2024 - JPM SP BV (YE)

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report

The directors present their report and the financial statements of J.P. Morgan Structured Products B.V. (the "Company") for the

year ended 31 December 2024.

Principal activity

The Company's principal activity is the management and issuance of securitised derivatives products comprising certificates,

warrants and market participation notes, and the subsequent economic hedging ("hedge", "hedging") of the risk associated with

these notes through hedging with other JPMorganChase companies. The valuation of a structured product will have no impact on

the income statement, capital or net assets; as a change in valuation of a structured product will have an equal offsetting change

in the value of the hedging transaction with other JPMorganChase undertakings.

Review of business

During the year, the Company continued to issue structured products. The proceeds from the issuances of the structured products

are passed on to other JPMorganChase undertakings through certain economic hedging arrangements. The principal purpose of

these hedging arrangements is to hedge against various risks associated with the issuance activity. During the year, the Company

issued structured products to private investors or listed on exchanges in the Asia Pacific region, Europe, the Middle East, Africa,

Latin America and the United States of America.

Overview of the year 2024

The issued structured notes expose the Company to the risk of changes in market prices of the underlying securities, interest rate

risk and, where denominated in currencies other than functional currency, the risk of changes in exchange rates between the

functional currency and the other relevant currencies. The Company enters into derivative transactions with other JP Morgan

Group undertakings to hedge the market price, interest rate and foreign currency risks associated with the issuance of the

structured notes.

The income statement for the year is set out on page 10. The Company reported a profit before income tax of $27.6 million for the

year ended 31 December 2024 as compared to $32.9 million for the year ended 31 December 2023. The profit before income tax

of the Company represents interest income and fees and commission income received net of expenses. The decrease in profit is

driven by lower interest income generated by deposits with other JPMorganChase entities which is partially offset by decrease in

interest expense on collateral received. This decrease in Interest income and expense was primarily driven by reduction in

collateral margin received due to shift in the hedging activity from derivative products to notes. Additionally, there is an increase in

administrative expense driven by custody and issuance fees which is partially offset by increase in fees and commission income

from recovery of higher expenses through attribution.

The statement of financial position for the Company is set out on page 9. The Company’s total assets at 31 December 2024 are

$38,641.5 million as compared to $27,213.3 million as at year ended 31 December 2023. The increase in assets is mainly due to

increase in Financial assets driven by an increase in hedging activity to cover exposure on structured notes issued. The

Company’s total liabilities at 31 December 2024 are $37,989.8 million as compared to $26,582.1 million as at year ended 31

December 2023. These movements are primarily due to issuance of structured notes from increased client requirements. Refer

note 12 for details on issuances and redemptions of level 3 structured notes.

Key performance indicators ("KPIs")

As the Company is managed as part of the Corporate Investment Bank of JPMorganChase, there are no KPls that are specific to

the Company. The results are monitored against expectations of the business activities. A more detailed description of the Firm's

key performance indicators may be found within the JPMorgan Chase & Co. 2024 Annual Report.

Business environment and strategy

The primary objective of the Company is the continued development of structured products to be offered and sold to retail, 'high

net worth' and institutional investors principally outside of the United States of America, linked to a range of underlying reference

assets including equity, credit, interest rates, commodities and 'alternatives' such as funds and hedge funds which is also the

long-term strategy.

Future outlook

The Company's outlook for the full 2025 year should be viewed against the backdrop of the global economy, financial markets

activity, the geopolitical and competitive environment, client activity levels and regulatory and legislative developments in the

countries where the Company does business. Each of these inter-related factors will affect the performance of the Company and

its lines of business.

The duration and potential outcomes of geopolitical conflicts remain uncertain. The Firm and Company continue to monitor and

manage the operational risks associated with geopolitical tensions, including expectations on the potential impacts of tariffs,

compliance with the financial and economic sanctions and the increased risk of cyber-attacks.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Future outlook (continued)

The effect of relevant macroeconomic scenarios on the business of the Company has been considered as part of the going

concern analysis, including impact on operational capacity, access to liquidity and capital, contractual obligations, asset valuations

and other critical accounting judgements and key sources of estimation uncertainty.

Taking the above factors into consideration, the directors believe it is reasonable to assume that the Company will have access to

adequate resources to continue in operational existence for a period of at least 12 months from the date of signing of the financial

statements and continue to adopt the going concern basis in preparing the annual report and financial statements.

Principal risks and uncertainties

The Company's issuance activities expose it to financial and operational risks, which are managed by the Board of Directors,

using the Firm's risk management framework. The Board of Directors monitor the Company's financial and operational risks and

has responsibility for ensuring effective risk management and control (Refer note 21).

Risk Management

The following sections outline the key risks that are inherent in the Company’s business activities.

A detailed description of the policies and processes adopted by the Firm may be found within the Firm's 2024 Annual Report on

Form 10-K. The report is available at https://jpmorganchaseco.gcs-web.com/financial-information/sec-filings.

Operational risk

Operational risk is the risk of an adverse outcome resulting from inadequate or failed internal processes or systems; human

factors; or external events impacting the Firm's processes or systems. Operational Risk includes compliance, conduct, legal and

estimations and model risk.

Operational risk is inherent in the Company’s activities and can manifest itself in various ways, including fraudulent acts, business

disruptions (including those caused by extraordinary events beyond the Firm's control), cyber-attacks, inappropriate employee

behaviour, failure to comply with applicable laws, and regulations or failure of vendors or other third-party providers to perform in

accordance with their agreements. Operational Risk Management attempts to manage operational risk at appropriate levels in

light of the Company’s financial position, the characteristics of its businesses, and the markets and regulatory environments in

which it operates.

The Firm's control and risk management places focus on the advancements in third-party and internal use of artificial intelligence

by the Lines of Business ("LOB"), such as machine learning, and how it could potentially impact the control and operational risks.

Operational Risk Management Framework

Operational risk can manifest itself in various ways. Operational risk subcategories such as Compliance risk, Conduct risk, Legal

risk and Estimations and Model risk, as well as other operational risks such as Fraud risk, can lead to losses which are captured

through the Firm’s operational risk measurement processes. More information on these risk subcategories, where relevant, can

be found in the respective risk management sections.

The Company's approach to Operational Risk is consistent with the Firmwide approach. The Company leverages the Firm’s

Compliance, Conduct, and Operational Risk (CCOR) Management Framework which is designed to enable the Firm to govern,

identify, measure, monitor and test, manage and report on the Firm’s operational risk. The regional governance framework

incorporates the firmwide strategy, and the Firm’s policies, procedures and LOB / Corporate structure. The regional framework is

supplemental and complementary to the global framework and also provides the requisite link between the EMEA companies and

the LOBs/Corporates.

Cybersecurity risk

Cybersecurity risk is the risk of the Firm’s exposure to harm or loss resulting from misuse or abuse of technology by malicious

actors. Cybersecurity risk is an important and continuously evolving focus for the Firm and Company. Significant resources are

devoted to protecting and enhancing the security of computer systems, software, networks, storage devices and other technology

assets. The Firm's security efforts are designed to protect against, among other things, cybersecurity attacks by unauthorised

parties attempting to obtain access to confidential information, destroy data, disrupt or degrade service, sabotage systems or

cause other damage.

The Firm has experienced, and expects that it will continue to experience, a higher volume and complexity of cyber attacks

against the backdrop of heightened geopolitical tensions. The Firm has implemented precautionary measures and controls

reasonably designed to address this increased risk, such as enhanced threat monitoring.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Risk Management (continued)

Operational risk (continued)

Cybersecurity risk (continued)

Ongoing business expansions may expose the Firm to potential new threats as well as expanded regulatory scrutiny including the

introduction of new cybersecurity requirements. The Firm continues to make significant investments in enhancing its cyber

defense capabilities and to strengthen its partnerships with the appropriate government and law enforcement agencies and other

businesses in order to understand the full spectrum of cybersecurity risks in the operating environment, enhance defenses and

improve resiliency against cybersecurity threats. The Firm actively participates in discussions and simulations of cybersecurity

risks both internally and with law enforcement, government officials, peer and industry groups, and has significantly increased

efforts to educate employees and certain clients on the topic of cybersecurity risks. The Company benefits directly from the Firm's

continuous focus.

Third parties with which the Firm does business or that facilitate the Firm’s business activities (e.g. vendors, supply chain,

exchanges, clearing houses, central depositories, and financial intermediaries) are also sources of cybersecurity risk to the Firm

and the Company. Third party cybersecurity incidents such as system breakdowns or failures, misconduct by the employees of

such parties, or cyberattacks, including ransomware and supply-chain compromises, could affect their ability to deliver a product

or service to the Firm or result in lost or compromised information of the Firm or its clients. Clients are also sources of

cybersecurity risk to the Firm and its information assets, particularly when their activities and systems are beyond the Firm’s own

security and control systems. As a result, the Firm engages in regular and ongoing discussions with certain vendors and clients

regarding cybersecurity risks and opportunities to improve security. However, where cybersecurity incidents occur as a result of

client failures to maintain the security of their own systems and processes, clients are responsible for losses incurred.

To help safeguard the confidentiality, integrity and availability of the Firm’s infrastructure, resources and information, the Firm

maintains an Information Security Program designed to prevent, detect, and respond to cyberattacks. The Audit Committee is

periodically provided with updates on the Firm’s Information Security Program, recommended changes, cybersecurity policies and

practices, ongoing efforts to improve security, as well as its efforts regarding significant cybersecurity events. In addition, the Firm

has a cybersecurity incident response plan ("IRP") designed to enable the Firm to respond to attempted cybersecurity incidents,

coordinate such responses with law enforcement and other government agencies, and notify clients and customers, as

applicable. Among other key focus areas, the IRP is designed to mitigate the risk of insider trading connected to a cybersecurity

incident, and includes various escalation points.

Business and technology resiliency risk

Disruptions can occur due to forces beyond the Firm’s and Company's control such as the spread of infectious diseases or

pandemics, severe weather, power or telecommunications loss, failure of a third party to provide expected services, cyberattacks

and terrorism.

The Firmwide Business Resiliency Program is designed to enable the Firm to prepare for, adapt to, withstand and recover from

business disruptions including occurrence of an extraordinary event beyond its control that may impact critical business functions

and supporting assets (i.e. staff, technology, facilities and third parties).

The program includes governance, awareness training, planning and testing of recovery strategies, as well as strategic and

tactical initiatives to identify, assess, and manage business interruption and public safety risks.

Compliance risk

Compliance risk, a subcategory of operational risk, is the risk of failing to comply with laws, rules, regulations or codes of conduct

and standards of self-regulatory organisations applicable to the business activities of the Firm and the Company.

Each of the LOBs and Corporate within the Company holds primary ownership of and accountability for managing compliance

risk. The Firm’s Operational Risk and Compliance Organisation ("Operational Risk and Compliance"), which is independent of the

LOBs and Corporate, provides independent review, monitoring and oversight of business operations with a focus on compliance

with the laws, rules and regulations applicable to the delivery of the Firm’s products and services to clients and customers.

These compliance risks relate to a wide variety of laws, rules and regulations across the LOBs, and Corporate, and jurisdictions,

and include risks related to financial products and services, relationships and interactions with clients and customers, and

employee activities.

For example, compliance risks include those associated with anti-money laundering compliance, trading activities, market

conduct, and complying with the laws, rules and regulations related to the offering of products and services across jurisdictional

borders. Compliance risk is also inherent in the Firm’s fiduciary activities, including the failure to exercise the applicable standard

of care to act in the best interest of fiduciary clients and customers or to treat fiduciary clients and customers fairly.

Other functions provide oversight of significant regulatory obligations that are specific to their respective areas of responsibility.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Risk Management (continued)

Compliance risk (continued)

Operational Risk and Compliance implements policies and standards designed to govern, identify, measure, monitor and test,

manage, and report on compliance risk.

Governance and oversight

Operational Risk and Compliance is led by the Firm's Chief Compliance Officer (“CCO”) and the Firmwide Risk Executive for

Operational Risk and Qualitative Risk Appetite who reports to the Firm’s CRO. The regional CCOR Heads, including the EMEA

CCO, are part of this governance structure.

The Firm maintains oversight and coordination of its compliance risk through the implementation of the Compliance, Conduct, and

Operational Risk ("CCOR") Management Framework.

Code of Conduct

The Firm has a Code of Conduct (the “Code”) that sets forth the Firm’s expectation that employees will conduct themselves with

integrity at all times. The Code provides the principles that helps govern employee conduct with clients, customers, suppliers,

vendors, shareholders, regulators, other employees, as well as with the markets and communities in which the Firm and the

Company operates. The Code requires employees to promptly report any potential or actual violation of the Code, any Firm policy,

or any law or regulation applicable to the Firm’s business. It also requires employees to report any illegal or unethical conduct or

conduct that violates the underlying principles of the Code, by any of the Firm’s and Company's employees, consultants, clients,

customers, suppliers, contract or temporary workers, or business partners, or agents.

Training is assigned to newly hired employees upon joining the Firm, and to current employees periodically thereafter. Employees

are required to affirm their compliance with the Code annually. Employees can report any potential or actual violations of the Code

through the Firm's Conduct Hotline (the "Hotline") by phone or the internet. The Hotline is anonymous, where permitted by law,

and is available at all times globally, with translation services and is administered by an outside service provider. The Code

prohibits retaliation against anyone who raises an issue or concern in good faith.

Conduct risk

Conduct risk, a subcategory of operational risk, is the risk that any action or misconduct by an employee could lead to unfair client

or customer outcomes, impact the integrity of the markets in which the Firm and the Company operates, harm employees or the

Firm, or compromise the Firm's or Company's reputation.

Overview

Each LOB and Corporate Function is accountable for identifying and managing its conduct risk to provide appropriate

engagement, ownership and sustainability of a culture consistent with the Firm’s Business Principles.

