Please read this information in conjunction with the summary
terms on the front cover of this document.
|
Additional Provisions:
|
|
Postponement of maturity date:
|
If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a trading day or if a market disruption event occurs on that day so that the valuation date is postponed and falls less
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
than three business days prior to the scheduled maturity date, the maturity date of the PLUS will be postponed to the third business day following the valuation date as postponed.
|
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Minimum ticketing size:
|
$1,000 / 100 PLUS
|
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Trustee:
|
Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
|
|
Calculation agent:
|
JPMS
|
|
The estimated value of the PLUS:
|
The estimated value of the PLUS set forth on the cover of this
document is equal to the sum of the values of the following hypothetical components: (1) a fixed-income debt component with the
same maturity as the PLUS, valued using the internal funding rate described below, and (2) the derivative or derivatives underlying
the economic terms of the PLUS. The estimated value of the PLUS does not represent a minimum price at which JPMS would
be willing to buy your PLUS in any secondary market (if any exists) at any time. The internal funding rate used in the
determination of the estimated value of the PLUS is based on, among other things, our and our affiliates’ view of the funding
value of the PLUS as well as the higher issuance, operational and ongoing liability management costs of the PLUS in comparison
to those costs for the conventional fixed-rate debt of JPMorgan Chase & Co. For additional information, see “Risk
Factors — The estimated value of the PLUS is derived by reference to an internal funding rate” in this document. The
value of the derivative or derivatives underlying the economic terms of the PLUS is derived from internal pricing models of our
affiliates. These models are dependent on inputs such as the traded market prices of comparable derivative instruments
and on various other inputs, some of which are market-observable, and which can include volatility, dividend rates, interest rates
and other factors, as well as assumptions about future market events and/or environments. Accordingly, the estimated
value of the PLUS on the pricing date is based on market conditions and other relevant factors and assumptions existing at that
time. See “Risk Factors — The estimated value of the PLUS does not represent future values of the PLUS and
may differ from others’ estimates” in this document.
The estimated value of the PLUS will be lower than the original
issue price of the PLUS because costs associated with selling, structuring and hedging the PLUS are included in the original issue
price of the PLUS. These costs include the selling commissions paid to JPMS and other affiliated or unaffiliated dealers, the structuring
fee, the projected profits, if any, that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the PLUS and the estimated cost of hedging our obligations under the PLUS. Because hedging our obligations entails
risk and may be influenced by market forces beyond our control, this hedging may result in a profit that is more or less than expected,
or it may result in a loss. We or one or more of our affiliates will retain any profits realized in hedging our obligations
under the PLUS. See “Risk Factors — The estimated value of the PLUS will be lower than the original issue
price (price to public) of the PLUS” in this document.
|
|
Secondary market prices of the PLUS:
|
For information about factors that will impact any secondary market prices of the PLUS, see “Risk Factors — Secondary market prices of the PLUS will be impacted by many economic and market factors” in this document. In addition, we generally expect that some of the costs included in the original issue price of the PLUS will be partially paid back to you in connection with any repurchases of your PLUS by JPMS in an amount that will decline to zero over an initial predetermined period that is intended to be the shorter of six months and one-half of the stated term of the PLUS. The length of any such initial period reflects the structure of the PLUS, whether our affiliates expect to earn a profit in connection with our hedging activities, the estimated costs of hedging the PLUS and when these costs are incurred, as determined by our affiliates. See “Risk Factors — The value of the PLUS as published by JPMS (and which may be reflected on customer account statements) may be higher than the then-current estimated value of the PLUS for a limited time period.”
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Tax considerations:
|
You should review carefully the section entitled “Material
U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-1-I. The following discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell
LLP, regarding the material U.S. federal income tax consequences of owning and disposing of PLUS.
Based on current market conditions, in the opinion of our special
tax counsel, your PLUS should be treated as “open transactions” that are not debt instruments for U.S. federal income
tax purposes, as more fully described in “Material U.S. Federal Income Tax Consequences — Tax Consequences to U.S.
