EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Last updated 9/30/2021

[1] update Table of Contents: 1. US vaccination overview ...... 2 2. Vaccination vs infection, mortality, hospitalization and 2020 Trump voting share ...... 3 3. “A pandemic of the unvaccinated” ...... 4 4. update by country and US state ...... 5 5. Population shares, vaccine efficacy and the amalgamation paradox ...... 8 6. Vaccine efficacy tracker ...... 9 7. Vaccination vs previous COVID infection (acquired vs natural immunity) ...... 10 8. Vaccine risk-benefit data ...... 12 9. Variant prevalence by country ...... 13 10. Delta variant facts and figures ...... 13 11. What about new variants and the possibility of “immunity escape”? ...... 14

The table outlines the approaches that vaccine companies are taking to provoke an antibody response. train the immune system to recognize the disease-causing part of a so that when people are infected, their bodies are prepared to fight the virus with a combination of antibody and T-cell responses. Historically, most vaccines contained either weakened or the signature proteins of the virus (Types 1, 2 and 3), but the first approved vaccines for COVID were genetic (Types 4 and 5). See Section 5 for more information. Method of provoking antibody response Drug companies Existing licensed Type to SARS-CoV-2 (bold = approved) vaccines 1 A live but weakened coronavirus that will infect cells and cause Measles, yellow fever, Codagenix Attenuated them to make viral proteins mumps, smallpox, 2 A "killed" coronavirus that will get recognized as foreign matter Sinovac1, SinoPharm2, Polio (dev countries) Attenuated by the immune system Covaxin3 Recombinant coronavirus proteins, produced industrially in 3 GlaxoSmithKline/Sanofi, Tetanus, pertussis, flu, outside cell cultures, which are recognized as foreign matter by Recombinant Novavax4 shingles the immune system

5 4 A different virus (human or ape adenovirus, measles, etc) that is CanSino , Genetic engineered to include genetic components coding for the SARS- Oxford/AstraZeneca6, Ebola (vector vaccines) CoV-2 spike proteins, which causes the body to produce them J&J7, Gamaleya8

5 DNA or RNA that will be taken up by cells and will cause them to , Inovio, Genetic make coronavirus proteins BioNTech/ 1: Sinovac has been approved for use in China, Hong Kong, Indonesia, Philippines, Brazil, Chile, Mexico, Turkey and several other countries 2: Sinopharm has been approved in China, UAE, Bahrain, Egypt, Hungary and Jordan and several other countries 3: Covaxin has been approved for emergency use in India, Iran, Philippines, Paraguay, Guatemala and several other countries 4: Protein vaccines are not new, but the Novavax vaccine is combined with a proprietary adjuvant which has not been approved for use before 5: CanSino has been approved for use in China, Mexico and Pakistan 6: Oxford/AstraZeneca's vaccine has been approved for use in the UK, Europe, South Africa, Brazil, Chile, and several other countries 7: J&J's vaccine has been approved for use in the US and Bahrain 8: Gamaleya's vaccine has been approved in Russia, Argentina, Venezuela, Mexico, Hungary, Iran, UAE, and several other countries Source: J.P. Morgan Asset Management. 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

