Example 3 The price of the Fund decreases by 60% from the Initial
Share Price of $100 to the Final Share Price of $40. Because the Fund Return is -60% and the Final Share Price is less
than the Trigger Price of $65, at maturity, JPMorgan Chase will pay
you a payment at maturity of $4.00 per $10 principal amount Security,
calculated as follows:
$10.00 + ($10.00 × Fund Return)
$10.00 + ($10.00 × -60%) = $4.00
If the Fund Return is negative and the Final Share Price is less than
the Trigger Price, investors will be exposed to the negative Fund
Return at maturity, resulting in a loss of principal that is
proportionate to the Fund's decline from the Trade Date to the Final
Valuation Date. Investors could lose some or all of their principal
amount.
The hypothetical returns and hypothetical payments on the Securities
shown above apply only if you hold the Securities for their entire term. These hypotheticals do not reflect fees or expenses that would be
associated with any sale in the secondary market. If these fees and
expenses were included, the hypothetical returns and hypothetical
payments shown above would likely be lower.
The Fund
The Fund is an exchange-traded fund managed by The Vanguard Group,
Inc. ("Vanguard"), the investment adviser to the Vanguard FTSE
Emerging Markets ETF. The Fund seeks to track the performance of a
benchmark index that measures the investment return of stocks issued
by companies located in emerging market countries, which we refer to
as the Underlying Index with respect to the Fund. The Underlying
Index is currently the FTSE Emerging Markets All Cap China A
Inclusion Transition Index (the "Interim Index"). After a transition
period of approximately 12 months, the Fund will track the
performance of the FTSE Emerging Markets All Cap China A Inclusion
Index (the "Target Index"). Prior to November 2, 2015, the Fund
sought to track the performance of the FTSE Emerging Index, a
market-capitalization weighted index representing the performance of
large- and mid-cap companies in emerging markets. For more
information about the FTSE Emerging Index, please see "Equity Index
Descriptions The FTSE GEIS Indices" in the accompanying underlying
supplement no. 1a-I.
For additional information about the Interim Index and the Target
Index, see the information set forth under " The FTSE Emerging
Markets All Cap China A Inclusion Transition Index " and " The FTSE
Emerging Markets All Cap China A Inclusion Index" below.
On November 2, 2015, the Fund ceased tracking the FTSE Emerging Index
and began tracking the Interim Index. Over a period of approximately
12 months, through gradually increasing exposure to
small-capitalization stocks and China A-Shares to the FTSE Emerging
Index, the Interim Index will eventually replicate the Target Index.
China A-shares, which are securities of Chinese incorporated
companies that are quoted in Renminbi, can only be traded by either
residents of the People's Republic of China or under the qualified
foreign institutional investor ("QFII") rules and stock connect
schemes. After the transition period when the Fund tracks the Interim
Index, the Fund will begin to track the Target Index, which will be
quota-adjusted by FTSE to take into account the quota amount
allocated to foreign investors by the Chinese regulator.
During both the transition and final benchmark phases, the Fund will
invest by sampling the relevant index, meaning that it will hold a
broadly diversified collection of securities that, in the aggregate,
approximates the full index in terms of key characteristics.
For additional information about the Fund, see the information set
forth under "Fund Descriptions The Vanguard FTSE Emerging Markets
ETF" in the accompanying underlying supplement no. 1a-I.
|
The FTSE Emerging Markets All Cap China A Inclusion Transition Index |
We have derived all information contained in this free writing
prospectus regarding the Interim Index, including, without
limitation, its make-up, method of calculation and changes in its
components, from publicly available information, without independent
verification. This information reflects the policies of, and is
subject to change by, FTSE International Limited ("FTSE"). FTSE has
no obligation to continue to publish, and may discontinue publication
of, the Interim Index.
The Interim Index will be calculated over twelve months and at the
start of the transition will contain only
constituents of the FTSE Emerging Index. On a monthly basis, a
proportion of small-capitalization and China A-share companies will
be added until at the end of the year-long transition, the
composition is aligned with the Target Index. The weight of China
A-shares and small-capitalization companies will be adjusted after
the third Friday of each month using a factor approach. At the start
of the index calculation, China A-shares and small-capitalization
companies will have a factor of 0 applied to their free-float
adjusted market capitalizations. Each month, the factor will be
increased by 8.33%. At month 12, the full weight of China A-shares
and small cap companies will have been added to the Interim Index and
the index constituents and weightings will be aligned with the Target
Index.
The constituents' weights in the Interim Index are neutralized
between transition reviews when a corporate event leads to a rise or
fall in index weighting for a constituent could potentially be
reversed at the next monthly transition review. This may cause FTSE
to adjust the factor applied to an index constituent's market
capitalization.
|
The FTSE Emerging Markets All Cap China A Inclusion Index |
We have derived all information contained in this free writing
prospectus regarding the Target Index, including, without limitation,
its make-up, method of calculation and changes in its components,
from publicly available information, without independent
verification. This information reflects the policies of, and is
subject to change by, FTSE. FTSE has no obligation to continue to
publish, and may discontinue publication of, the Target Index.
The Target Index is a market-capitalization weighted index
representing the performance of large, mid and small-cap companies in
emerging markets. The Target Index was launched on June 5, 2015, with
a base date of December 31, 2005 and a base value of 1,000.