Holders — Notes Treated as Open Transactions That Are Not Debt Instruments” in the accompanying product supplement. Assuming
this treatment is respected, subject to the possible application of the “constructive ownership” rules, the gain or
loss on your PLUS should be treated as long-term capital gain
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
or loss if you hold your PLUS for more than a year, whether or
not you are an initial purchaser of PLUS at the issue price. The PLUS could be treated as “constructive ownership
transactions” within the meaning of Section 1260 of the Code, in which case any gain recognized in respect of the PLUS that
would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as
defined in Section 1260) would be treated as ordinary income, and a notional interest charge would apply as if that income had
accrued for tax purposes at a constant yield over your holding period for the PLUS. Our special tax counsel has not
expressed an opinion with respect to whether the constructive ownership rules apply to the PLUS. Accordingly, U.S. Holders
should consult their tax advisers regarding the potential application of the constructive ownership rules.
The IRS or a court may not respect the treatment of the PLUS
described above, in which case the timing and character of any income or loss on your PLUS could be materially and adversely affected. In
addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require investors in
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature
of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the constructive ownership regime described above. While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the PLUS, possibly with retroactive effect. You should
consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the PLUS, including the potential
application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice.
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments
linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a
“Qualified Index”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments
issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S.
federal income tax purposes (each an “Underlying Security”). Based on certain determinations made by us,
we expect that Section 871(m) will not apply to the PLUS with regard to Non-U.S. Holders. Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If
necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement
for the PLUS. You should consult your tax adviser regarding the potential application of Section 871(m) to the PLUS.
Withholding under legislation commonly referred to as “FATCA”
may (if the PLUS are recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the PLUS. Under
a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest)
of a taxable disposition, including redemption at maturity, of the PLUS. You should consult your tax adviser regarding
the potential application of FATCA to the PLUS.
|
|
Supplemental use of proceeds and hedging:
|
The PLUS are offered to meet investor demand for products that
reflect the risk-return profile and market exposure provided by the PLUS. See “How the PLUS Work” in this
document for an illustration of the risk-return profile of the PLUS and “Financial Select Sector SPDR
®
Fund
Overview” in this document for a description of the market exposure provided by the PLUS.
The original issue price of the PLUS is equal to the estimated
value of the PLUS plus the selling commissions paid to JPMS and other affiliated or unaffiliated dealers and the structuring fee,
plus (minus) the projected profits (losses) that our affiliates expect to realize for assuming risks inherent in hedging our obligations
under the PLUS, plus the estimated cost of hedging our obligations under the PLUS.
|
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Benefit plan investor
|
See “Benefit Plan Investor Considerations” in the accompanying product supplement.
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
considerations:
|
|
|
Supplemental plan of distribution:
|
Subject to regulatory constraints, JPMS intends to use its reasonable
efforts to offer to purchase the PLUS in the secondary market, but is not required to do so. JPMS, acting as agent for
JPMorgan Financial, will pay all of the selling commissions it receives from us to Morgan Stanley Wealth Management. In
addition, Morgan Stanley Wealth Management will receive a structuring fee as set forth on the cover of this document for each PLUS.
We or our affiliate may enter into swap agreements or related
hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the PLUS and
JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See
“— Supplemental use of proceeds and hedging” above and “Use of Proceeds and Hedging” in the accompanying
product supplement.
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Contact:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (800) 869-3326).
|
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Where you can find more information:
|
You may revoke your offer to purchase the PLUS at any time prior
to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the PLUS prior to their issuance. In the event of any changes to the terms of the
PLUS, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also
choose to reject such changes in which case we may reject your offer to purchase.
You should read this document together with the accompanying
prospectus, as supplemented by the accompanying prospectus supplement relating to our Series A medium-term notes of which these
PLUS are a part, and the more detailed information contained in the accompanying product supplement.
This document, together with the documents listed below, contains
the terms of the PLUS and supersedes all other prior or contemporaneous oral statements as well as any other written materials
including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures,
stand-alone fact sheets, brochures or other educational materials of ours. You should carefully consider, among other
things, the matters set forth in the “Risk Factors” section of the accompanying product supplement, as the PLUS involve
risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the PLUS.
You may access these documents on the SEC website at www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
• Product supplement no. MS-1-I dated June 3, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316013935/crt_dp64833-424b2.pdf
• Prospectus supplement and prospectus, each dated April
15, 2016:
http://www.sec.gov/Archives/edgar/data/19617/000095010316012636/crt_dp64952-424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 1665650,
and JPMorgan Chase & Co.’s CIK is 19617.