US vaccination overview Note: the CDC estimated in August that more than 1 mm people in the US had received a third shot without being registered as taking a booster shot. The result is a small overstatement of first time and full vaccination shares of the total population, and likely a small understatement of reported booster shots (shown in the third chart). US vaccination progress US % of US population 70% 300,000 4000 Unique people vaccinated Daily infections levels (LHS) 3500 60% 250,000 Fully vaccinated 3000 50% 200,000 Current hospitalizations levels (LHS) 2500 40% 150,000 Daily deaths levels (RHS) 2000 30% 1500 20% 100,000 1000 10% 50,000 500 0% 1/1 1/31 3/2 4/1 5/1 5/31 6/30 7/30 8/29 9/28 10/28 0 0 02/20 05/20 08/20 11/20 03/21 06/21 09/21 Source: OWID, JPMAM. September 29, 2021. Dotted lines indicate estimated vaccination rate based on trailing 7-day average vaccination rate. Source: JHU, IMF, HHS, JPMAM. Sep 29, 2021. 7 day smoothing. US daily US vaccination progress Millions of people, 7-day average % of US population 3.5 70% 3.0 60% 2.5 Full 50% vaccinations 2.0 (2nd of 2 doses) 40% Unique Fully 1.5 Full people vaccinated vaccinations Booster 30% vaccinated 1.0 (1 dose) shots 20% 0.5 Partial vaccinations (1st of 2 doses) 10% 0.0 Partially 1/7 1/28 2/18 3/11 4/1 4/22 5/13 6/3 6/24 7/15 8/5 8/26 9/16 0% vaccinated Source: OWID, JPMAM. September 29, 2021. Source: OWID, JPMAM. September 29, 2021.

Lowest vaccination counties with more than 100,000 people 1 Shelby AL 24.4% 11 Houston AL 29.7% 21 Jackson MS 31.9% 31 Ouachita LA 33.2% 2 Etowah AL 27.2% 12 Calcasieu LA 30.3% 22 Richland OH 32.0% 32 Flathead MT 33.3% 3 Robeson NC 27.6% 13 Allen OH 30.6% 23 Mohave AZ 32.1% 33 Baldwin AL 33.3% 4 Livingston LA 28.3% 14 Bradley TN 30.6% 24 Mobile AL 32.3% 34 Merced CA 33.7% 5 Mesa CO 28.7% 15 Craighead AR 31.0% 25 Wayne OH 32.7% 35 Bossier LA 33.7% 6 Harnett NC 29.0% 16 Canyon ID 31.1% 26 Terrebonne LA 32.7% 36 Miami OH 33.7% 7 Lee AL 29.3% 17 Anderson SC 31.1% 27 Spartanburg SC 32.7% 37 Kootenai ID 33.9% 8 Tuscaloosa AL 29.3% 18 Morgan AL 31.2% 28 Rowan NC 32.7% 38 Weld CO 34.0% 9 Matanuska-Susitna AK29.3% 19 Kings CA 31.3% 29 Randolph NC 32.9% 39 Jefferson MO 34.2% 10 Calhoun AL 29.4% 20 Pueblo CO 31.6% 30 Tangipahoa LA 33.0% 40 Sebastian AR 34.2% Source: JHU, CDC, State Health Departments, Census. September 29, 2021.

5 lowest vaccination states compared to the US average State ND MS WY WV ID USA Total population 51% 50% 48% 48% 47% 65% 18-64 population 57% 55% 53% 50% 56% 72% 18+ population 63% 61% 60% 57% 63% 77% 65+ population 87% 84% 83% 80% 86% 93% Source: OWID, CDC, JPMAM. September 29, 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Vaccination vs infection, mortality, hospitalization and 2020 Trump voting share US county infections vs vaccinations US county deaths vs vaccinations Cumulative infections per mm since July 2021 Cumulative deaths per mm since July 2021 100,000 1,600

90,000 1,400 80,000 1,200 70,000 1,000 60,000

50,000 800

40,000 600 30,000 400 20,000 200 10,000

0 0 0% 20% 40% 60% 80% 100% 0% 20% 40% 60% 80% 100% Average fully vaccinated people as % of state population since July 2021 Average fully vaccinated people as % of state population since July 2021 Source: JHU, CDC, State Health Departments, Census. September 29, 2021. Source: JHU, CDC, State Health Departments, Census. September 29, 2021.

