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

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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

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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