As used in this document, “we,” “us,”
and “our” refer to JPMorgan Financial.
“Performance Leveraged Upside Securities
SM
”
and “PLUS
SM
” are service marks of Morgan Stanley.
|
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Annex A
The iShares
®
Latin America
40 ETF
All information contained in this pricing supplement
regarding the iShares
®
Latin America 40 ETF (the “Latin America Fund”) has been derived from publicly
available information, without independent verification. This information reflects the policies of, and is subject to
change by iShares
®
Trust and BlackRock Fund Advisors (“BFA”). The Latin America Fund is an
investment portfolio of iShares
®
Trust. BFA is currently the investment adviser to the Latin America
Fund. The Latin America Fund is an exchange-traded fund that trades on the NYSE Arca, Inc. under the ticker symbol “ILF.”
The Latin America Fund seeks to track the investment
results, before fees and expenses, of an index composed of 40 of the largest Latin American equities, which we refer to as the
underlying index with respect to the Latin America Fund. The Underlying Index for the Latin America Fund is currently
the S&P Latin America 40
TM
Index (the “Latin America Index”). For more information about
the Latin America Index, please see “The S&P Latin America 40
TM
” below.
BFA uses a “representative sampling”
indexing strategy to manage the Latin America Fund. “Representative sampling” is an investment strategy
that involves investing in a representative sample of securities that collectively has an investment profile similar to that of
the underlying index. The securities selected are expected to have, in the aggregate, investment characteristics (based
on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and
yield) and liquidity measures similar to those of the underlying index. The Latin America Fund may or may not hold all
of the securities in the underlying index.
The underlying index is a theoretical financial
calculation, based on a grouping of financial instruments that is not an investment product, while the Latin America Fund is an
actual investment portfolio. The performance of the Latin America Fund and the underlying index may vary for a number
of reasons, including transaction costs, non-U.S. currency valuations, asset valuations, corporate actions (such as mergers and
spin-offs), timing variances and differences between the Latin America Fund’s portfolio and the underlying index resulting
from the Latin America Fund’s use of representative sampling or from legal restrictions (such as diversification requirements)
that apply to the Latin America Fund but not to the underlying index. “Tracking error” is the divergence
of the performance (return) of the Latin America Fund’s portfolio from that of the underlying index. BFA expects
that, over time, the Latin America Fund’s tracking error will not exceed 5%. Because the Latin America Fund uses
a representative sampling indexing strategy, it can be expected to have a larger tracking error than if it used a replication indexing
strategy. “Replication” is an indexing strategy in which a fund invests in substantially all of the securities
in its underlying index in approximately the same proportions as in the underlying index.
iShares
®
Trust is a registered
investment company that consists of numerous separate investment portfolios, including the Latin America Fund. Information
provided to or filed with the SEC by iShares
®
Trust pursuant to the Securities Act of 1933, as amended, and the
Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-92935 and 811-09729 through the
SEC’s website at http://www.sec.gov. For additional information regarding iShares
®
Trust,
BFA and the Latin America Fund, please see the Latin America Fund’s prospectus. In addition, information about
iShares
®
Trust and the Latin America Fund may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents and the iShares
®
website at www.ishares.com. Information
contained in the iShares
®
website and in the Latin America Fund’s prospectus is not incorporated by reference
in, and should not be considered a part of, this pricing supplement.
The S&P Latin America 40
TM
Index
General
All information contained in this pricing supplement
regarding the Latin America Index, including, without limitation, its make-up, performance, method of calculation and changes in
its components, has been derived from publicly available sources, without independent verification. This information
reflects the policies of and is
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
subject to change by S&P Dow Jones Indices
LLC (“S&P Dow Jones”). The Latin America Index is calculated, maintained and published by S&P Dow
Jones. S&P Dow Jones does not have any obligation to continue to publish, and may discontinue the publication of,
the Latin America Index.
The Latin America Index is a free float-adjusted
market capitalization index that is designed to measure the performance of 40 blue-chip companies that capture approximately 70%
of the region’s equity market. Constituents are drawn from five Latin American markets: Brazil, Chile, Colombia,
Mexico and Peru.