US state hospitalizations vs vaccinations Trump share of 2020 vote and vaccination by county Average hospitalization rate per mm since July 2021 Fully vaccinated people as a % of county population 600 90% R² = 0.39 80% 500 FL 70%

400 AL 60% MS GA AR NV LA TXKY 50% 300 TN MO OKSC WV 40% WY IN ID NCAZ 200 MTKS 30% AKOH HI OR ND DE WA IA CA DC UT SD NE VA NM IL WIPA CO MD 20% NY 100 MI MN NJ RI ME CT NH MA 10% VT 0 0% 30% 40% 50% 60% 70% 0% 20% 40% 60% 80% 100% Average fully vaccinated people as % of state population since July 2021 % of county population who voted for Trump Source: OWID, HHS, IMF, JPMAM. September 29, 2021. Source: Harvard Dataverse, CDC, State Health Depts, JPMAM. September 27, 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

“A pandemic of the unvaccinated” Note: Given higher vaccination rates among older age groups as well as higher probabilities of hospitalization once infected with COVID, it is important to pay attention to age-stratified infection and hospitalization rates when comparing vaccination status, as Seattle/King County has reported in the charts below. The following page goes into more detail on the importance of age-adjusting COVID data. Seattle: age adjusted infections Seattle: age adjusted hospitalizations Daily infections, # per mm, smoothing = 7 days Current hospitalizations, # per mm, smoothing = 7 days 120 1,000 Not fully vaccinated Not fully vaccinated 900 Overall Overall 100 800 Fully vaccinated Fully vaccinated 700 80 600 500 60 400 40 300

200 20 100 0 0 Jan '21 Mar '21 May '21 Jul '21 Sep '21 Jan '21 Mar '21 May '21 Jul '21 Sep '21 Source: Washington Department of Health. September 22, 2021. Source: Washington Department of Health. September 22, 2021. The below table shows the multiple of hospitalization and death risk for unvaccinated people compared to vaccinated people. The rates are population-adjusted and reflect state estimates of breakthrough hospitalizations and deaths since vaccination began in January 2021. The table reports data on states who provided at least two months of records to the New York Times. States with less than two months of records or who did not effectively track breakthrough hospitalizations and deaths were excluded from the analysis. Hospitalizations and death rates: vaccinated vs unvaccinated people Hospitalizations Deaths Hospitalizations Deaths Vacc. Unvacc. Unvacc. Vacc. Unvacc. Unvacc. Vacc. Unvacc. Unvacc. Vacc. Unvacc. Unvacc. State (per mm) (per mm) vs vacc. (per mm) (per mm) vs vacc. State (per mm) (per mm) vs vacc. (per mm) (per mm) vs vacc. AL 90 6960 75x 30 1240 48x NV 350 11820 33x 60 980 15x AK 90 1540 17x 10 110 10x NH 50 4540 88x 20 370 15x AZ 270 13060 47x 20 1820 73x NJ 70 9480 126x 20 960 50x CA 90 6470 68x 10 580 58x NM 220 5350 24x 10 370 25x CO 240 5670 22x 40 370 8x NC 170 8160 47x 30 800 24x DC 70 33260 448x 20 550 23x ND 370 7200 19x 80 470 5x DE 70 9780 148x 20 260 14x OH 80 10410 135x 10 760 59x GA 50 7350 161x 10 990 87x OK 160 11160 70x 20 1580 68x ID 110 2880 25x 20 300 16x OR 210 5120 23x 30 320 8x IL 200 10010 48x 50 680 11x RI 630 4680 6x 40 980 22x IN 90 5470 57x 40 290 7x SC 120 3220 26x 30 390 13x KY 210 8930 41x 40 850 23x SD 300 5150 16x 60 740 11x LA 120 3470 28x 30 540 19x TN 170 6130 36x 20 1050 44x ME 60 5710 91x 30 240 7x TX 40 7350 185x 7 610 85x MA 150 6150 39x 40 870 22x UT 330 2050 5x 10 150 12x MI 240 6930 28x 90 870 8x VT 80 4680 61x 30 240 7x MN 400 4650 11x 60 710 11x VA 60 9060 155x 20 410 23x MS 170 7020 40x 40 1270 28x WA 120 6060 50x 20 340 13x MT 110 4720 43x 20 420 16x WI 200 6520 32x 20 300 13x NE 130 4580 35x 30 480 16x Source: NYT. August 10, 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Vaccine update by country and US state1 Country/Region vaccination rates Country vaccination rates: Europe/CAN/AUS/NZ Unique people vaccinated as % of population Unique people vaccinated as % of population 80% 90% United Kingdom Denmark 70% Continental W. Europe 80% France United States 70% 60% South/Central America Canada 60% 50% India Italy Eastern Europe/Russia 50% Netherlands 40% EM Asia ex-China Africa 40% Sweden 30% 30% Germany New Zealand 20% 20% Australia 10% 10% 0% 0% 1/1 2/20 4/11 5/31 7/20 9/8 10/28 1/1 2/20 4/11 5/31 7/20 9/8 10/28 Source: OWID, JPMAM. September 29, 2021. Source: OWID, JPMAM. September 29, 2021.