Governance and oversight

The Firm maintains oversight and coordination of its conduct risk through the CCOR Management Framework. The Company's

approach aligns with the Firmwide approach.

Conduct risk management encompasses various aspects of people management practices throughout the employee life cycle,

including recruiting, onboarding, training and development, performance management, promotion and compensation processes.

Each LOB and each designated corporate function completes an assessment of conduct risk periodically, reviews metrics and

issues which may involve conduct risk, and provides conduct education as appropriate.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Risk Management (continued)

Legal risk

Legal risk, a subcategory of operational risk, is the risk of loss primarily caused by the actual or alleged failure to meet legal

obligations that arise from the rule of law in jurisdictions in which the Firm and the Company operates, agreements with clients

and customers, and products and services offered by the Firm and the Company.

Overview

The global Legal function (“Legal”) provides legal services and advice to the Firm and the Company. Legal is responsible for

managing the Firm’s exposure to legal risk by:

• Managing actual and potential litigation and enforcement matters, including internal reviews and investigations related to such

matters;

• Advising on products and services, including contract negotiation and documentation;

• Advising on offering and marketing documents and new business initiatives;

• Managing dispute resolution;

• Interpreting existing laws, rules and regulations, and advising on changes to them;

• Advising on advocacy in connection with contemplated and proposed laws, rules and regulations; and

• Providing legal advice to the LOBs, Corporate and the Board.

Legal selects, engages and manages outside counsel for the Firm on all matters in which outside counsel is engaged. In addition,

Legal advises the Firm’s Conflicts Office which reviews the Firm’s wholesale transactions that may have the potential to create

conflicts of interest for the Firm.

Governance and oversight

The Firm’s General Counsel reports to the CEO and is a member of the Operating Committee, the Firmwide Risk Committee and

the Firmwide Control Committee. The Firm’s General Counsel and other members of Legal report on significant legal matters to

the Firm’s Board of Directors and to the Audit Committee. Each region, including EMEA, has a General Counsel who is

responsible for managing legal risk across all lines of business and functions in the region. Legal serves on and advises various

committees and advises the Firm’s and the Company's LOBs and Corporate on potential reputation risk issues.

Reputation risk

Reputation risk is the risk that an action or inaction may negatively impact perception of the Firm's integrity and reduce confidence

in the Firm's competence by various stakeholders, including clients, counterparties, customers, communities, investors,

regulators, or employees. Reputation risk is assessed and defined at the Firmwide level and is applicable to the Company.

The types of events that may result in reputation risk are wide-ranging and can be introduced by the Firm’s employees, business

strategies and activities, clients, customers, and counterparties with which the Firm does business. These events could contribute

to financial losses, litigation, regulatory enforcement actions, fines, penalties or other sanctions, as well as other harm to the Firm.

Organisation and management

Reputation Risk Management is an independent risk management function that establishes the governance framework for

managing reputation risk across the Firm's LOBs and Corporate. Reputation risk is inherently challenging to identify, manage, and

quantify.

The Firm’s reputation risk management function includes the following activities:

• Maintaining a Firmwide Reputation Risk Governance policy and a standard consistent with the reputation risk framework; and

• Providing oversight of the governance framework through processes and infrastructure to support consistent identification,

escalation, and monitoring of reputation risk issues Firmwide.

Governance and oversight

The Reputation Risk Governance policy establishes the principles for managing reputation risk for the Firm. It is the responsibility

of each LOB and Corporate, and the Firm's employees, to consider the reputation of the Firm when deciding whether to offer a

new product, engage in a transaction or client relationship, enter a new jurisdiction, initiate a business process or consider any

other activity. Environmental impacts and social concerns are increasingly important considerations in assessing the Firm's

reputation risk, and are a component of the Firm's reputation risk governance. Reputation risk issues that are deemed to be

material are escalated as appropriate.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Risk Management (continued)

Climate-related financial risk

Climate risk refers to the potential threats posed by climate change to the Firm, the Company, and/or its clients, customers,

operations and business strategy. Climate change is viewed as a driver of risk that may impact existing types of risks (credit and

investment, market, operational and strategic) managed by the Firm and the Company. Climate risk is categorised into physical

risk and transition risk.

Physical risk involves economic costs and financial losses due to a changing climate. Acute physical risk drivers include the

increased frequency or severity of climate and weather events, such as floods, wildfires and tropical cyclones. Chronic physical

risk drivers include more gradual shifts in the climate, such as sea level rise, persistent changes in precipitation levels and

increases in average ambient temperatures.

Transition risk refers to the financial and economic consequences of society's shift toward a lower-carbon economy. Transition risk

drivers include possible changes in public policy, adoption of new technologies and shifts in consumer preferences. Transition

risks may also be influenced by changes in the physical climate.

Approach to managing climate risk

The Company’s climate risk management approach aligns with the Firmwide climate risk framework, which outlines the

capabilities the Firm employs to identify, assess, manage and quantify the potential impacts of physical and transition risk, which it

views as drivers of each of its four risk types. This framework is comprised of six components: Risk Governance, Scenario

Analysis, Risk Identification, Risk Measurement, Data Management, and Reporting and Disclosures. More details can be found in

the Firmwide 2024 Climate Report (available at https://www.jpmorganchase.com/content/dam/jpmc/jpmorgan-chase-and-co/

documents/Climate-Report-2024.pdf) (the "JPMC 2024 Climate Report").

The EMEA Legal Entity Climate Risk team within the EMEA Chief Risk Office team continues to coordinate climate risk related

deliverables for EMEA legal entities, including the Company. The EMEA Legal Entity Climate Risk team partners with the Climate

Risk Management function and other functions across the Firm to respond to regulatory requests and embed climate risk in the

Company's risk management framework and to align with the firmwide climate risk framework.

Owing to the nature of its business, the Company may potentially be exposed to climate change predominantly through its

financial and broader linkages with JPMorgan Chase. To date, climate risk assessments conducted for the Company indicates no

significant financial impact from climate risk as a driver of risk types. This will be kept under review as the Company's risk profile

evolves and the climate risk framework matures.

The Company is actively monitoring developments related to the Corporate Sustainability Reporting Directive (CSRD) and the

omnibus proposals to simplify sustainability related regulation in the EU. Based on current assessments, CSRD reporting is not

required for the year ending 2025. The Company will continue to evaluate legislative changes to determine any future reporting

obligations.

Financial Risks

Further details on the financial risks of the Company are set out in note 21 to the financial statements.

Results and dividends

The results for the year are set out on page 10 and show the Company's profit for the financial year after taxation is $20.5 million

(2023: $24.3 million).

The statement of financial position is set out on page 9. The Company has total assets and total equity of $38,641.5 million (2023:

$27,213.3 million) and $651.7 million (2023: $631.1 million) respectively, as at 31 December 2024.

No dividend was paid or proposed during the year (2023: $nil).

Directors

The directors of the Company who served during the year and up to the date of signing the financial statements were as follows:


S. E. Cheah	(Appointed 13 December 2018)
S.E.J. Ruigrok	(Appointed 14 July 2021)
P.M. Schraal	(Appointed 26 January 2024)
R.G. Boks	(Appointed 17 March 2025)
J.C.P. van Uffelen	(Resigned 17 March 2025)
D.M.A. Spreeuwers	(Resigned 26 January 2024)

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

Composition of the Board

The size and composition of the Board of Directors and the combined experience and expertise should reflect the best fit for the

profile and strategy of the Company. The Board of Directors of the Company consisted of two male members and two female

members. As from the resignation of Ms Spreeuwers, the gender ratios of the Board remain unchanged following the appointment

of Ms Schraal to replace Ms Spreeuwers with effect from 26 January 2024. Similarly, following the resignation of Mr. Uffelen, Mr.

Boks was appointed as his replacement on 17 March 2025, maintaining the existing gender balance. The Board of Directors

recognizes the importance of gender balanced compositions of the boards, among others, taking a note about the Dutch Gender

Balance Act which entered into force on 1 January 2022. The Board of Directors will also take the importance of gender balanced

compositions again into account when selecting potential nominees in case of future changes in the Board.

Registered address

Herikerbergweg 238

Luna Arena, 1101CM

Amsterdam

Expected developments of the Company

The directors of the Company expect that:

a) the Company will continue to issue structured products;

b) the Company will not enter into fixed asset investments; and

c) interest income will continue to fluctuate in line with the development in market interest rates.

Statement under the Transparency Directive (as implemented in Dutch law)

With reference to section 5.25c paragraph 2c of the Financial Markets Supervision Act, the Management, the directors states that,

to the best of their knowledge:

a) the attached financial statements are prepared in accordance with IFRS Accounting Standards as adopted by the European

Union and give a true and fair view of the assets, liabilities, financial position and profit of the Company for the year ended 31

December 2024, and

b) the annual report for the year ended 31 December 2024, consisting of the Directors' report and the financial statements,

gives a true and fair view of the position as per the statement of financial position date 31 December 2024, the development

and performance of the Company in the year 2024, together with the main risks of the Company.

The directors further herewith report their arrangements for an audit committee (the "Audit Committee") as follows:

Audit Committee

The Company makes use of the exemption to the requirement to establish its own Audit Committee based on Article 3a of the

Royal Decree of 26 July 2008 implementing article 41 of the EU Directive 2006/43EG, as the Audit Committee of JPMorgan

Chase & Co. fulfils the requirements at the group level. The Audit Committee of JPMorgan Chase & Co., which covers the Firm,

including the Company and is formed of entirely non-management, independent directors in compliance with the

recommendations from the EU Commission. Details of the Charter, Membership, Duties and Responsibilities can be found on the

Firm's website.

Independent auditors

The independent auditors, PricewaterhouseCoopers Accountants N.V. were first appointed as the auditors of the Company

effective for the year ended 31 December 2021 and continuously reappointed since then. PricewaterhouseCoopers Accountants

N.V. were reappointed as external auditors for the 2024 financial year at the annual general meeting (AGM) held on 10 April 2024.

A resolution to reappoint PricewaterhouseCoopers Accountants N.V. as auditors to the company for 2025 will be proposed at the

annual general meeting.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Directors' report (continued)

The financial statements on pages 9 to 36 were approved by the Board of Directors on 7 April 2025 and signed on its behalf by:

Board of Directors



S.E. Cheah		P.M. Schraal

R.G. Boks		S.E.J. Ruigrok

Date: 7 April 2025

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Statement of financial position as at 31 December 2024

(before profit appropriation)


As at 31 December		2024	2023
	Note	$'000	$'000
Assets

Non-current assets
Trade and other receivables	8	—	1,000,000

Current assets
Financial assets held at fair value through profit or loss	7	34,784,898	24,734,402
Trade and other receivables	8	197,078	79,350
Current tax asset		5,890	4,560
Cash and cash equivalents	9	3,653,611	1,394,957

Total assets		38,641,477	27,213,269

Liabilities

Non-current liabilities
Trade and other payables	14	1,200,000	—

Current liabilities
Financial liabilities designated at fair value through profit or loss	10	27,532,161	18,285,456
Financial liabilities held at fair value through profit or loss	11	7,252,737	6,448,946
Trade and other payables	14	2,003,282	1,847,103
Bank overdraft	9	1,644	641

Total liabilities		37,989,824	26,582,146

Equity

Capital and reserves attributable to equity shareholders of the Company
Share capital	15	26	26
Share premium reserve		499,997	499,997
Legal reserve		2	2
Retained earnings		131,098	106,840
Net results		20,530	24,258

Total equity		651,653	631,123

Total liabilities and equity		38,641,477	27,213,269

The notes on pages 13 - 36 form an integral part of the financial statements.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Income statement for the year ended 31 December 2024


Year ended 31 December		2024	2023
	Note	$'000	$'000
Fee and commission income	16	23,678	21,400
Administrative expenses	17	(24,127)	(19,904)
Net foreign exchange gain/(loss)		205	(45)

Operating (loss)/profit		(244)	1,451

Interest income	19	148,117	200,916
Interest expense	19	(120,237)	(169,500)

Net interest income		27,880	31,416

Profit before income tax		27,636	32,867

Income tax expense	20	(7,106)	(8,609)

Profit for the year attributable to equity shareholders of the Company		20,530	24,258

The profit for the year resulted from continuing operations.

Statement of comprehensive income

There were no other items of comprehensive income or expense other than the profit for the financial year shown above (2023:

$nil). As a result, profit for the financial year represents total comprehensive income in both the current and prior financial year.

The notes on pages 13 - 36 form an integral part of the financial statements.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Statement of changes in equity for the year ended 31 December 2024


	Share capital	Share premium reserve	Legal reserve	Retained earnings	Net results	Total
	$’000	$’000	$’000	$’000	$’000	$’000

Balance as at 1 January 2024	26	499,997	2	106,840	24,258	631,123
Transfer to retained earnings	—	—	—	24,258	(24,258)	—
Profit for the financial year	—	—	—	—	20,530	20,530

Balance as at 31 December 2024	26	499,997	2	131,098	20,530	651,653

Balance as at 1 January 2023	26	499,997	2	92,758	14,082	606,865
Transfer to retained earnings	—	—	—	14,082	(14,082)	—
Profit for the financial year	—	—	—	—	24,258	24,258

Balance as at 31 December 2023	26	499,997	2	106,840	24,258	631,123

The notes on pages 13 - 36 form an integral part of the financial statements.

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J.P. MORGAN STRUCTURED PRODUCTS B.V.

