsor: The Index is an algorithmic and rule-based index. As detailed in the Index calculation methodology, the Index calculation agent and/or Index sponsor (as applicable) may make certain determinations in the event of certain market disruption or extraordinary events in respect of the Index or a component stock and if so, the nature of the relevant consequences. Determinations made by the Index Calculation Agent and/or Index Sponsor (as applicable) could adversely affect the value or performance of the Index or any product linked to the Index and the determinations made by the Index Calculation Agent and/or Index Sponsor (as applicable) could present it with a conflict of interest. In making those determinations, the Index calculation agent and/or Index NCM/ / v5 6

7 sponsor (as applicable) will act in good faith and a commercially reasonable manner and may use reasonable discretion. The Index Calculation Agent and/or Index Sponsor (as applicable) will not be required to, and will not, take the interests of any investor of any such product into account or consider the effect its determinations will have on the value of such a product. All determinations made by the Index Calculation Agent and/or Index Sponsor (as applicable), in accordance with the Index Calculation Methodology, shall be conclusive. The Index Calculation Agent and/or Index Sponsor (as applicable) shall not have any liability for such determinations. Rebalancing adjustments: The level of the Index is adjusted to account for rebalancing adjustments, which reflect the replication costs applied algorithmically within by the Index for each rebalancing of the components and may not reflect the rebalancing costs that a dealer may face when entering into similar transactions. The rebalancing adjustments are applied in respect of the stocks referenced in the Index which are rebalanced monthly. The effect of the rebalancing adjustments is to act as a drag on the performance of the Index. The drag is greater in circumstances where the absolute change in exposure (i.e. a decrease or increase in exposure) of the Index to its constituent stocks is larger. Foreign exchange rate: In order to calculate the Index level, the closing price of any constituent stock of the Index which is not denominated in the currency of the Multi-factor ERPF Index will be converted into the Index s currency using the foreign exchange rate as set out in the Index rules. The returns of the Index may be adversely affected by daily variations in the foreign exchange rate of the Index currency against the currency in which the constituent stocks of the Index are denominated. Conflicts of interest: Potential conflicts of interest may exist in the structure and operation of the Indices and the course of the normal business activities of the Index Sponsor, the Index Calculation Agent and any of their affiliates or subsidiaries or their respective directors, officers, employees, representatives or agents (each a Relevant Person ). All persons reading this document should be aware that a conflict of interest could arise where anyone is acting in more than one capacity, and such conflict may have an impact, positive or negative on the Index level. None of the Index Sponsor, Index Calculation Agent or any Relevant Person has any duty to consider the circumstances of any person when participating in such transactions or to conduct themselves in a manner that is favorable to anyone with exposure to these Indices. J.P. Morgan can still profit from any product referencing an Index even if the product and/or Index does not perform Because of its hedging activity, J.P. Morgan can still earn a profit even if the product and/or the Index does not perform. 8. What is the Rebalancing Adjustment Factor in the Indices? The Rules provide for a Rebalancing Adjustment Factor which is applied to the notional value stocks that are rebalanced and also serves as a deduction from the Index level. The Index level published by the Index Calculation Agent will be net of such Rebalancing Adjustment Factor. Deduction Rebalancing Adjustment Factor Description There are rebalancing adjustments associated with replicating the entry into and the exit to each stock referenced in the Indices. Each time that each Index entries or exits a new stock position, a deduction is made from the Index level on that day. The amount of the adjustment is pre-defined and set out in the Rules. In respect of the J.P. Morgan Equity Risk Premia Europe Multi-Factor Long Only (EUR) Index the rebalancing adjustment factor is 0.04%. NCM/ / v5 7

8 Whenever the Index increases or decreases exposure to the stocks, the Rebalancing Adjustment Factor is applied to the absolute change in the exposure. 9. What is the potential amount of the Rebalancing Adjustment Factors and the Adjustment Factors? Historically simulated performance from 4 th Jan 2000 to 30 th Jun 2015 suggests that the Rebalancing Adjustment Factors and Adjustment Factors would have resulted in a per annum impact as set out in the table below. Past performance should not be considered indicative of future performance. Future impact on each Index may be considerably more than the impact set out in the table below. 1 Index Name J.P. Morgan Equity Risk Premia Europe Multi-Factor Long Only (EUR) Index P.a. Impact of Rebalancing Adjustment Factor 0.24% 10. When is the Index level calculated and where is it published? Subject to the occurrence of any market disruptions, the Index level shall be determined in respect of each day other than a Saturday or Sunday. The Index is maintained by J.P. Morgan Securities plc in its capacity as Index Sponsor. The Index rules, related disclosures and weights are published by the Index Sponsor on the relevant web-pages of How can market disruptions and extraordinary events impact the Index? The publication of the Index level may depend on the maintenance of requisite licenses, the continued price publication (and exchange trading where applicable) of the relevant stocks and the continued publication of Reference Index. Any disturbance or discontinuation of any of these actions may adversely affect the ability of the Index Calculation Agent to continue with the calculation and publication of the Index level. The Rules for the Index confer on the Index Calculation Agent discretion in making certain determinations and calculations in case of market disruption events and extraordinary events. NCM/ / v5 8

9 Annex A Information specific to the Component Indices of the Multi-factor ERPF Index The J.P. Morgan Equity Risk Premia Europe Multi-Factor Long Only (EUR) Index J Name Rationale for the Component ERP Index 1 J.P. Morgan Equity Risk Premia Europe QUALITY FACTOR Long Only Index 2 J.P. Morgan Equity Risk Premia Europe VALUE FACTOR Long Only Index 3 J.P. Morgan Equity Risk Premia Europe LOW SIZE FACTOR Long Only Index The Index aims to generate returns by selecting stock based on the equity risk premium factors, which is represented by the following quality metrics: (i) (ii) (iii) return on equity; net income margin; and equity to debt ratio Based on the equity risk premium factor methodology, the Index will provide long exposure to stocks that are deemed to be quality shares. The Index aims to generate returns by selecting stock based on the equity risk premium factors, which is represented by the following value metrics: (i) earning yield;. (ii) free cash flow yield; and. (iii) book to price ratio Based on the equity risk premium factor methodology, the Index will provide long exposure to constituent stocks that are deemed to be value shares. The Index aims to generate returns by selecting stocks based on the market capitalisation. Based on the equity risk premium factor methodology, the Index will provide long exposure to constituent stocks that are expected to have a low euro market capitalization 4 J.P. Morgan Equity Risk Premia Europe LOW BETA FACTOR Long Only Index The Index aims to generate returns by selecting stocks based on their 1 year beta relative to their local equity market. Based on the equity risk premium factor methodology, the Index will provide long exposure to constituent stocks that have a low beta relative to their local equity market. 5 J.P. Morgan Equity Risk Premia Europe MOMENTUM FACTOR Long Only Index The Index aims to generate returns by selecting stocks based on their total return over the last 12 months. Based on the equity risk premium factor methodology, the Index will provide long exposure to constituent stocks that have had a high total return Disclaimer The MSCI Europe Index was used by J.P. Morgan as the reference universe for selection of the companies included in the Index. MSCI does not in any way sponsor, support, promote or endorse the JPMorgan Index. MSCI was not and is not involved in any way in the creation, calculation, maintenance or review of the Index. The MSCI Europe Index was provided to J.P. Morgan on an as is basis. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating the MSCI Europe Index (collectively, the MSCI Parties ) expressly disclaim all warranties (including, without NCM/ / v5 9

10 limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose). Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages in connection with the MSCI Europe Index or the Index. NCM/ / v5 10

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