Country vaccination rates: Large EM Country vaccination rates: Other EM Unique people vaccinated as % of population Unique people vaccinated as % of population 90% 90% China Chile 80% 80% South Korea Brazil Israel 70% Turkey 70% Saudi Arabia 60% India 60% Hong Kong Czechia 50% Russia 50% Mexico 40% 40% Indonesia 30% 30% 20% 20% 10% 10% 0% 0% 1/1 2/20 4/11 5/31 7/20 9/8 10/28 1/1 2/20 4/11 5/31 7/20 9/8 10/28 Source: OWID, JPMAM. September 29, 2021. Source: OWID, JPMAM. September 29, 2021.

US daily vaccinations Regional vaccination rates Millions of people, 7-day average Unique people vaccinated as % of population 3.5 80% Developed Markets (GDP weighted) 3.0 70% EM ex China (GDP weighted) EM ex China (Pop. weighted) 2.5 Full 60% vaccinations 50% 2.0 (2nd of 2 doses) 40% 1.5 Full vaccinations Booster 30% 1.0 (1 dose) shots 20% 0.5 Partial vaccinations (1st of 2 doses) 10% 0.0 0% 1/7 1/28 2/18 3/11 4/1 4/22 5/13 6/3 6/24 7/15 8/5 8/26 9/16 1/1 2/20 4/11 5/31 7/20 9/8 10/28 Source: OWID, JPMAM. September 29, 2021. Source: OWID, JPMAM. September 29, 2021.

1 Vaccination data can indicate the number of people that vaccinated (either with one or two doses), or the total number of vaccinations given. The latter will always be higher because it includes people who received multiple doses. Unless stated otherwise, we show people that have been vaccinated rather than doses. 5

EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Percent of population that received at least one vaccination Sorted in descending order by highest vaccination rate 82%

78%

74%

70%

66%

62%

58%

54%

50%

46%

42%

38%

IL

IA

HI RI IN ID

MI

FL

NJ AL LA

WI

AZ

VT TX

PA VA KY KS AK

UT CT TN

NY

CA DE NV NE SD AR SC

DC NH NC OK GA ND

MT

MA ME MS

OH OR CO

NM MD MN

MO

WY

WA WV

34% USA Source: OWID, JPMAM. September 29, 2021. Unique people vaccinated as percent of population State VT MA HI CT RI ME NM NJ PA CA NY DC MD Total population 78% 77% 77% 76% 75% 74% 72% 72% 72% 72% 71% 71% 71% 18-64 population 85% 86% 87% 85% 83% 81% 83% 84% 81% 82% 82% 80% 80% 18+ population 89% 89% 91% 89% 87% 86% 86% 86% 86% 85% 84% 82% 84% 65+ population 100% 100% 100% 100% 100% 99% 99% 95% 100% 100% 92% 93% 96%