Statement of cash flows for the year ended 31 December 2024


Year ended 31 December		2024	2023
	Note	$'000	$'000
Cash flow from operating activities
Profit before income tax		27,636	32,867

Income tax		(8,436)	(11,266)
Interest received	19	(148,117)	(200,916)
Interest paid	19	(78,715)	(169,500)
Interest expense	19	120,237	169,500
Net foreign exchange (gain)/loss		(205)	45
		(87,600)	(179,270)
Changes in working capital
(Increase)/decrease in financial assets held at fair value through profit or loss		(10,050,496)	698,195
(Increase)/decrease in trade and other receivables		(117,523)	12,836
Increase/(decrease) in financial liabilities held at fair value through profit or loss		803,791	(280,009)
Increase/(decrease) in financial liabilities designated at fair value through profit or loss		9,246,705	(418,186)
Increase/(decrease) in trade and other payables		156,179	(4,077,795)
		38,656	(4,064,959)

Net cash used in operating activities		(48,944)	(4,244,229)

Cash flow from investing activities
Change in amounts owed by other JPMorganChase undertakings		1,000,000	2,500,000
Interest received	19	148,117	200,916

Net cash generated from investing activities		1,148,117	2,700,916

Cash flow from financing activities
Change in amounts owed to other JPMorganChase undertakings		1,200,000	—
Interest paid		(41,522)	—

Net cash generated from financing activities		1,158,478	—

Net increase/(decrease) in cash and cash equivalents		2,257,651	(1,543,313)
Net cash and cash equivalents at the beginning of the year		1,394,316	2,937,629

Net cash and cash equivalents at the end of the year	9	3,651,967	1,394,316

The notes on pages 13 - 36 form an integral part of the financial statements.

- 13 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements

1. General information

J.P. Morgan Structured Products B.V. (the "Company") was incorporated on 6 November 2006 as a private company with limited

liability and is incorporated in The Netherlands, with registration number 34259454. The address of the registered office is at

Herikerbergweg 238, Luna Arena, 1101CM, Amsterdam, The Netherlands. The Company's immediate parent undertaking is J.P.

Morgan International Finance Limited which is incorporated in the state of Delaware in the United States of America. The

Company's ultimate parent undertaking of the largest group in which the results of the Company are consolidated is JPMorgan

Chase & Co. (together with its subsidiaries, the "Firm" or "JPMorganChase"), which is also incorporated in the state of Delaware

in the United States of America. The parent undertaking of the smallest group in which the Company's results are consolidated is

J.P. Morgan International Finance Limited. The largest and the smallest group's consolidated financial statements can be obtained

from 25 Bank Street, Canary Wharf, London E14 5JP, England.

Principal activities

The Company's principal activity is the management and issuance of securitised derivatives products comprising certificates,

warrants and market participation notes, and the subsequent economic hedging ("hedge", "hedging") of the risk associated with

these notes through hedging with other JPMorganChase companies. The valuation of a structured product will have no impact on

the income statement, capital or net assets; as a change in valuation of a structured product will have an equal offsetting change

in the value of the hedging transaction with other JPMorganChase undertakings.

These financial statements reflect the operations of the Company during the year from 1 January 2024 to 31 December 2024 and

have been approved for issue by the Board of Directors on 7 April 2025.

2. Accounting convention

The financial statements have been prepared in accordance with IFRS Accounting Standards as adopted by the European Union

and with Title 9 of Book 2 of the Dutch Civil Code. The financial statements have been prepared on a going concern basis under

the historical cost convention, except that financial instruments are stated at fair value. Relevant facts and circumstances relating

to the financial position on 31 December 2024 and for a period of at least 12 months from the date of signing of the financial

statements were assessed in order to reach the going concern assumption. The main areas assessed are the financial

performance and financial position of the Company.

The preparation of financial statements in conformity with IFRS Accounting Standards as adopted by the European Union

requires the use of certain critical accounting estimates. It also requires management to exercise its judgement in the process of

applying the Company's accounting policies. The areas involving a higher degree of judgement or complexity, or areas where

assumptions and estimates are significant to the financial statements are disclosed in note 5.

3. Accounting and reporting developments

3.1 Standards adopted during the year ended 31 December 2024

The Company has applied the following amendments for the first time for the annual reporting period beginning 1 January 2024.

• Amendments to IAS 1: Classification of Liabilities as Current or Non-current Liabilities with Covenants.

• Amendments to IAS 7 and IFRS 7: Supplier Finance Arrangements.

The amendments listed above did not have any impact on the amounts recognised in prior periods and current period and are not

expected to materially affect the future periods.

3.2 New or revised standards issued but not yet effective

There are other new accounting standards, amendments to accounting standards and interpretations published that are not

mandatory for 31 December 2024 reporting periods and have not been early adopted by the Company.

• IFRS 18 Presentation and Disclosure in Financial Statements 1 January 2027;

• IFRS 19 Subsidiaries without Public Accountability: Disclosures 1 January 2027;

• Amendments to IAS 21 Lack of exchangeability 1 January 2025.

The Company is undertaking an assessment of the potential impact which is unknown as of the 31 December 2024.

- 14 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

4. Material accounting policy information

The following are material accounting policies that have been applied in the preparation of these financial statements. These

policies have been applied consistently in each of the years presented, unless otherwise stated.

4.1 Functional and presentation currency

Items included in the financial statements of the Company are measured using the currency of the primary economic

environment in which the entity operates (the "functional currency”).

The financial statements are presented in United States (''U.S.'') dollars, which is the functional and presentation currency of the

Company.

4.2 Foreign currency translation

Monetary assets and monetary liabilities in foreign currencies are translated into United States ("U.S.") dollars at rates of

exchange ruling on the statement of financial position date. Income and expense items denominated in foreign currencies are

translated into U.S. dollars at exchange rates prevailing at the date of the transactions. Any gains or losses arising on translation

are taken directly to the income statement.

Non-monetary items denominated in foreign currencies that are stated at historical cost are translated into U.S. dollars at the

exchange rate ruling at the date when the transaction was initially recognised.

Non-monetary items denominated in foreign currencies that are stated at fair value are translated into U.S. dollars at foreign

exchange rates ruling at the dates when the fair values were determined. Translation differences arising on non-monetary items

measured at fair value are recognised in the income statement.

4.3 Financial instruments

4.3.1 Financial assets and financial liabilities

i. Recognition of financial assets and financial liabilities

The Company recognises financial assets and financial liabilities when it becomes a party to the contractual provisions of the

instrument. Regular way purchases and sales of securities are recognised on the trade-date, which is the date on which the

Company commits to purchase or sell an asset.

ii. Classification and measurement of financial assets and financial liabilities

On initial recognition, financial assets are measured at fair value. Subsequently, financial assets are classified and measured at

amortised cost, fair value through other comprehensive income ("FVOCI") or fair value through profit or loss ("FVTPL"). The

classification is based on both the business model for managing the financial assets and their contractual cash flow

characteristics. Factors considered by the Company in determining the business model for a group of assets include past

experience on how the cash flows for these assets were collected, how the assets’ performance is evaluated and reported to key

management personnel, how risks are assessed and managed, and how managers are compensated.

On initial recognition, financial liabilities are classified as measured at either amortised cost or FVTPL.

iii. Financial assets and financial liabilities measured at amortised cost

Financial assets are measured at amortised cost if they are held under a business model with the objective to collect contractual

cash flows ("Hold-to-Collect") and they have contractual terms under which cash flows are solely payments of principal and

interest ("SPPI"). In making the SPPI assessment, the Company considers whether the contractual cash flows are consistent with

a basic lending arrangement (i.e. interest includes only consideration for the time value of money, credit risk, other basic lending

risks and a profit margin that is consistent with a basic lending arrangement). Where the contractual terms introduce exposure to

risk or volatility that are inconsistent with a basic lending arrangement, the related financial asset is classified and measured at

FVTPL. Financial assets with embedded derivatives are considered in their entirety when determining whether their cash flows

are SPPI. As a result of the application of these criteria, only debt financial assets are eligible to be measured at amortised cost.

Financial assets measured at amortised cost include trade and other receivables and cash and cash equivalents.

Financial liabilities are measured at amortised cost unless they are held for trading or are designated as measured at FVTPL.

Financial liabilities measured at amortised cost include trade and other payables and bank overdraft.

Financial assets and financial liabilities measured at amortised cost are initially recognised at fair value including transaction costs

(which are explained below). The initial amount recognised is subsequently reduced for principal repayments and adjusted for

accrued interest using the effective interest method (see below). In addition, the carrying amount of financial assets is adjusted by

recognising an expected credit loss allowance through profit or loss.

- 15 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

4. Material accounting policy information (continued)

4.3 Financial instruments (continued)

4.3.1 Financial assets and financial liabilities (continued)

The effective interest method is used to allocate interest income or interest expense over the relevant period. The effective

interest rate is the rate that discounts estimated future cash payments or receipts through the expected life of the financial asset

or financial liability or a shorter period when appropriate, to the net carrying amount of the financial asset or financial liability. The

effective interest rate is established on initial recognition of the financial asset or financial liability. The calculation of the effective

interest rate includes all fees and commissions paid or received, transaction costs, and discounts or premiums that are an integral

part of the effective interest rate. Transaction costs are incremental costs that are directly attributable to the acquisition, issuance

or disposal of a financial asset or financial liability.

Gains and losses arising on the disposal of financial assets measured at amortised cost are recognised in 'trading profit' or other

non-interest revenue as relevant.

iv. Financial assets and financial liabilities measured at fair value through profit or loss

Financial assets and financial liabilities are measured at FVTPL if they are held for trading. Under IFRS 9, a financial asset or a

financial liability is defined as “held for trading” if it is acquired or incurred principally for the purpose of selling or repurchasing it in

the near term, or forms part of a portfolio of identified financial instruments that are managed together and for which there is

evidence of a recent actual pattern of short-term profit taking or it is a derivative. However, such financial instruments are used by

the Company predominantly in connection with its client-driven market-making and/or for hedging certain assets, liabilities,

positions, cash flows or anticipated transactions (i.e. risk management activities).

In addition, certain financial assets that are not held for trading are measured at FVTPL if they do not meet the criteria to be

measured at amortised cost or FVOCI. For example, if the financial assets are managed on a fair value basis, have contractual

cash flows that are not SPPI or are equity securities.

Financial instruments measured at FVTPL are initially recognised at fair value in the statement of financial position. Transaction

costs and any subsequent fair value gains or losses are recognised in profit or loss as they arise.

The Company manages cash instruments, in the form of debt and equity securities, and derivatives on a unified basis, including

hedging relationships between cash securities and derivatives. Accordingly, the Firm reports the gains and losses on the cash

instruments and the gains and losses on the derivatives on a net basis in trading profits.

v. Financial assets and financial liabilities designated at fair value through profit or loss

Subject to certain criteria, the Company can designate financial assets and financial liabilities to be measured at FVTPL.

Designation is only possible when the financial instrument is initially recognised and cannot subsequently be reclassified.

Financial assets can be designated as measured at FVTPL only if such designation eliminates or significantly reduces a

measurement or recognition inconsistency. Financial liabilities can be designated as measured at FVTPL only if such designation

(a) eliminates or significantly reduces a measurement or recognition inconsistency; or (b) applies to a group of financial assets,

financial liabilities or both that the Company manages and evaluates on a fair value basis; or (c) relates to an instrument that

contains an embedded derivative unless the embedded derivative does not significantly modify the cash flows required by the

contract or when a similar hybrid instrument is considered that separation of the embedded derivative is prohibited.

Financial assets and financial liabilities that the Company designates as measured at FVTPL are recognised at fair value at initial

recognition, with transaction costs being recognised in profit or loss and subsequently measured at fair value. Gains and losses

on financial assets and financial liabilities designated at FVTPL are recognised in profit or loss as they arise.

4.3.2 Interest income and interest expense

Unless a financial asset is credit-impaired, interest income is recognised by applying the effective interest method to the carrying

amount of a financial asset before adjusting for any allowance for expected credit losses. If a financial asset is credit-impaired,

interest income is recognised by applying the effective interest rate to the carrying amount of the financial asset including any

allowance for expected credit losses.

Interest expense on financial liabilities is recognised by applying the effective interest method to the amortised cost of financial

liabilities.

4.3.3 Trading profit

Profits and losses resulting from the purchase and sale of securities and the revaluation of financial instruments are recognised in

trading profit on a trade-date basis, including related transaction costs.

- 16 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

4. Material accounting policy information (continued)

4.3 Financial instruments (continued)

4.3.4 Impairment of financial assets

The Company recognises ECL for financial assets that are measured at amortised cost.

The ECL is determined on in-scope financial instruments measured at amortised cost. ECL is measured collectively via a

portfolio-based (modelled) approach for Stage 1 and 2 assets but are generally measured individually for Stage 3 assets. ECL is

forecasted over the 12-month term (Stage 1) or expected life (Stage 2 or 3) of in-scope financial instruments, where the forecast

horizon includes the reasonable and supportable (R&S) forecast period, the reversion period and the residual period and

considers the time value of money. In determining the ECL measurement and staging for a financial instrument, the Company

applies the definition of default consistent with the Basel definition of default to maintain uniformity of the definition across the

Firm. Determining the appropriateness of the allowance is complex and requires judgment by management about the effect of

circumstances that are inherently uncertain. Further, estimating the allowance involves consideration of a range of possible

outcomes, which management evaluates to determine its best estimate.

The Company must consider the appropriateness of decisions and judgements regarding methodology and inputs utilised in

developing estimates of ECL at each reporting period and document them appropriately.

4.4 Fair value

Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market

participants at the measurement date.

Fair values are determined by reference to observable market prices where available and reliable. Fair values of financial assets

and financial liabilities are based on quoted market prices or dealer price quotations for financial instruments traded in active

markets. Where market prices are unavailable, fair value is based on valuation models that consider relevant transaction

characteristics (such as maturity) and use as inputs observable or unobservable market parameters, including but not limited to

yield curves, interest rates, volatilities, equity or debt prices, foreign exchange rates and credit curves. Valuation adjustments may

be made to ensure that financial instruments are recorded at fair value. The Company manages certain portfolios of financial

instruments on the basis of net open risk exposure and has elected to estimate the fair value, of such portfolios on the basis of a

transfer of the entire net open risk position in an orderly transaction.