The Latin America Index is reported by Bloomberg
L.P. under the ticker symbol “SPLAC.”
Eligibility Criteria
The Latin America Index constituents are drawn
from the S&P/IFCI country indices of Brazil, Chile, Colombia, Mexico and Peru. The S&P/IFCI country indices
require that, at the annual reconstitution, a stock must have a minimum float-adjusted market capitalization of US$ 200 million
to be added to the index. During the annual reconstitution, S&P/IFCI country indices constituents that fall below
US$ 200 million, but have a float-adjusted market capitalization of at least US$ 150 million, remain in those indices. Stocks
must have an annual dollar value traded of at least US$ 100 million to be added to the S&P/IFCI country indices. A
stock’s domicile is determined based on criteria that include incorporation, registration, operational headquarters location,
primary exchange listing, geographic breakdown of revenue and assets, ownership information, location of offices, directors and
employees and investor perception. All investable primary market share classes are included in the S&P/IFCI country
indices.
The eligibility factors for the Latin America
Index are set forth below.
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·
|
Market Capitalization
: The Latin America Index is designed to
include blue-chip stocks from the five markets listed above. Stocks are included if they are among the largest stocks
from these markets in terms of market capitalization. A stock’s weight in the Latin America Index is determined
by the float-adjusted market capitalization of the stock. All strategic holdings are classified as either corporate,
private or government holdings and are removed from the float-adjusted market capitalization.
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·
|
Liquidity
: Index constituents are ranked according to liquidity,
measured by dollar value traded. Annual value traded, float turnover and days traded are also analyzed on a quarterly
basis to ensure ample liquidity. Given two comparably sized companies, the higher the 12-month value traded, the more
likely its inclusion.
|
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·
|
Listings
: Where applicable, the Latin America Index will give
preference to developed market listings of an index constituent. This may include U.S.-listings, U.S.-listed American
Depositary Receipts or other developed market listings as long as the listing meets the liquidity requirements mentioned above.
|
|
|
·
|
Eligible Securities
: All common and preferred shares (which
are of an equity and not of a fixed income nature) are eligible for inclusion in the Latin America Index. Convertible
stock, bonds, warrants, rights, and preferred stock that provide a guaranteed fixed return are not eligible.
|
|
|
·
|
Sector Classification
: Stocks are classified by the Global Industry
Classification Standard (“GICS
®
”). The Latin America Index provides geographic and economic
balance over the 11 GICS
®
Sectors. These sectors are Consumer Discretionary, Consumer Staples, Energy, Financials,
Health Care, Industrials, Information Technology, Materials, Real Estate, Telecommunication Services and Utilities.
|
Index Construction
The Latin America Index is calculated using a
base-weighted aggregate methodology, meaning that the level of the Latin America Index reflects the total market value of all the
component stocks relative to a particular base period. The total market value of a company is determined by multiplying
the price of its stock by the number of shares available after float adjustment. An indexed number is used to represent
the result of this calculation in order to make the value easier to work with and track over time. The Latin America
Index is calculated in real time.
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
S&P Dow Jones believes that turnover in index
membership should be avoided when possible. At times a company may appear to temporarily violate one or more of the
addition criteria. However, the addition criteria are for addition to the Latin America Index, not for continued membership. As
a result, an index constituent that appears to violate criteria for addition to the Latin America Index will not be deleted unless
ongoing conditions warrant an index change.
Index Calculation
The Latin America Index is a float-adjusted market
capitalization-weighted index. On any given day, the index value of the Latin America Index is the total float-adjusted
market capitalization of the Latin America Index’s constituents divided by its divisor. The float-adjusted market
capitalization reflects the price of each stock in the Latin America Index multiplied by the number of shares used in the index
value calculation.
Float Adjustment
. Float adjustment
means that the number of shares outstanding is reduced to exclude closely held shares from the calculation of the index value because
such shares are not available to investors. The goal of float adjustment is to distinguish between strategic (control)
shareholders, whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company, and
those holders whose investments depend on the stock’s price and their evaluation of a company’s future prospects. Generally,
these “control holders” include officers and directors, private equity, venture capital and special equity firms, other
publicly traded companies that hold shares for control, strategic partners, holders of restricted shares, employee stock ownership
plans, employee and family trusts, foundations associated with the company, holders of unlisted share classes of stock or government
entities at all levels (other than government retirement/pension funds) and any individual person who controls a 5% or greater
stake in a company as reported in regulatory filings. Shares that are not considered outstanding are also not included
in the available float. These generally include treasury stock, stock options, equity participation units, warrants,
preferred stock, convertible stock and rights.