State NH IL VA WA FL OR DE CO MN WI NV KY KS Total population 70% 68% 68% 67% 67% 66% 66% 66% 63% 61% 61% 61% 60% 18-64 population 75% 78% 77% 77% 72% 74% 72% 75% 72% 67% 69% 68% 67% 18+ population 81% 81% 81% 80% 79% 78% 79% 78% 77% 73% 73% 73% 73% 65+ population 100% 95% 94% 93% 96% 91% 98% 91% 95% 94% 88% 93% 98%

State NC TX NE AZ SD UT IA AK MI OK AR SC GA Total population 60% 59% 59% 59% 59% 59% 58% 57% 57% 56% 56% 55% 55% 18-64 population 66% 70% 68% 66% 66% 72% 65% 67% 62% 64% 62% 59% 62% 18+ population 72% 73% 73% 71% 73% 75% 71% 70% 68% 70% 67% 66% 67% 65+ population 92% 87% 92% 89% 96% 94% 92% 86% 88% 91% 85% 91% 87%

State MO MT OH TN AL IN LA ND MS WY WV ID USA Total population 55% 55% 54% 53% 53% 52% 52% 51% 50% 48% 48% 47% 65% 18-64 population 61% 59% 59% 58% 58% 58% 58% 57% 55% 53% 50% 56% 72% 18+ population 66% 66% 66% 64% 64% 64% 64% 63% 61% 60% 57% 63% 77% 65+ population 86% 87% 87% 85% 86% 87% 87% 87% 84% 83% 80% 86% 93% Source: OWID, CDC, JPMAM. September 29, 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Unique ppl % of Full vax % of Boosters % of Unique ppl % of Full vax % of Boosters % of vax (mm) pop. (mm) pop. (mm) pop. vax (mm) pop. (mm) pop. (mm) pop. Algeria 6.02 14% 4.03 9% - - Morocco 22.31 60% 18.79 51% - - Argentina 29.62 66% 21.88 48% - - Myanmar 7.21 13% 3.73 7% - - Aruba 0.08 74% 0.07 68% - - Namibia 0.25 10% 0.16 6% - - Australia 16.40 64% 11.04 43% - - Nepal 7.21 25% 6.24 21% - - Austria 5.73 64% 5.41 60% - - Netherlands 12.81 75% 11.53 67% - - Bahamas 0.11 29% 0.07 18% - - New Zealand 3.27 68% 1.87 39% - - Bahrain 1.16 69% 1.12 66% - - Nigeria 4.69 2% 1.87 1% - - Bangladesh 31.50 19% 16.72 10% - - Norway 4.14 76% 3.63 67% - - Belgium 8.57 74% 8.39 72% 0.09 1% Pakistan 58.41 26% 27.41 12% - - Belize 0.19 48% 0.12 31% - - Panama 2.92 68% 2.22 51% - - Bermuda 0.04 73% 0.04 71% - - Paraguay 2.62 37% 1.87 26% - - Bhutan 0.58 76% 0.50 64% - - Peru 15.20 46% 9.99 30% - - Bolivia 4.25 36% 3.26 28% - - Philippines 25.20 23% 24.04 22% - - Botswana 0.38 16% 0.23 10% - - Poland 19.81 52% 19.40 51% - - Brazil 150.27 71% 88.98 42% - - Portugal 8.93 88% 8.66 85% - - Brunei 0.29 65% 0.19 43% - - Qatar 2.36 82% 2.22 77% - - Bulgaria na na 1.32 19% - - Romania 5.52 29% 5.35 28% - - Cambodia 13.27 79% 10.99 66% 0.88 5% Russia 47.97 33% 42.05 29% 0.72 0% Canada 29.21 77% 26.93 71% - - Saudi Arabia 23.36 67% 18.63 54% - - Chile 15.17 79% 14.13 74% 3.16 17% Serbia 3.03 35% 2.89 33% 0.53 6% China 1,100.84 76% 1,047.87 73% - - Seychelles 0.08 77% 0.07 71% - - Colombia 26.05 51% 16.68 33% - - Singapore 4.68 80% 4.52 77% - - Costa Rica 3.27 64% 2.00 39% - - Slovakia 2.45 45% 2.25 41% - - Croatia 1.82 44% 1.71 42% - - Slovenia 1.12 54% 1.00 48% - - Cuba 9.15 81% 4.99 44% - - South Africa 12.27 21% 8.50 14% - - Czechia 6.08 57% 5.95 56% - - South Korea 39.00 76% 25.17 49% - - Denmark 4.45 77% 4.37 75% - - Spain 37.66 81% 36.57 78% - - Dominican Rep. 6.05 56% 4.89 45% 0.92 8% Sri Lanka 14.47 68% 11.70 55% - - Ecuador 11.24 64% 9.89 56% - - Sweden 7.15 71% 6.56 65% - - Egypt 10.52 10% 5.70 6% - - Switzerland 5.50 64% 5.00 58% - - El Salvador 4.09 63% 3.40 52% 0.04 1% Taiwan* 13.07 55% 2.38 10% - - Estonia 0.76 57% 0.61 46% - - Thailand 29.50 42% 15.90 23% 0.62 1% Ethiopia 2.83 2% 0.83 1% - - Trinidad and Tobago 0.57 41% 0.49 35% - - Finland 4.13 75% 3.43 62% - - Tunisia 5.03 43% 3.81 32% - - France 50.24 77% 44.31 68% 1.06 2% Turkey 53.66 64% 44.06 52% 11.02 13% Georgia 0.98 25% 0.80 20% - - Ukraine 7.00 16% 5.62 13% - - Germany 56.47 67% 53.45 64% 0.67 1% United Arab Emirates 9.29 94% 8.24 83% - - Greece 6.44 62% 6.11 59% - - United Kingdom 48.80 72% 44.83 66% - - Guatemala 4.46 25% 2.38 13% - - United States 214.04 65% 184.34 56% 3.68 1% Honduras 3.21 32% 1.99 20% - - Uruguay 2.73 79% 2.57 74% 0.94 27% Hong Kong 