For financial assets and liabilities held at fair value, most market parameters in the valuation model are either directly observable

or are implied from instrument prices. When input values do not directly correspond to the most actively traded market parameters

the model may perform numerical procedures in the pricing such as interpolation.

The Company classifies its assets and liabilities according to a hierarchy that has been established under IFRS Accounting

Standards as adopted by the European Union for disclosure of fair value measurements. The fair value hierarchy is based on the

transparency of inputs to the valuation of an asset or liability as of the measurement date. The fair value hierarchy gives the

highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to

unobservable inputs (Level 3 inputs).

A financial instrument’s categorisation within the fair value hierarchy is based on the lowest level of input that is significant to the

fair value measurement.

Further details on fair value measurements are provided in note 12 to the financial statements.

4.5 Fee and commission income and expense

Fee and commissions obtained through Firm attribution agreements are recognised when the underlying contract becomes legally

binding or at the agreed due date if later.

4.6 Recognition of deferred day one profit and loss

The Company enters into transactions where fair value is determined using valuation models that use unobservable inputs. Such

a financial instrument is initially recognised at the transaction price, although the value obtained from the relevant valuation model

may differ. The difference between the transaction price and the model value, commonly referred to as 'day one profit and loss', is

not recognised immediately in the income statement.

The timing of recognition of deferred day one profit and loss is determined for each class of financial asset and liability. It is either

amortised over the life of the transaction, deferred until the instrument's fair value can be determined using market observable

inputs, or realised through settlement. The financial instrument is subsequently measured at fair value, adjusted for the deferred

day one profit and loss.

- 17 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

4. Material accounting policy information (continued)

4.7 Cash and cash equivalents

Cash and cash equivalents include cash and balances at banks with maturities of three months or less.

4.8 Current income tax

Income tax payable on taxable profits (current tax) is recognised as an expense in the period in which the profits arise. Income tax

recoverable on tax allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by

offset against taxable profits arising in the current or prior period. Current tax is measured using tax rates and tax laws that have

been enacted or substantively enacted at the statement of financial position date.

5. Critical accounting estimates and judgements

In the process of applying the Company’s accounting policies, management makes judgements, estimates and assumptions for

certain categories of assets and liabilities. These judgements, estimates and assumptions affect the reported amounts of assets

and liabilities and disclosure of contingent assets and liabilities at the statement of financial position date, and the reported

amounts of revenue and expenses during the reporting period. Making judgements, estimates and assumptions can involve

levels of uncertainty and subjectivity and therefore actual results could differ from the reported amounts. The Company’s material

accounting policies are described in Note 4.

Some of the judgements, estimates and assumptions management makes when preparing the Company’s financial statements

involve high levels of subjectivity and assessments about the future and other sources of uncertainty. Those that may have a

material impact on the Company’s financial condition, changes in financial condition or results of operations are described below.

Fair value measurement

The Company carries a significant portion of its assets and liabilities at fair value on a recurring basis. Certain financial

instruments are classified on the basis of valuation techniques that feature one or more significant market inputs that are

unobservable, and for them, the measurement of fair value is more judgemental:

• Judgements:

• In classifying a financial instrument in the valuation hierarchy judgement is applied in determining the observability and

significance of the inputs to the fair value measurement. A financial instrument's categorisation within the valuation

hierarchy is based on the lowest level of input that is significant to the fair value measurement.

• For instruments classified in levels 2 and 3, management judgement must be applied to assess the appropriate models

and level of valuation adjustments. Refer to note 12.

• Estimates:

• Detail on the Company's level 3 financial instruments and the sensitivity of their valuation to the effect of applying

reasonable possible alternative assumptions in determining their fair value are set out in note 12.

- 18 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

6. Segmental analysis

Business segments

The Company's activities comprise only one business segment, namely Corporate and Investment Banking. The Company issues

structured products, of which the majority are issued within EMEA. All fee and commission income is received from other

JPMorganChase undertakings within the EMEA region. Therefore segmental analysis of the Company's revenue and assets by

business is not necessary.

Geographical segments

The Company operates in three geographic regions as listed below:

• EMEA (Europe, Middle east and Africa)

• AMERICAS

• APAC (Asia-Pacific)

The following table presents revenues from business activities and total assets by geographic area.


	EMEA		AMERICAS		APAC		Total
	2024	2023	2024	2023	2024	2023	2024	2023
	$'000	$'000	$'000	$'000	$'000	$'000	$'000	$'000

Interest income	148,076	200,870	—	46	41	—	148,117	200,916
Fees and commissions income	23,678	21,400	—	—	—	—	23,678	21,400

Total assets	20,748,117	14,714,560	8,988,416	5,542,966	8,904,944	6,955,743	38,641,477	27,213,269

7. Financial assets held at fair value through profit or loss


	2024	2023
	$'000	$'000

Debt and equity instruments	27,995,271	18,265,533
Derivative receivables	6,789,627	6,468,869
Financial assets held at fair value through profit or loss	34,784,898	24,734,402

Financial assets held at fair value through profit and loss predominantly represent derivatives and fully funded over the counter

("OTC") financial instruments with other JPMorganChase undertakings, see note 12. Credit valuation adjustments (“CVA”) are

necessary to reflect counterparty credit quality in the valuation of assets measured at fair value. CVA for the current year for

financial assets held at fair value through profit and loss is $9.9 million (2023: $6.4 million) which is fully offset by an equal and

opposite amount in financial liabilities designated at fair value through profit or loss. (Refer notes 10 and 11).

- 19 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

8. Trade and other receivables

Trade and other receivables are recognised initially at fair value and subsequently measured at amortised cost using the effective

interest method.


	2024	2023
	$'000	$'000
Trade and other receivables: amounts falling due after one year
Amounts owed by other JPMorganChase undertakings	—	1,000,000

	—	1,000,000

Trade and other receivables: amounts falling due within one year
Trade and other receivables	55,276	2,975
Amounts owed by other JPMorganChase undertakings	141,802	76,375

	197,078	79,350

None of the amounts within trade and other receivables were past due or impaired as at 31 December 2024 (2023: $nil).

9. Net cash and cash equivalents

Cash and cash equivalents include cash and balances at banks and deposits with banks with maturities of three months or less.


	2024	2023
	$'000	$'000

Cash held with other JPMorganChase undertakings	3,612,040	1,349,193
Cash held with third parties	41,571	45,764

	3,653,611	1,394,957

Bank overdraft
Balances due to other JPMorganChase undertakings	(559)	(462)
Balances due to third parties	(1,085)	(179)
	(1,644)	(641)

Net cash and cash equivalents as reported in the cash flow statement	3,651,967	1,394,316

The net cash and cash equivalents for the year includes $1,760.5 million (2023: $720.8 million) received in relation to collateral

from other JPMorganChase undertakings.

10. Financial liabilities designated at fair value through profit or loss


	2024	2023
	$'000	$'000

Structured notes	27,532,161	18,285,456

Financial liabilities designated at fair value through profit or loss include short term and long term structured notes. In certain

instances, the customers have the rights to exercise put options. Other securities include early redemption clauses. As a result,

the notes have been disclosed as having a maturity within one year. The contractual payments associated with the notes issued

by the Company are all guaranteed, predominantly by other JPMorganChase undertakings and may be repayable on customer

demand. The details of each note are set out in the prospectus for each issuance.

- 20 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

10. Financial liabilities designated at fair value through profit or loss (continued)

Debit valuation adjustments and funding valuation adjustments are necessary to reflect the credit quality of the Company in the

valuation of such liabilities. The directors consider that the Company is fully hedged and that there would, in the normal course of

business, be no impact to the results of the Company due to movements in the fair value of the financial liabilities designated at

fair value through profit or loss. As such also the relevant concentration risk is minimal.

The cumulative changes in its own credit and funding risk in the financial liabilities designated at fair value through profit or loss

and held at fair value through profit or loss for 2024 is $9.9 million (2023: $6.4 million) as on statement of financial position date.

This is fully offset by an equal and opposite amount in financial assets held at fair value through profit or loss (Refer note 7)

leading to nil impact in income statement.

11. Financial liabilities held at fair value through profit or loss


	2024	2023
	$'000	$'000

Derivative payables	7,252,737	6,448,946

Financial liabilities held at fair value through profit or loss consists of warrants and derivatives.

12. Assets and liabilities measured at fair value

Valuation process

The Company carries a portion of its assets and liabilities at fair value on a recurring basis.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction

between market participants at the measurement date. Fair value is based on quoted market prices or inputs, where available. If

prices or quotes are not available, fair value is based on valuation models and other valuation techniques that consider relevant

transaction characteristics (such as maturity) and use as inputs observable or unobservable market parameters, including yield

curves, interest rates, volatilities, prices (such as commodity, equity or debt prices), correlations, foreign exchange rates and

credit curves. Valuation adjustments may be made to ensure that financial instruments are recorded at fair value, as described

below.

The level of precision in estimating unobservable market inputs or other factors can affect the amount of gain or loss recorded for

a particular position. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those of

other market participants, the methods and assumptions used reflect management judgement and may vary across the

Company’s businesses and portfolios. The Company uses various methodologies and assumptions in the determination of fair

value. The use of different methodologies or assumptions to those used by the Company could result in a different estimate of fair

value at the reporting date.

Risk-taking functions are responsible for providing fair value estimates for assets and liabilities carried on the statement of

financial position at fair value. The Firm's Valuation Control Group (VCG), which is part of the Firm’s Finance function and

independent of the risk-taking functions, is responsible for verifying these estimates and determining any fair value adjustments

that may be required to ensure that the Firm’s positions are recorded at fair value. The valuation control function verifies fair value

estimates provided by the risk-taking functions by leveraging independently derived prices, valuation inputs and other market

data, where available. The Valuation Governance Forum (VGF) is composed of senior finance and risk executives and is

responsible for overseeing the management of risks arising from valuation activities conducted across the Firm. The Firmwide

VGF is chaired by the Firmwide head of the VCG (under the direction of the Firm’s Controller), and includes sub-forums covering

the CIB, Consumer and Community Banking ("CCB"), Asset and Wealth Management ("AWM") and certain corporate functions

including T/CIO.

Where independent prices or inputs are not available, the Firm's valuation control function performs additional review to ensure

the reasonableness of the estimates. The additional review may include evaluating the limited market activity including client

unwinds, benchmarking valuation inputs to those used for similar instruments, decomposing the valuation of structured

instruments into individual components, comparing expected to actual cash flows, reviewing profit and loss trends, and reviewing

trends in collateral valuation. There are also additional levels of management review for more significant or complex positions.

In determining the fair value of a derivative portfolio, valuation adjustments may be appropriate to reflect the credit quality of the

counterparty, the credit quality of the Company, and the funding risk inherent in certain derivatives. The credit and funding risks of

the derivative portfolio are generally mitigated by arrangements provided to the Company by JPMorgan Chase Bank, N.A. and

therefore the Company takes account of these arrangements in estimating the fair value of its derivative portfolio.

- 21 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Valuation process (continued)

Price Verification Process

The VCG verifies fair value estimates provided by the risk-taking functions by leveraging independently derived prices, valuation

inputs and other market data, where available. Where independent prices or inputs are not available, the VCG aims to perform

additional review to ensure the reasonableness of the estimates. The additional review may include evaluating the limited market

activity including client unwinds, benchmarking valuation inputs to those used for similar instruments, decomposing the valuation

of structured instruments into individual components, comparing expected to actual cash flows, reviewing profit and loss trends,

and reviewing trends in collateral valuation. There are also additional levels of management review for more significant or

complex positions. Some immaterial risks for which there is no direct independent market data and additional review isn’t

performed will remain untested.

The VCG determines any valuation adjustments that may be required to the estimates provided by the risk-taking functions. No

adjustments to quoted prices are applied for instruments classified within level 1 of the fair value hierarchy (refer to the discussion

below for further information on the fair value hierarchy). For other positions, judgment is required to assess the need for valuation

adjustments to appropriately reflect liquidity considerations, unobservable parameters, and, for certain portfolios that meet

specified criteria, the size of the net open risk position.

The determination of such adjustments follows a consistent framework across the Firm:

• Liquidity valuation adjustments are considered where an observable external price or valuation parameter exists but is of

lower reliability, potentially due to lower market activity. Liquidity valuation adjustments are made based on current market

conditions. Factors that may be considered in determining the liquidity adjustment include analysis of: (1) the estimated bid

offer spread for the instrument being traded; (2) alternative pricing points for similar instruments in active markets; and (3) the

range of reasonable values that the price or parameter could take.

• The Firm manages certain portfolios of financial instruments on the basis of net open risk exposure and, as permitted by

IFRS Accounting Standards as adopted by the European Union, has elected to estimate the fair value of such portfolios on

the basis of a transfer of the entire net open risk position in an orderly transaction. Where this is the case, valuation

adjustments may be necessary to reflect the cost of exiting a larger-than-normal market-size net open risk position. Where

applied, such adjustments are based on factors that a relevant market participant would consider in the transfer of the net

open risk position, including the size of the adverse market move that is likely to occur during the period required to reduce

the net open risk position to a normal market-size.

• Uncertainty adjustments related to unobservable parameters may be made when positions are valued using prices or input

parameters to valuation models that are unobservable due to a lack of market activity or because they cannot be implied from

observable market data. Such prices or parameters must be estimated and are, therefore, subject to management judgment.

Adjustments are made to reflect the uncertainty inherent in the resulting valuation estimate.

Valuation model review and approval

Any valuation models used by the Company to determine fair value are reviewed and approved by the Model Risk function. The

function is independent of model owners, developers and users. Further details on approach to model risk management are

provided in Operational risk - Estimation and Model risk section on page 2.