For each component, S&P Dow Jones calculates
an Investable Weight Factor (“IWF”), which represents the portion of the total shares outstanding that are considered
part of the public float for purposes of the Latin America Index. IWFs are reviewed annually, updated based on the companies’
latest filings and new IWFs are implemented on the third Friday of September.
Divisor
. Continuity in index
values of the Latin America Index is maintained by adjusting its divisor for all changes in its constituents’ share capital
after its base date. This includes additions and deletions to the Latin America Index, rights issues, share buybacks
and issuances and non-zero price spin-offs. The value of the Latin America Index’s divisor over time is, in effect,
a chronological summary of all changes affecting the base capital of the Latin America Index. The divisor of the Latin
America Index is adjusted such that the index value of the Latin America Index at an instant just prior to a change in base capital
equals the index value of the Latin America Index at an instant immediately following that change.
Index Rebalancings
Any share change of 5% or more is implemented
on the effective date, or as soon as reliable information is available. Changes of less than 5% are applied on the third
Friday of March, June, September and December. Similarly, any change affecting a stock’s float adjustment is implemented
on the effective date if it causes a capitalization change of 5% or more. Changes of less than 5% are applied at the
September quarterly review.
A share/IWF freeze period is implemented during
each quarterly rebalancing. The freeze period begins after the market close on the Tuesday preceding the second Friday
of each rebalancing month (
i.e.
, March, June, September, and December) and ends after the market close on the third Friday
of a rebalancing month. Pro-forma files are normally released after the market close on the second Friday, one week
prior to the rebalancing effective date. In September, preliminary share and float data are released on the first Friday
of the month, but the share freeze period for September will follow the same schedule as the other three quarterly share freeze
periods.
During the share/IWF freeze period, shares and
IWFs are not changed except for certain corporate action events (such as merger activity, stock splits, rights offerings and certain
share dividend payable events).
JPMorgan Chase Financial Company LLC
PLUS Based on the Performance of the
iShares
®
Latin America 40 ETF
due August 30, 2018
Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Additions
An index addition is generally made only if a
vacancy is created by an index deletion. Index additions are made according to market size and liquidity, with a view
to preserving regional, country, and sector representation in the Latin America Index. An initial public offering (IPO)
is added to the Latin America Index only when an appropriate vacancy occurs and is subject to proven liquidity for at least six
months. An exception may be made for extraordinarily large global offerings where expected trading volume justifies
inclusion.
Deletions
Deletions can occur due to acquisitions, mergers
and spin offs, or due to bankruptcies or suspension. The latter is removed from the Latin America Index at the best
available price in the market. In cases where there is no achievable market price for a stock being deleted, it can
be removed at a zero or minimal price at the Index Committee’s (as defined below) discretion, in recognition of the constraints
faced by investors in trading bankrupt or suspended stocks. Imposition of restrictive foreign investments in the sector
or country within any of the countries will be handled expeditiously to allow investors to exit the sector or country in the least
unfavorable manner.
Currency of Calculation
The Latin America Index is calculated in U.S.
dollars. The underlying prices are collected in local currencies via Reuters. Using Reuters’
real-time spot exchange rate, these local prices are converted to U.S. dollars. The last exchange to close in the Latin
America Index is Chile at 06:30 PM (04:30 PM Eastern Time). The Latin America Index’s closing value is calculated
at 05:05 PM Eastern Time, allowing time for late trades to come in, using the real-time exchange rates at that point in time. In
situations where either a stock does not trade or a primary exchange is not open for trading, but the Latin America Index is being
calculated as other constituent primary exchanges are open and trading, the stocks from the closed primary exchange will use the
last available closing price and convert into U.S. dollars using the real time spot foreign exchange rate of the day. The
Latin America Index’s final closing values convert all stock prices used in the index calculation at the spot foreign exchange
rate provided by Reuters at the closing time of the index, (
i.e.
, 05:05 PM Eastern Time).