4.48 60% 4.17 56% - - Uzbekistan 9.79 29% 4.28 13% - - Hungary 5.89 61% 5.65 58% 0.76 8% Venezuela 9.73 34% 5.98 21% - - Iceland 0.28 83% 0.28 81% 0.05 14% Vietnam 32.17 33% 8.98 9% - - India 645.29 47% 234.40 17% - - Zambia na na 0.40 2% - - Indonesia 89.82 33% 50.41 18% - - Zimbabwe 3.07 21% 2.25 15% - - Iran 36.30 43% 15.65 19% - - Source: OWID, JPMAM. September 29, 2021. Ireland 3.77 76% 3.68 74% - - Israel 6.11 71% 5.63 65% 3.33 38% Italy 45.10 75% 40.86 68% 0.07 0% Jamaica 0.53 18% 0.25 9% - - Japan 88.69 70% 75.04 59% - - Kazakhstan 7.59 40% 6.50 35% - - Kenya 2.81 5% 0.90 2% - - Kuwait 2.67 62% 0.92 22% - - Laos 2.80 38% 1.91 26% - - Lebanon 1.60 23% 1.30 19% - - Libya 1.38 20% 0.20 3% - - Lithuania 1.74 64% 1.61 59% 0.03 1% Malaysia 23.37 72% 20.09 62% - - Maldives 0.39 73% 0.34 62% - - Malta 0.42 96% 0.42 96% 0.01 2% Mexico 63.72 49% 45.28 35% - - Source: OWID, JPMAM. September 29, 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Population shares, vaccine efficacy and the amalgamation paradox Vaccine efficacy is a hot topic for understandable reasons given reports of rising numbers of breakthrough infections. Efficacy is a little more complicated than it might seem at first glance; here’s how we think about it. “Shares of outcomes” in vaccinated people. The simple measure sometimes cited refers to the percentage of infections or hospitalizations in a given place/time that occurred in vaccinated people. One example is the infection outbreak on Cape Cod, where 74% of all infections were reported to have occurred in vaccinated people. This is the least helpful statistic to think about, since it does not account for the relative number of vaccinated and unvaccinated people in the sub-population being analyzed. In other words, in a population overwhelmingly dominated by vaccinated people, we should expect a larger number of vaccinated people to show up on the infection or hospitalization list when compared to unvaccinated people. Vaccine efficacy. This statistic is widely used by vaccine companies and virus researchers to describe the benefit of vaccination. It adjusts for the population size of vaccinated and unvaccinated people, and sometimes adjusts for age and other factors as well. Simply put, efficacy is the % decline in the rate of outcomes when comparing unvaccinated and vaccinated groups. In the first segment in the table, you can see that the hospitalization rate in England declined from 0.0394% to 0.0126% with vaccination, a decline of 68%. Vaccine efficacy understatement. If you are going to rely on the concept of efficacy, you also have to accept the possibility that it may understate what you are trying to measure. There is a mathematical paradox that can happen when another variable (a “confounding factor”) explains highly divergent outcomes across sub- populations; this is known as the amalgamation paradox2. In this case, the confounding factor is age, which is associated with both higher vaccination status AND a higher likelihood of being hospitalized. If we sub-divide the English population into over and under 50 cohorts3, we find that vaccine efficacy of both cohorts is actually higher than efficacy computed for the population as a whole. Part of the reason for this is that vaccine efficacy is computed as a “percent of a percent”, and the baselines are different in both cohorts. The bottom line is that while efficacy data as reported provides important information, until it is stratified by age (and other factors as well), we will not have a clear picture of how well vaccines are doing; and so far, our sense is that headline efficacy data may understate their effectiveness, particularly for older people. Vaccination in England: an example of Simpson’s Paradox and the understatement of vaccine efficacy