Fair value hierarchy

The Company classifies its assets and liabilities according to a valuation hierarchy that reflects the observability of significant

market inputs. The three levels are defined as follows:

Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets.

Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, quoted

prices for identical or similar assets or liabilities in markets that are not active and inputs that are observable for the asset or

liability, either directly or indirectly, for substantially the full term of the financial instrument.

Level 3 - one or more inputs to the valuation methodology are unobservable and significant to the fair value measurement.

A financial instrument’s categorisation within the valuation hierarchy is based on the lowest level of input that is significant to the

fair value measurement.

- 22 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Valuation methodologies

The following table describes the valuation methodologies used by the Firm to measure its more significant products/ instruments

at fair value, including the general classification of such instruments pursuant to the valuation hierarchy.


Product / Instrument	Valuation methodology, inputs and assumptions	Classifications in the valuation hierarchy
Structured notes	Valuations are based on discounted cash flow analysis that consider the embedded derivative and the terms and payment structure of the note. The embedded derivative features are considered using models such as the Black- Scholes option pricing model, simulation models, or a combination of models that use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion below regarding derivative valuation. Adjustments are then made to this base valuation to reflect the Firm’s own credit risk (DVA).	Level 2 or 3
Equity and Debt securities	Quoted market prices. In the absence of quoted market prices, securities are valued based on: • Observable market prices for similar securities • Relevant broker quotes • Discounted cash flows	Level 1 Level 2 or 3
Derivatives and fully funded OTC financial instruments	Derivatives that are valued using models such as the Black-Scholes option pricing model, simulation models, or a combination of models, that use observable or unobservable valuation inputs as well as considering the contractual terms. The key valuation inputs used will depend on the type of derivative and the nature of the underlying instruments and may include equity prices, commodity prices, interest rate yield curves, foreign exchange rates, volatilities, correlations, credit default swaps (“CDS”) spreads and recovery rates. Additionally, the credit quality of the counterparty and of the Firm's as well as market funding levels may also be considered. In addition, specific inputs used for derivatives that are valued based on models with significant unobservable inputs are as follows: Equity option specific inputs include: • Forward equity price • Equity volatility • Equity correlation • Equity - FX correlation • Equity - IR correlation	Level 2 or 3

The following tables present the assets and liabilities reported at fair value as of 31 December 2024 and 2023, by major product

category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis



	Level 1	Level 2	Level 3	Total
	$'000	$'000	$'000	$'000
At 31 December 2024

Financial assets held at fair value through profit and loss:
Debt and equity instruments	478,761	13,951,249	13,565,261	27,995,271
Derivative receivables	—	5,143,182	1,646,445	6,789,627
Total financial assets	478,761	19,094,431	15,211,706	34,784,898

Financial liabilities held at fair value through profit and loss:
Derivative payables	—	(5,192,639)	(2,060,098)	(7,252,737)
Financial liabilities designated at fair value through profit or loss:
Structured notes	—	(14,126,476)	(13,405,685)	(27,532,161)
Total financial liabilities	—	(19,319,115)	(15,465,783)	(34,784,898)

- 23 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Assets and liabilities measured at fair value on a recurring basis (continued)



	Level 1	Level 2	Level 3	Total
	$'000	$'000	$'000	$'000
At 31 December 2023

Financial assets held at fair value through profit and loss:
Debt and equity instruments	197,826	8,620,195	9,447,512	18,265,533
Derivative receivables	—	5,418,286	1,050,583	6,468,869
Total financial assets	197,826	14,038,481	10,498,095	24,734,402

Financial liabilities held at fair value through profit and loss:
Derivative payables	—	(5,499,766)	(949,180)	(6,448,946)
Financial liabilities designated at fair value through profit or loss:
Structured notes	—	(8,661,822)	(9,623,634)	(18,285,456)
Total financial liabilities	—	(14,161,588)	(10,572,814)	(24,734,402)

The Company hedges all structured note issuances by entering into hedging transactions with other JPMorganChase companies.

The hedging transactions can be booked as multiple elements in order to ensure the risk associated with the notes is fully

hedged. Each of these elements is classified in the fair value hierarchy in line with the requirements of IFRS 13 'Fair Value

Measurement', and as such the fair value hierarchy of the structured notes and hedges can differ.

Level 3 valuations

The Firm has established well structured processes for determining fair value, including for instruments where fair value is

estimated using significant unobservable inputs (level 3).

Estimating fair value requires the application of judgement. The type and level of judgement required is largely dependent on the

amount of observable market information available to the Company. For instruments valued using internally developed valuation

models and other valuation techniques that use significant unobservable inputs are classified within level 3 of the fair value

hierarchy, judgements used to estimate fair value are more significant than those required when estimating the fair value of

instruments classified within levels 1 and 2.

In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation

model or other valuation technique to use. Second, due to the lack of observability of significant inputs, management must assess

relevant empirical data in deriving valuation inputs including transaction details, yield curves, interest rates, prepayment speed,

default rates, volatilities, correlations, prices (such as commodity, equity or debt prices), valuations of comparable instruments,

foreign exchange rates and credit curves.

The following table presents the Company’s primary level 3 financial instruments, the valuation techniques used to measure the

fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and, for certain

instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the

significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include

observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the

unobservable components.

The range of values presented in the table is representative of the highest and lowest level input used to value the significant

groups of instruments within a product/ instrument classification. Where provided, the weighted averages of the input values

presented in the table are calculated based on the fair value of the instruments that the input is being used to value.

- 24 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Level 3 valuations (continued)

In the Company’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an

assessment of the reasonableness of the Company’s estimates and assumptions. Rather, they reflect the characteristics of the

various instruments held by the Company and the relative distribution of instruments within the range of characteristics. For

example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have

significantly different implied volatility levels because the option contracts have different underlying, tenors, or strike prices.

The input range and weighted average values will therefore vary from period-to-period and parameter to parameter based on the

characteristics of the instruments held by the Company at each statement of financial position date.


Product/instrument	Asset	Liability	Net fair value	Principal valuation technique	Unobservable input	Range of input values	Average (a)
At 31 December 2024	$'000	$'000	$'000
Derivatives and fully funded OTC financial instruments	15,211,706	(2,060,098)	13,151,608	Option pricing	Equity correlation 38% - 99%		58%
Derivatives and fully funded OTC financial instruments					Equity - FX correlation (51)% - 20%		(33%)
					Equity volatility	5% - 105%	36%
					Interest rate spread volatility	30bps - 105bps	65bps
					FX Derivatives - Interest Rate - FX correlation	(10)% - 50%	12%
					Interest Rate - FX correlation	(20)% – 50%	5%
					Interest rate correlation	1% - 65%	28%
Structured notes	—	(13,405,685)	(13,405,685)	Option pricing	Equity correlation 38% - 99%		58%
					Equity - FX correlation (51)% - 20%		(33%)
					Equity volatility	5% - 105%	36%
					Interest rate spread volatility	30bps - 105bps	65bps
					FX Derivatives - Interest Rate - FX correlation	(10)% - 50%	12%
					Interest Rate - FX correlation	(20)% – 50%	5%
					Interest rate correlation	1% - 65%	28%
Total	15,211,706	(15,465,783)	(254,077)

(a) Amounts represent arithmetic averages

- 25 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Level 3 valuations (continued)


Product/instrument	Asset	Liability	Net fair value	Principal valuation technique	Unobservable input	Range of input values	Average (a)
At 31 December 2023	$'000	$'000	$'000
Derivatives and fully funded OTC financial instruments	10,498,095	(949,180)	9,548,915	Option pricing	Equity correlation (1)% - 99%		68%
					Equity - FX correlation (80)% - 50%		(25%)
					Equity volatility	7% - 119%	28%
					Interest rate spread volatility	27bps - 95bps	72bps
					FX Derivatives - Interest Rate - FX correlation	0% - 35%	9%
					Interest Rate - FX correlation	(20)% – 20%	2%
					Interest rate correlation	1% - 60%	30%

Structured notes	—	(9,623,634)	(9,623,634)	Option pricing	Equity correlation (1)% - 99%		68%
					Equity - FX correlation (80)% - 50%		(25%)
					Equity volatility	7% - 119%	28%
					Interest rate spread volatility	27bps - 95bps	72bps
					FX Derivatives - Interest Rate - FX correlation	0% - 35%	9%
					Interest Rate - FX correlation	(20)% – 20%	2%
					Interest rate correlation	1% - 60%	30%
Total	10,498,095	(10,572,814)	(74,719)

a) Amounts represent arithmetic averages

The categories presented in the tables have been aggregated based upon the product type, which may differ from their

classification on the statement of financial position and fair values are shown net.

Given significant economic hedging between derivatives and structured notes, the inputs considered are consistent across

both.

Changes in and ranges of unobservable inputs

The following discussion provides a description of the impact on fair value measurement of a change in each unobservable input

in isolation, and the interrelationship between unobservable inputs, where relevant and significant. The impact of changes in

inputs may not be independent as a change in one unobservable input may give rise to a change in another unobservable input.

Where relationships exist between two unobservable inputs, those relationships are discussed below. Relationships may also

exist between observable and unobservable inputs (for example, as observable interest rates rise, unobservable prepayment

rates decline); such relationships have not been included in the discussion below. In addition, for each of the individual

relationships described below, the inverse relationship would also generally apply.

Correlation - Correlation is a measure of the relationship between the movements of two variables. Correlation is a pricing input

for a derivative product where the payoff is driven by one or more underlying risks. Correlation inputs are related to the type of

derivative due to the nature of the underlying risks. When parameters are positively correlated, an increase in one parameter will

result in an increase in the other parameter. When parameters are negatively correlated, an increase in one parameter will result

in a decrease in the other parameter. An increase in correlation can result in an increase or a decrease in a fair value

measurement. For example, a short correlation position, an increase in correlation, in isolation, would generally result in a

decrease in a fair value measurement.

- 26 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Level 3 valuations (continued)

Changes in and ranges of unobservable inputs (continued)

Volatility - Volatility is a measure of the variability in possible returns for an instrument, parameter or market index given how much

the particular instrument, parameter or index changes in value over time. Volatility is a pricing input for options, including equity

options and interest rate options. Generally, the higher the volatility of the underlying, the riskier the instrument. Given a long

position in an option, an increase in volatility, in isolation, would generally result in an increase in a fair value measurement.

Fair value of financial instruments valued using techniques that incorporate unobservable inputs

Price risk from the issued instruments is matched by entering into equal and offsetting OTC financial transactions with other

JPMorganChase companies so that any price risk is effectively hedged. As at 31 December 2024, the use of alternative inputs

would not change the results of the Company. Consequently, no sensitivity analysis for level 3 financial instruments is disclosed.

Movement in assets and liabilities in Level 3 during year ended 31 December 2024


Financial assets	Debt & Equity Instrument	Derivative receivables	Total financial assets
	$'000	$'000	$'000

At 1 January	9,447,512	1,050,583	10,498,095

Total gain/(loss) recognised in income statement	139,048	(941,835)	(802,787)
Purchases	17,235,212	3,529,518	20,764,730
Settlements	(13,546,424)	(1,166,060)	(14,712,484)
Transfers in to level 3	596,612	322,618	919,230
Transfers out of level 3	(306,699)	(1,148,379)	(1,455,078)

At 31 December	13,565,261	1,646,445	15,211,706

Change in unrealised gain/(loss) related to financial instruments held at 31 December	572,668	(687,044)	(114,376)


Financial liabilities	Derivative payables	Structured notes	Total financial liabilities
	$'000	$'000	$'000

At 1 January	949,180	9,623,634	10,572,814

Total (gain)/loss recognised in income statement	(872,409)	182,697	(689,712)
Purchases	3,695,558	—	3,695,558
Issuances	—	17,510,878	17,510,878
Settlements	(1,109,088)	(14,094,410)	(15,203,498)
Transfers in to level 3	268,726	289,034	557,760
Transfers out of level 3	(871,869)	(106,148)	(978,017)

At 31 December	2,060,098	13,405,685	15,465,783

Change in unrealised (gain)/loss related to financial instruments held at 31 December	(630,365)	234,527	(395,838)

- 27 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Level 3 valuations (continued)

Movement in assets and liabilities in Level 3 during year ended 31 December 2023


Financial assets	Debt & Equity Instrument	Derivative receivables	Total financial assets
	$'000	$'000	$'000

At 1 January	7,650,590	3,441,955	11,092,545

Total loss recognised in income statement	(80,754)	(432,803)	(513,557)
Purchases	8,975,076	882,614	9,857,690
Settlements	(6,984,490)	(2,434,942)	(9,419,432)
Transfers in to level 3	286,980	367,584	654,564
Transfers out of level 3	(399,890)	(773,825)	(1,173,715)

At 31 December	9,447,512	1,050,583	10,498,095

Change in unrealised gain related to financial instruments held at 31 December	136,942	211,457	348,399


Financial liabilities	Derivative payables	Structured notes	Total financial liabilities
	$'000	$'000	$'000

At 1 January	1,289,750	9,743,141	11,032,891

Total (gain)/loss recognised in income statement	(243,208)	530,270	287,062
Purchases	604,870	—	604,870
Issuances	(5)	8,869,479	8,869,474
Settlements	(533,726)	(9,560,485)	(10,094,211)
Transfers in to level 3	26,855	213,271	240,126
Transfers out of level 3	(195,356)	(172,042)	(367,398)

At 31 December	949,180	9,623,634	10,572,814

Change in unrealised loss related to financial instruments held at 31 December	219,266	151,243	370,509

As explained above, the Company's hedging transactions are booked as multiple elements in order to ensure the risk associated

with the notes is fully hedged, and as such the levelling of the structured notes and hedges can differ. The gain/(loss) recognised

in the income statement as a result of changes in fair value related to level 3 financial instruments, including any changes to

unrealised gain/(loss) is offset by an equal and opposite impact as a result of changes in fair value of the related hedging

instruments that are classified across multiple fair value levels.