Total population Under 50 population Over 50 population Fully Not Fully Not Fully Not England vaccinated vaccinated vaccinated vaccinated vaccinated vaccinated Hospitalizations 4,634 6,303 721 4,517 3,913 1,786 Population 36,676,310 15,999,723 16,764,712 15,293,182 19,911,598 706,541 Vaccination share of hosp 42% 14% 69% Hospitalization rate 0.0126% 0.0394% 0.0043% 0.0295% 0.0197% 0.2528% Implied efficacy 68% 85% 92% Change in hosp rate 0.0268% 0.0252% 0.2331% % of cohort vaccinated 70% 52% 97% Source: PHE Technical Briefing 23, NHS. September 2021.

2 For more information, see this article by Biostatistics Professor Jeffrey Morris at the University of Pennsylvania. 3 The over/under 50 stratification may still understate vaccine efficacy given the enormous effect that age has on hospitalization. According to the CDC, hospitalization risk for people over 64 is 2x-4x higher than for people aged 50-64. A more detailed stratification would yield the most accurate efficacy results.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Vaccine efficacy tracker Our preferred efficacy measures in the table below are accompanied by age bucketing, for reasons explained on the prior page. Even so, we still see benefit in tracking efficacy measures without them. While they may understate efficacy in sub-populations, the changing trend in efficacy is still important to monitor since it might tell us something about fading immunity and/or the increased contagiousness/lethality of the Delta variant. The table below shows a variety of efficacy calculations applied to 5 degrees of severity: infection, symptomatic infection, hospitalization, severe infection/ICU and mortality. The lowest efficacy readings in the table are from Israel for people vaccinated in January and February. The sharp decline in efficacy vs infection is a concern, and prompted Israel to begin administering booster shots to its broad population. However, even for Jan/Feb recipients, protection against hospitalization and severe infection remained high, and more recent age-bucketed data for Israel show ~90% efficacy vs severe infection. Note how the Pfizer booster shot brings efficacy vs severe infection back up to 90%+, which will probably erase a small reported efficacy gap vs Moderna. The more disappointing figures in the Table: AstraZeneca efficacy vs symptomatic infection for people aged 35-64 were below 60%.