- 28 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

12. Assets and liabilities measured at fair value (continued)

Transfers between levels for instruments carried at fair value on a recurring basis

For the years ended 31 December 2024 and 2023, there were no transfers between levels 1 and 2.

During the year ended 31 December 2024, transfers from level 2 to level 3 included the following:

• $919.2 million of assets driven by reduction in observability of derivatives and fully funded OTC financial instruments.

• $557.8 million of liabilities driven by a reduction in observability of structured notes.

During the year ended 31 December 2024, transfers from level 3 to level 2 included the following:

• $1455.1 million of assets driven by increase in observability of derivatives and fully funded OTC financial instruments.

• $978 million of liabilities driven by increase in observability of structured notes.

During the year ended 31 December 2023, transfers from level 2 to level 3 included the following:

• $654.6 million of assets driven by reduction in observability of derivatives and fully funded OTC financial instruments.

• $240.1 million of liabilities driven by a reduction in observability of structured notes.

During the year ended 31 December 2023, transfers from level 3 to level 2 included the following:

• $1,173.7 million of assets driven by increase in observability of derivatives and fully funded OTC financial instruments.

• $367.4 million of liabilities driven by increase in observability of structured notes.

All transfers are assumed to occur at the beginning of the year in which they occur.

Fair value of financial instruments not carried on statement of financial position at fair value

Certain financial instruments that are not carried at fair value on statement of financial position are carried at amounts that

approximate fair value, due to their short term nature and generally negligible credit risk. These instruments include cash and

cash equivalents, bank overdraft, trade and other receivables and trade and other payables.

The Company has $3,850.7 million (2023: $2,474.3 million) of financial assets and $3,204.9 million (2023: $1,847.7 million) of

financial liabilities that are not measured at fair value. Given the short-term nature of these instruments, their carrying amounts in

the statement of financial position are a reasonable approximation of fair value.

13. Offsetting financial assets and financial liabilities

No financial assets and liabilities have been offset on the statement of financial position as at 31 December 2024 (2023: $nil).

Financial instruments, recognised within financial assets held at fair value through profit or loss and financial liabilities held at fair

value through profit or loss, which were subject to master netting arrangements or other similar agreements but not offset, as at

31 December 2024, amounted to $6,657.7 million (2023: $5,871.6 million).

14. Trade and other payables

Trade and other payables are recognised initially at fair value and subsequently measured at amortised cost using the effective

interest method.


	2024	2023
	$'000	$'000
Trade payables: amount payable after one year
Amounts owed to other JPMorganChase undertakings	1,200,000	—
	1,200,000	—

Trade payables: amount payable within one year
Trade Payable	75,532	59,235
Amounts owed to other JPMorganChase undertakings	1,927,750	1,787,868
	2,003,282	1,847,103

Current and prior year trade and other payables predominantly consist of collateral received from other JPMorganChase

undertakings.

- 29 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

15. Share capital


	2024	2023
	€'000	€'000

Authorised share capital
90,000 (2023: 90,000) Ordinary shares of €1.00 each	90	90


	2024	2023
	$'000	$'000
Issued and fully paid share capital
20,000 (2023: 20,000) Ordinary shares of €1.00 each	26	26

In accordance with the requirements of Article 373 Book 2 of the Dutch Civil Code, the Company holds an amount of $2,000 in a

legal reserve in respect of revaluation of the Euro denominated share capital. There has been no change in the amount of

authorised share capital during the year.

16. Fee and commission income

All fee and commission income of $23.7 million (2023: $21.4 million) is from other JPMorganChase undertakings.

Included in trading profit are net gains/(losses) from financial liabilities designated at FVTPL and financial assets and liabilities

held at FVTPL:


	2024	2023
	$'000	$'000

Net loss on financial liabilities designated at FVTPL	(797,020)	(1,034,182)
Net gain on financial assets and liabilities held at FVTPL	797,020	1,034,182
	—	—

17. Administrative expenses


	2024	2023
	$'000	$'000

Custody fees	14,962	12,324
Issuance fees	5,736	2,566
Management fees	1,448	1,530
Auditors' remuneration	318	290
Other audit service	15	11
Other administrative expenses	1,648	3,183
	24,127	19,904

- 30 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

18. Audit fee


Audit fee type	PwC Netherlands	Other PwC network firms	2024 Total	PwC Netherlands	Other PwC network firms	2023 Total
	$'000	$'000	$'000	$'000	$'000	$'000
Audit services (excl VAT)	74	244	318	70	220	290
Other Audit services (excl VAT)	15	—	15	11	—	11

The audit fees relate to the audit of the 2023 and 2024 financial statements, regardless of whether the work was performed during

the financial period.

Other audit services relate to consent letters issued in connection with programme updates.

19. Interest income and expense

All interest income and expenses are from financial instruments held at amortised cost, out of which $147.9 million (2023:

$200.8million) are receivable from other JPMorganChase undertakings and $119.8 million (2023: $167.5 million) are due to other

JPMorganChase undertakings.

20. Income tax expense


	2024	2023
Income tax expense:	$'000	$'000

Current tax	7,113	8,609
Adjustment in respect of previous years	(7)	—

Tax on profit	7,106	8,609

Profit for the year before tax	27,636	32,867

Tax calculated at applicable tax rates	7,110	8,465
Expenses not deductible	3	144
Adjustments in respect of previous years	(7)	—

Income tax expense	7,106	8,609

The standard tax rate in the Netherlands is 25.8% (2023: 25.8%). A tax rate of 19% (2023: 19%) is applied to the first €200,000

(2023: €200,000). Effective tax rate is 25.7% (2023: 26.2%).

Organisation for Economic Co-operation and Development ("OECD") Pillar Two model rules

The Organization for Economic Co-operation and Development (OECD) has published model rules and associated guidance

related to Pillar Two. The rules apply a system of top-up taxes that aim to ensure corporations are paying income tax at a

minimum rate of 15% in every jurisdiction. These rules began to take effect for corporations in 2024. The Netherlands enacted

Pillar Two legislation from 1 January 2024. The application of the rules is ongoing and will continue to evolve as further guidance

is released by the OECD and individual jurisdictions.

The International Accounting Standards Board issued, in May 2023, amendments to IAS 12 Income Taxes, that introduced a

mandatory temporary exception to recording deferred taxes associated with jurisdictions implementing Pillar Two rules. The

Company has applied the mandatory exception to recognizing and disclosing information about deferred tax assets and liabilities

related to top-up taxes associated with Pillar Two. As such, any top-up taxes incurred will be treated as a period cost in the period

of occurrence.

The Company does not have top-up taxes associated with Pillar Two in the current year, given it is expected to qualify for the

temporary country-by-country safe harbor rule in effect this year.

- 31 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

21. Financial risk management

Risk is an inherent part of the Company’s business activities. The Company’s overall objective is to manage its business, and the

associated risks, in a manner that balances serving the interests of its clients, customers and investors, and protecting the safety

and soundness of the Company.

The Firm and Company believe that effective risk management requires, among other things:

• Acceptance of responsibility, including identification and escalation of risks by all individuals within the Company;

• Ownership of risk identification, assessment, data and management within each of the Lines of Business ("LOB") and

Corporate; and

• A Firmwide risk governance and oversight structure.

The Firm's risk governance structure is based on the principle that each LOB is responsible for managing the risk inherent in its

business, albeit with appropriate corporate oversight. Each LOB risk committee is responsible for decisions regarding its business

risk strategy, policies (as appropriate) and controls. Therefore, each LOB within the Company forms part of the Firmwide risk

governance structure.

Risk Appetite

The Firm’s overall appetite for risk is governed by Risk Appetite frameworks for quantitative and qualitative risks. The Firm’s risk

appetite is periodically set and approved by senior management (including the Chief Executive Officer ("CEO") and Chief Risk

Officer ("CRO")) and approved by the Board Risk Committee. Quantitative and qualitative risks are assessed to monitor and

measure the Firm’s capacity to take risk consistent with its stated risk appetite. Risk appetite results are reported to the JPMC

Board Risk Committee. The Company relies on the Firmwide risk appetite frameworks.

The following sections outline the key financial risks that are inherent in the Company’s business activities.

Credit risk

Credit risk is the risk associated with the default or change in credit profile of a client, counterparty or customer. Credit risk

management monitors and measures credit risk throughout the Firm and defines credit risk policies and procedures. The credit

risk function reports to the Firm’s Chief Risk Officer ("CRO").

Expected credit loss measurement

Approach to measuring expected credit losses

The Company estimates credit impairment through an allowance for expected credit losses (“ECLs”). ECLs are recognised for

financial assets that are measured at amortised cost. The measurement of ECLs must reflect:

(a) An unbiased and probability weighted amount that is determined by evaluating a range of possible outcomes;

(b) The time value of money; and

economic conditions.

The measurement of ECL also reflects how the Company manages the financial instruments for credit risk purposes such as

Traditional Credit Products (“TCP”), and non-traditional credit products (“Non-TCP”). The Company does not hold any TCP

instruments. Non-TCP consist of financial assets measured at amortised cost which include trade and other receivables and cash

instruments.

The following table sets out the balances of the Company’s financial assets that are measured at amortised cost within the Non-

TCP category:


	Non-TCP
statement of financial position categories	2024	2023
	$'000	$'000
Assets
Trade and other receivables	197,078	1,079,350
Cash and cash equivalents	3,653,611	1,394,957

For Non-TCPs, the Company utilises a combination of an established provision matrix, as well as quantitative and qualitative

considerations to estimate ECLs.

- 32 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

21. Financial risk management (continued)

During the year, the Company did not recognise any ECL on Non-TCP balances as the ECL related to these exposures is

assessed as negligible. The Company’s approach to measuring ECLs for Non-TCP portfolios depends on the type of instrument.

Refer to the Credit exposures section below for an analysis per statement of financial position line item.

Credit exposures

Statement of financial position exposure by financial asset

The table below presents the Company’s gross statement of financial position exposure to financial assets without taking account

of any collateral or economic hedges in place.


	Gross statement of financial position exposure (a)	Exposures captured by market risk	Risk mitigants	Net credit exposure	Net statement of financial position exposure held with:
	Gross statement of financial position exposure (a)	Exposures captured by market risk	Master netting agreements and other	Net credit exposure	JPMorgan Chase undertakings	External counter parties
	$'000	$'000	$'000	$'000	$'000	$'000

Financial assets at 31 December 2024
Cash and cash equivalents	3,653,611	—	—	3,653,611	3,612,040	41,571
Financial assets held at fair value through profit or loss	34,784,898	(27,995,271)	(6,657,686)	131,941	131,941	—
Trade and other receivables	197,078	—	—	197,078	141,802	55,276

Total	38,635,587	(27,995,271)	(6,657,686)	3,982,630	3,885,783	96,847


	Gross statement of financial position exposure (a)	Exposures captured by market risk	Risk mitigants	Net credit exposure	Net statement of financial position exposure held with:
	Gross statement of financial position exposure (a)	Exposures captured by market risk	Master netting agreements and other	Net credit exposure	JPMorgan Chase undertakings	External counter parties
	$'000	$'000	$'000	$'000	$'000	$'000

Financial assets at 31 December 2023
Cash and cash equivalents	1,394,957	—	—	1,394,957	1,349,193	45,764
Financial assets held at fair value through profit or loss	24,734,402	(18,265,533)	(5,871,617)	597,252	597,252	—
Trade and other receivables	1,079,350	—	—	1,079,350	1,076,375	2,975

Total	27,208,709	(18,265,533)	(5,871,617)	3,071,559	3,022,820	48,739

(a) Gross exposure of $37,988.2 million (2023: $26,933.9 million) is held with other JPMorganChase undertakings.

The Company’s credit exposures and credit risk mitigants are further described below. No material ECL allowance is recognised

on Non-TCP financial assets, refer below for further discussion.

Trade and other receivables

Trade and other receivables mainly consist of amounts due from other JPMorganChase undertakings primarily from intercompany

trade receivables.

The majority of amounts due from other JPMorganChase undertakings are with a counterparty who is a Material Legal Entity

("MLE"). As MLEs are adequately capitalised to ensure the MLE can fulfil all of its obligations even in the event of an orderly

liquidation of JPMorganChase, and are of investment grade, these intercompany receivables are included in Stage 1 as they are

held with MLEs, and considered to not have an increase in credit risk that would result in material expected credit losses.

Receivables from MLEs would only be included in Stage 2 if the obligor is no longer considered an MLE and there is evidence of

credit deterioration of the obligor, or if certain support triggers defined in the JPMorganChase’s Resolution Plan occur.

Receivables from MLEs are not credit-impaired as the Firm ensures MLEs are more than adequately capitalised as required by

the Firms Resolution Plan. The Company recognises no allowance on these balances.

- 33 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

21. Financial risk management (continued)

Cash and cash equivalents

The Company places substantially all of its deposits with banks which are of investment-grade. The Company includes cash and

cash equivalents in Stage 1 as investment-grade institutions are considered to have high quality credit with low risk of default and

therefore a significant increase in credit risk is not deemed probable or material. The Company recognises no allowance on these

balances.

Liquidity risk

Liquidity risk is the risk that the Company will be unable to meet its contractual and contingent financial obligations as they arise

or that it does not have the appropriate amount, composition and tenor of funding and liquidity to support its assets and liabilities.

Liquidity risk management

The Firm has a Liquidity Risk Management ("LRM") function, acting as second line of defence, whose primary objective is to

provide independent oversight of liquidity risk across the Firm. LRM’s responsibilities include, but are not limited to:

• Defining, monitoring and reporting liquidity risk metrics;

• Independently establishing and monitoring limits and indicators including liquidity risk appetite;

• Developing a process to classify, monitor and report limit breaches;

• Performing an independent review of liquidity risk management processes to evaluate their adequacy and effectiveness

based on the LRM's Independent Review Framework;

• Monitoring and reporting internal Firmwide and legal entity liquidity stress tests, regulatory defined metrics, as well as

liquidity positions, statement of financial position variances, and funding activities; and

• Approving or escalating for review new or updated liquidity stress assumptions.

Liquidity management

Treasury and Chief Investment Office ("T/CIO") is responsible for liquidity management. The primary objectives of the Firm's

liquidity management are to:

• Ensure that the Firm’s core businesses and material legal entities are able to operate in support of client needs and meet

contractual and contingent financial obligations through normal economic cycles as well as during stress events; and

• Manage an optimal funding mix, and availability of liquidity sources.

As part of the Firm's overall liquidity management strategy, the Firm manages liquidity and funding using a centralised, global

approach designed to:

• Optimise liquidity sources and uses;

• Monitor exposures;

• Identify constraints on the transfer of liquidity between the Firm’s legal entities; and

• Maintain the appropriate amount of surplus liquidity at a Firmwide and legal entity level, where relevant.

In the context of the Firm’s liquidity management, Treasury and Chief Investment Office ("T/CIO") is responsible for:

• Analysing and understanding the liquidity characteristics of the assets and liabilities of the Firm, lines of business and legal

entities, taking into account legal, regulatory, and operational restrictions;

• Developing internal liquidity stress testing assumptions;

• Defining and monitoring Firmwide and legal entity-specific liquidity strategies, policies, reporting and contingency funding

plans;

• Managing liquidity within the Firm's approved liquidity risk appetite tolerances and limits;

• Managing compliance with regulatory requirements related to funding and liquidity risk; and

• Setting Funds Transfer Pricing ("FTP") in accordance with underlying liquidity characteristics of statement of financial

position assets and liabilities as well as certain off-statement of financial position items.

- 34 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

21. Financial risk management (continued)

Liquidity risk (continued)

The Company's issuances are economically hedged with transactions with other JPMorgan Chase undertakings. To the extent

that settlement-related timing differences between issuances and the hedge may result in funding requirements, these are funded

by other Firm companies involved in the transactions. The contractual payments associated with the notes issued by the

Company are predominantly guaranteed by other JPMorganChase undertakings.

The following table provides details on the maturity of all financial liabilities.


	2024			2023
	Less than	More than	Total	Less than
	1 year	1 year		1 year
	$'000	$'000	$'000	$'000
Financial liabilities designated at fair value through profit or loss	27,532,161	—	27,532,161	18,285,456
Financial liabilities held at fair value through profit or loss	7,252,737	—	7,252,737	6,448,946
Bank overdraft	1,644	—	1,644	641
Trade and other payables	2,003,282	1,200,000	3,203,282	1,847,103
	36,789,824	1,200,000	37,989,824	26,582,146

Included with the above liabilities, the balances held with other JPMorganChase undertakings are $11,284.1 million (2023:

$9,922.5 million).

Market risk

Market Risk is the risk associated with the effect of changes in market factors such as interest and foreign exchange rates, equity

and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long

term.

Where the Company is exposed to market risk it is managed as part of the Enterprise-wide Market Risk management

framework.

22. Managed capital

Total equity of $651.7 million (2023: $631.1 million) constitutes the managed capital of the Company, which consists entirely of

issued share capital, share premium reserve, legal reserve and retained earnings.

The directors are responsible for setting the objectives, policies and processes relating to the management of the Company's

capital and maintain a set of policy documents to assist in discharging their responsibilities.

The Company is not subject to any externally imposed capital requirements.

- 35 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

23. Related party transactions

Related parties comprise:

(a) Directors and shareholders of the Company and companies in which they have an ownership interest

(b) Other JPMorganChase undertakings

None of the directors received remuneration from the Company during the year (2023: $nil). The Company did not employ any

staff in 2024 or 2023.

The Company's parent undertaking is detailed in note 1. There were no transactions with the parent undertaking during the year.

Related party transactions, outstanding balances at year end, and income and expenses for the year, all related to normal

business activities at arm's length, are as follows:

Outstanding balances at year end


	JPMorganChase	JPMorganChase
	undertakings	undertakings
	31 December 2024	31 December 2023
	$'000	$'000

Financial assets held at fair value through profit or loss	34,234,375	24,508,365
Trade and other receivables	141,802	1,076,375
Cash and cash equivalents	3,612,040	1,349,193
Financial liabilities held at fair value through profit or loss	(6,667,511)	(5,877,754)
Financial liabilities designated at fair value through profit or loss	(1,488,328)	(2,256,415)
Trade and other payables	(3,127,750)	(1,787,868)
Bank overdraft	(559)	(462)

Income and expenses for the year ended


	JPMorganChase	JPMorganChase
	undertakings	undertakings
	31 December 2024	31 December 2023
	$'000	$'000

Net gains	1,209,405	380,430
Fees and commission income	23,678	21,400
Administrative expenses	(877)	(832)
Net interest income	28,046	33,326

- 36 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Notes to the financial statements (continued)

24. Proposed appropriation of net results

Management propose to appropriate the current year profit to retained earnings. No dividend was paid or proposed during the

year (2023: $nil).

25. Post balance sheet events

There is no post balance sheet event that would meet the criteria of being disclosed here and impacting the entity.

The Board of Directors



S.E. Cheah		P.M. Schraal

R.G. Boks		S.E.J. Ruigrok

Date: 7 April 2025

- 37 -

J.P. MORGAN STRUCTURED PRODUCTS B.V.

Other information

Profit appropriation according to the Articles of Association

Article 21 Chapter VIII of The Articles of Association of the Company require that the allocation of profits be determined in a

general meeting of the shareholders. The Management Board may resolve to pay interim dividends up to an amount which does

not exceed the amount of the distributable part of the net assets. Dividends shall be paid after adoption of the annual financial

statements from which it appears that payment of dividends is permissible.

- 38 -

Independent auditor's report

Independent auditor’s report

To: the general meeting of J.P. Morgan Structured Products B.V.

Report on the audit of the financial statements 2024

Our opinion

In our opinion, the financial statements of J.P. Morgan Structured Products B.V. (‘the Company’) give a true and fair view of the

financial position of the Company as at 31 December 2024, and of its result and its cash flows for the year then ended in

accordance with IFRS Accounting Standards as adopted by the European Union (‘EU’) and with Part 9 of Book 2 of the Dutch

Civil Code.

What we have audited

We have audited the accompanying financial statements 2024 of J.P. Morgan Structured Products B.V., Amsterdam. The financial

statements comprise:

• the statement of financial position as at 31 December 2024;

• the following statements for 2024: the income statement, the statements of comprehensive income, changes in equity and

cash flows; and

• the notes to the financial statements, including material accounting policy information and other explanatory information.

The financial reporting framework applied in the preparation of the financial statements is IFRS Accounting Standards as adopted

by the EU and the relevant provisions of Part 9 of Book 2 of the Dutch Civil Code.

The basis for our opinion

We conducted our audit in accordance with Dutch law, including the Dutch Standards on Auditing. We have further described our

responsibilities under those standards in the section ‘Our responsibilities for the audit of the financial statements’ of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Independence

We are independent of J.P. Morgan Structured Products B.V. in accordance with the European Union Regulation on specific

requirements regarding statutory audit of public-interest entities, the ‘Wet toezicht accountantsorganisaties’ (Wta, Audit firms

supervision act), the ‘Verordening inzake de onafhankelijkheid van accountants bij assuranceopdrachten’ (ViO, Code of Ethics for

Professional Accountants, a regulation with respect to independence) and other relevant independence regulations in the

Netherlands. Furthermore, we have complied with the ‘Verordening gedrags- en beroepsregels accountants’ (VGBA, Dutch Code

of Ethics).

Our audit approach

We designed our audit procedures with respect to the key audit matters, fraud and going concern, and the matters resulting from

that, in the context of our audit of the financial statements as a whole and in forming our opinion thereon. The information in

support of our opinion, such as our findings and observations related to individual key audit matters, the audit approach fraud risk

and the audit approach going concern was addressed in this context, and we do not provide separate opinions or conclusions on

these matters.

- 39 -

Independent auditor's report

Overview and context

J.P. Morgan Structured Products B.V.'s main activity is the issuance of securitised derivatives products comprising certificates,

warrants and market participation notes, and the subsequent economic hedging of these positions (hereinafter referred to as

‘notes, warrants, derivatives and hedging transactions with other group companies’) through hedging with other JPMorgan Chase

companies. We paid specific attention to the areas of focus driven by the operations of the Company, as set out below:

As part of designing our audit, we determined materiality and assessed the risks of material misstatement in the financial

statements. In particular, we considered where the board of directors made important judgements, for example, in respect of

significant accounting estimates that involved making assumptions and considering future events that are inherently uncertain. In

these considerations, we paid attention to, amongst others, the risk related to climate change.

In note 5 'Critical accounting estimates and judgements' of the financial statements, the Company describes the areas of

judgement in applying accounting policies and the key sources of estimation uncertainty. Given the significant estimation

uncertainty and the related higher inherent risks of material misstatement in valuation of certificates, warrants and market

participation notes and hedging transactions with other group companies, we considered this as key audit matter as set out in the

section ‘Key audit matter’ of this report.

J.P. Morgan Structured Products B.V. assessed the possible effects of climate change on its financial position, refer to section

‘Climate-related financial risk’ of the directors' report. We discussed J.P. Morgan Structured Products B.V.’s assessment and

governance thereof with the board of directors and evaluated the potential impact on the financial position including underlying

assumptions and estimates. The expected effects of climate change are not considered a key audit matter.

We ensured that the audit team included the appropriate skills and competences which are needed for the audit of the Company.

We therefore included experts in the area of valuation in particular for the more complex financial instruments, in our team.

The outline of our audit approach was as follows:

Materiality

• Overall materiality: USD 386 million (2023: USD 272 million)

Audit scope

• We conducted audit work in three locations: the Netherlands, the United Kingdom and the United States of America.

Key audit matters

• Valuation of the notes, warrants and derivatives, and hedging transactions with other group companies

Materiality

The scope of our audit was influenced by the application of materiality, which is further explained in the section ‘Our

responsibilities for the audit of the financial statements’.

Based on our professional judgement we determined certain quantitative thresholds for materiality, including the overall materiality

for the financial statements as a whole as set out in the table below. These, together with qualitative considerations, helped us to

determine the nature, timing and extent of our audit procedures on the individual financial statement line items and disclosures

and to evaluate the effect of identified misstatements, both individually and in aggregate, on the financial statements as a whole

and on our opinion.

- 40 -

Independent auditor's report


Overall materiality	USD 386 million (2023: USD 272 million).
Basis for determining materiality	We used our professional judgement to determine overall materiality. As a basis for our judgement, we used 1% of total assets.
Rationale for benchmark applied	We used total assets as the primary benchmark, a generally accepted auditing practice, based on our analysis of the common information needs of the users of the financial statements. We believe that profit before tax is not an appropriate benchmark as profitability is not the main indicator of the financial performance of the Company. The purpose of the Company is the issuance of structured products, hence total assets is considered the most relevant and suitable benchmark.

We also take misstatements and/or possible misstatements into account that, in our judgement, are material for qualitative

reasons.

We agreed with the board of directors that we would report to them any misstatement identified during our audit above USD 38

million (2023: USD 27 million) as well as misstatements below that amount that, in our view, warranted reporting for qualitative

reasons.

The scope of our audit

The Company's ultimate parent undertaking of the largest group in which the results of the Company are consolidated is

JPMorgan Chase & Co ('the Group'). The operations of the Company are embedded in the IT environment and process controls

of the Group.

Considering our responsibility for the opinion on the Company’s financial statements, we are responsible for the direction,

supervision and performance of the audit of the Company. In this context, we used the work performed by the auditors of

JPMorgan Chase & Co Group companies in the United Kingdom and the United States for assurance over the IT environment

and the relevant above-mentioned controls.

Where the work was performed by the auditors of JPMorgan Chase & Co Group companies, we determined the nature, timing

and extent of direction and supervision of the component auditors and review of their work. We furthermore:

• Issued group audit instructions to the auditors of JPMorgan Chase & Co Group companies to set expectations for the auditor's

work and facilitate our direction and supervision of the auditor and review of their work;

• Participated in discussions with the auditors of the Group companies as part of planning the engagement, including when we

assigned tasks or procedures such as the performance of risk assessment procedures or determining the nature, timing and

extent of audit responses to identified and assessed risks of material misstatement to auditors;

• Communicated with the auditors of the JPMorgan Chase & Co Group companies throughout the course of the audit in order to

monitor the progress of the auditor's work. These ongoing communication included matters affecting the execution, completion

and reporting of the audit;

• Gained access to the audit file of the auditors of JPMorgan Chase & Co Group companies and reviewed relevant parts of the

auditor's work; and

• Assessed the reports and made observations which were discussed with the auditors of JPMorgan Chase & Co Group

companies and with the board of directors.

By performing the procedures described above at component level, combined with additional procedures at group level, we have

obtained sufficient and appropriate audit evidence on the Company's financial information, to provide a basis for our opinion on

the financial statements.

- 41 -

Independent auditor's report

Audit approach fraud risks

We identified and assessed the risks of material misstatements of the financial statements due to fraud. During our audit we

obtained an understanding of J.P. Morgan Structured Products B.V. and its environment and the components of the internal

control system. This included the board of directors’ risk assessment process, the board of directors’ process for responding to the

risks of fraud and monitoring the internal control system.

We evaluated the design and relevant aspects of the internal control system with respect to the risks of material misstatements

due to fraud and in particular the fraud risk assessment, as well as the code of conduct, whistleblower procedures, among other

things. We evaluated the design and the implementation and, where considered appropriate, tested the operating effectiveness of

internal controls designed to mitigate fraud risks.

We asked members of the board of directors whether they are aware of any actual or suspected fraud. This did not result in

signals of actual or suspected fraud that may lead to a material misstatement.

As part of our process of identifying fraud risks, we evaluated fraud risk factors with respect to financial reporting fraud,

misappropriation of assets and bribery and corruption. We evaluated whether these factors indicate that a risk of material

misstatement due to fraud is present.

We identified the following fraud risk and performed the following specific procedures:


Identified fraud risks	Our audit work and observations
The risk of management override of control The directors are in a unique position to perpetrate fraud, because of the board of directors ability to manipulate accounting records and prepare fraudulent financial statements by overriding controls that otherwise appear to be operating effectively. That is why, in all our audits, we pay attention to the risk of management override of controls in: • the appropriateness of journal entries and other adjustments made in the preparation of the financial statements; • determining significant accounting estimates; and • significant transactions, if any, outside the normal course of business for the Company.	We evaluated the design and implementation of the relevant internal control measures that are intended to mitigate the risk of management override of control. We also tested the information security controls relating to system access and change management. We have selected journal entries based on specific risk criteria in particular any journal entries posted by senior management. We also performed specific audit procedures on assumptions and judgements made by management in their significant accounting estimates, particularly in relation to the valuation of certain, more complex, financial instruments. We refer to the section ‘Key audit matters’ for the performed audit procedures. We did not identify any significant transactions outside the normal course of business of the Company. Our work did not lead to specific indications of fraud or suspicions of fraud regarding the risk of management override of controls by the board of directors.

We incorporated an element of unpredictability in our audit. We reviewed correspondence with regulators. During the audit, we

remained alert to indications of fraud. Furthermore, we considered the outcome of our other audit procedures and evaluated

whether any findings were indicative of fraud or non-compliance with laws and regulations.

Audit approach going concern

The board of directors prepared the financial statements on the assumption that the entity is a going concern and that it will

continue all its operations for at least 12 months from the date of preparation of the financial statements.

- 42 -

Independent auditor's report

Our procedures to evaluate the board of directors’ going-concern assessment included, amongst others:

• Considering whether the board of directors identified events or conditions that may cast significant doubt on the entity’s ability

to continue as a going concern;

• Considering whether the board of directors’ going-concern assessment included all relevant information of which we were

aware as a result of our audit and inquiring with the board of directors regarding the board of directors’ most important

assumptions underlying its going-concern assessment. Amongst others, the board of directors took into consideration the

financial performance and financial position of the Company;

• Understanding and evaluating the Company's current financial position and financial forecasts;

• Assessing that the Company's issuances are economically hedged with derivatives with other JPMorgan Chase & Co

undertakings;

• Evaluating the financial position of the guarantor to the notes, which are predominantly JPMorganChase undertakings, by

assessing observable data from rating agencies, developments in credit spreads, current financial data and other publicly

available data; and;

• Performing inquiries of the board of directors as to its knowledge of going-concern risks beyond the period of the board of

directors’ assessment.

Our procedures did not result in outcomes contrary to the board of directors’ assumptions and judgments used in the application

of the going-concern assumption.

Key audit matter

Key audit matters are those matters that, in our professional judgement, were of most significance in the audit of the financial

statements. We have communicated the key audit matter to the board of directors. The key audit matters are not a

comprehensive reflection of all matters identified by our audit and that we discussed. In this section, we described the key audit

matter and included a summary of the audit procedures we performed on those matters.

- 43 -

Independent auditor's report

Due to the nature of the Company, key audit matters do not change significantly year on year.


Key audit matter		Our audit work and observations
Valuation of the notes, warrants, derivatives and hedging transactions with other group companies Refer to the accounting policies note 4.3.1.subsection iv. ‘Financial assets and financial liabilities measured at fair value through profit or loss’, v. ‘Financial assets and financial liabilities designated at fair value through profit or loss’, note 4.4 ‘Fair value’, note 5 ‘Critical accounting estimates and judgements’, note 7 ‘Financial assets held at fair value through profit or loss’, note 10 ‘Financial liabilities designated at fair value through profit or loss’, note 11 ‘Financial liabilities held at fair value through profit or loss’ and note 12 ‘Assets and liabilities at fair value’. Financial liabilities designated at fair value through profit or loss and financial liabilities held at fair value through profit and loss, and the equivalent amount in financial assets held at fair value through profit or loss amount to USD 34,785 million as at 31 December 2024. Financial liabilities designated at fair value through profit or loss consist of structured notes. Financial liabilities held at fair value through profit or loss consist of market participant warrants and derivative-linked products. These financial liabilities, specifically debt instruments, are issued with embedded derivatives for which the valuation is determined using valuation models and pricing inputs, which involve the management judgement for level 2 and level 3 instruments. The market risk associated with movements in the fair value of the structured note liabilities is offset by the hedging transactions with other group companies. The fair value of these financial instruments are determined using valuation methods that involve varying degrees of judgement. In exercising judgement, the board of directors determines the most appropriate assumptions and valuation methodologies. The valuation of more complex and less liquid derivative financial instruments can have greater estimation uncertainty where a limited or no active market exists and therefore there is less observable evidence to support the valuations. These products can also be bespoke in nature and often require more judgmental valuation methodologies. We consider the valuation of the notes, warrants, derivatives and hedging transactions with other group companies to be a key audit matter, given the magnitude of the assets and liabilities held, the nature of these positions and the audit effort required.		We evaluated the design of relevant business processes and tested the operating effectiveness of respective controls. This included: • Assessing the design and testing the operating effectiveness of the independent price verification controls, including assessing the third-party pricing sources used; • Engaging our valuation experts to assess model validation and approval controls; and • Evaluating and testing controls over data feeds and market information. Based on our testing of controls, we determined that it was appropriate to place reliance on the above controls for the purpose of our audit. In addition, we performed the substantive testing described below: • We utilised our valuation experts to revalue a sample of instruments using our models and pricing information from independent sources where possible. For samples where we utilised management's inputs to revalue the instruments, we assessed the reasonableness of the inputs used; • We examined collateral disputes and other events which could provide evidence about the appropriateness of the valuations; • We tested the completeness and accuracy of the economic hedging transactions to ensure the Company had relevant economic hedges in place; and • We evaluated the adequacy of the disclosures relating to the valuation of financial assets held at fair value through profit or loss, financial liabilities designated at fair value through profit or loss and financial liabilities held at fair value through profit or loss for compliance with the disclosure requirements included in the IFRS Accounting Standards as adopted by the EU.

- 44 -

Independent auditor's report

Report on the other information included in the annual report

The annual report contains other information. This includes all information in the annual report in addition to the financial

statements and our auditor’s report thereon

Based on the procedures performed as set out below, we conclude that the other information:

• is consistent with the financial statements and does not contain material misstatements; and

• contains all the information regarding the directors’ report and the other information that is required by Part 9 of Book 2 of the

Dutch Civil Code.

We have read the other information. Based on our knowledge and the understanding obtained in our audit of the financial

statements or otherwise, we have considered whether the other information contains material misstatements.

By performing our procedures, we comply with the requirements of Part 9 of Book 2 of the Dutch Civil Code and the Dutch

Standard 720. The scope of such procedures was substantially less than the scope of those procedures performed in our audit of

the financial statements.

The board of directors is responsible for the preparation of the other information, including the directors’ report and the other

information in accordance with Part 9 of Book 2 of the Dutch Civil Code.

Report on other legal and regulatory requirements and ESEF

Our appointment

We were appointed as auditors of J.P. Morgan Structured Products B.V. This followed the passing of a resolution by the

shareholders at the annual general meeting held on 13 April 2021. Our appointment has been renewed annually by shareholders

and now represents a total period of uninterrupted engagement of 4 years.

European Single Electronic Format (ESEF)

J.P. Morgan Structured Products B.V. has prepared the annual report in ESEF. The requirements for this are set out in the

Delegated Regulation (EU) 2019/815 with regard to regulatory technical standards on the specification of a single electronic

reporting format (hereinafter: the RTS on ESEF).

In our opinion, the annual report prepared in XHTML format, including the financial statements of J.P. Morgan Structured Products

B.V., complies in all material respects with the RTS on ESEF.

The board of directors is responsible for preparing the annual report, including the financial statements in accordance with the

RTS on ESEF.

Our responsibility is to obtain reasonable assurance for our opinion whether the annual report complies with the RTS on ESEF.

We performed our examination in accordance with Dutch law, including Dutch Standard 3950N ‘Assuranceopdrachten inzake het

voldoen aan de criteria voor het opstellen van een digitaal verantwoordingsdocument’ (assurance engagements relating to

compliance with criteria for digital reporting).

Our examination included amongst others:

• Obtaining an understanding of the entity’s financial reporting process, including the preparation of the annual report in XHTML

format.

• Identifying and assessing the risks that the annual report does not comply in all material respects with the RTS on ESEF and

designing and performing further assurance procedures responsive to those risks to provide a basis for our opinion, including

examining whether the annual report in XHTML format is in accordance with the RTS on ESEF.

No prohibited non-audit services

To the best of our knowledge and belief, we have not provided prohibited non-audit services as referred to in article 5(1) of the

European Regulation on specific requirements regarding statutory audit of public-interest entities.

Services rendered

The services, in addition to the audit, that we have provided to the Company, for the period to which our statutory audit relates,

are disclosed in note 18 to the financial statements.

- 45 -

Independent auditor's report

Responsibilities for the financial statements and the audit

Responsibilities of the board of directors

The board of directors is responsible for:

• the preparation and fair presentation of the financial statements in accordance with IFRS Accounting Standards as adopted by

the EU and Part 9 of Book 2 of the Dutch Civil Code; and for

• such internal control as the board of directors determines is necessary to enable the preparation of the financial statements

that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the board of directors is responsible for assessing the Company’s ability to continue as a

going concern. Based on the financial reporting frameworks mentioned, the board of directors should prepare the financial

statements using the going-concern basis of accounting unless the board of directors either intends to liquidate the Company or

to cease operations or has no realistic alternative but to do so. The board of directors should disclose in the financial statements

any event and circumstances that may cast significant doubt on the Company’s ability to continue as a going concern.

Our responsibilities for the audit of the financial statements

Our responsibility is to plan and perform an audit engagement in a manner that allows us to obtain sufficient and appropriate audit

evidence to provide a basis for our opinion. Our objectives are to obtain reasonable assurance about whether the financial

statements as a whole are free from material misstatement, whether due to fraud or error and to issue an auditor’s report that

includes our opinion. Reasonable assurance is a high but not absolute level of assurance, and is not a guarantee that an audit

conducted in accordance with the Dutch Standards on Auditing will always detect a material misstatement when it exists.

Misstatements may arise due to fraud or error. They are considered material if, individually or in the aggregate, they could

reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements.

Materiality affects the nature, timing and extent of our audit procedures and the evaluation of the effect of identified misstatements

on our opinion.

A more detailed description of our responsibilities is set out in the appendix to our report.

Utrecht, 7 April 2025

PricewaterhouseCoopers Accountants N.V.

Original has been signed by T.M.B. van de Lagemaat RA

- 46 -

Independent auditor's report

Appendix to our auditor’s report on the financial statements 2024 of J.P. Morgan Structured Products B.V.

In addition to what is included in our auditor’s report, we have further set out in this appendix our responsibilities for the audit of

the financial statements and explained what an audit involves.

The auditor’s responsibilities for the audit of the financial statements

We have exercised professional judgement and have maintained professional scepticism throughout the audit in accordance with

Dutch Standards on Auditing, ethical requirements and independence requirements. Our audit consisted, among other things of

the following:

• Identifying and assessing the risks of material misstatement of the financial statements, whether due to fraud or error,

designing and performing audit procedures responsive to those risks, and obtaining audit evidence that is sufficient and

appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher

than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the

intentional override of internal control.

• Obtaining an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in

the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control.

• Evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates and related

disclosures made by the board of directors.

• Concluding on the appropriateness of the board of directors’ use of the going-concern basis of accounting, and based on the

audit evidence obtained, concluding whether a material uncertainty exists related to events and/or conditions that may cast

significant doubt on the Company’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we

are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures

are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our

auditor’s report and are made in the context of our opinion on the financial statements as a whole. However, future events or

conditions may cause the Company to cease to continue as a going concern.

• Evaluating the overall presentation, structure and content of the financial statements, including the disclosures, and evaluating

whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with the board of directors regarding, among other matters, the planned scope and timing of the audit and

significant audit findings, including any significant deficiencies in internal control that we identify during our audit. In this respect,

we also issue an additional report to the audit committee in accordance with article 11 of the EU Regulation on specific

requirements regarding statutory audit of public-interest entities. The information included in this additional report is consistent

with our audit opinion in this auditor’s report.

We provide the board of directors with a statement that we have complied with relevant ethical requirements regarding

independence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on our

independence, and where applicable, related actions taken to eliminate threats or safeguards applied.

From the matters communicated with the board of directors, we determine those matters that were of most significance in the

audit of the financial statements of the current period and are therefore the key audit matters. We describe these matters in our

auditor’s report unless law or regulation precludes public disclosure about the matter or when, in extremely rare circumstances,

we determine that a matter should not be communicated in our report because the adverse consequences of doing so would

reasonably be expected to outweigh the public interest benefits of such communication.


Contents		Page(s)

Directors' report		1 - 8

Financial statements:

Statement of financial position		9

Income statement		10

Statement of comprehensive income		10

Statement of changes in equity		11

Statement of cash flows		12

Notes to the financial statements		13 - 36

Other information:

Profit appropriation according to the Articles of Association		37

Independent auditors' report		38 - 46