Vax pd or Ref Symptomatic Severe Source Vaccine Obs period age group group Infection infection Hospitalization infection/ICU Mortality mRNA vaccine efficacy analysis with age bucketing Red shading indicates confirmed misleading result due to the amalgamation paradox IMH/J Morris Pfizer Aug <50 Unvax 92% IMH/J Morris Pfizer Aug >50 Unvax 85% IMH/J Morris Pfizer Aug All Unvax 68% Israel Min Health Pfizer Aug >60 Unvax 89% Israel Maccabi Health Pfizer (booster) Aug >60 2 shots 86% 92% Public Health England Feb-Aug <50 Unvax 87% Public Health England Feb-Aug >50 Unvax 94% Public Health England Feb-Aug All Unvax 75% Oxford UK Pfizer May-Aug 18-34 Unvax 90% 96% Oxford UK Pfizer May-Aug 35-64 Unvax 77% 88% Kaiser Permanente Pfizer Dec-Aug Dec-Mar; >65 Unvax 43% Kaiser Permanente Pfizer Dec-Aug Dec-Mar; All Unvax 47% LA Dept of Health July Age-adjusted Unvax 80% 97% mRNA vaccine efficacy analysis without age bucketing Mayo Clinic Pfizer Jan-Jul Unvax 76% 85% 93% 100% Mayo Clinic Moderna Jan-Jul Unvax 86% 92% 87% 100% Mayo Clinic Pfizer Jul Unvax 42% 75% Mayo Clinic Moderna Jul Unvax 76% 81% Israel Min Health Pfizer Jul Jan Unvax 16% 16% 82% 86% Israel Min Health Pfizer Jul Feb Unvax 44% 44% 91% 91% Israel Min Health Pfizer Jul Mar Unvax 67% 69% 89% 94% Israel Min Health Pfizer Jul Apr Unvax 75% 79% 83% 84% Israel Min Health Pfizer Jul Jan-Apr Unvax 39% 41% 91% 88% Israel Min Health Pfizer (booster) Aug Unvax 95% Public Health England Pfizer Oct-May Unvax 88% Public Health England Pfizer Apr-Jun Unvax 96% Public Health Scotland Pfizer Apr-Jul Unvax 79% Public Health Ontario Pfizer Dec-May Unvax 87% 100% Qatar Min Health Pfizer Aug Unvax 54% 90% Qatar Min Health Moderna Aug Unvax 85% 100% Vector and Attenuated vaccines with age bucketing Oxford UK AstraZeneca May-Aug 18-34 Unvax 73% 76% Oxford UK AstraZeneca May-Aug 35-64 Unvax 54% 57% Vector and Attenuated vaccines without age bucketing Public Health England AstraZeneca Oct-May Unvax 67% Public Health England AstraZeneca Apr-Jun Unvax 92% J&J trial J&J (2 dose) Mar-Jul Unvax 75% 100% J&J trial J&J (1 dose) Sep-Jan Unvax 66% 85% Bharat Biotech trial Covaxin Nov-Jan Unvax 64% 78% 93% Chile Ministry of Health Sinovac Feb-May Unvax 66% 88% 90% 86% S Afr Med Res Council J&J Feb-Aug Unvax 71% 94% Source: JPMAM. September 2021.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Vaccination vs previous COVID infection (acquired vs natural immunity) universe: infected people To illustrate infection risk across immunity types, let’s use this framework of 4 groups. There is universal agreement that Group A has much lower infection previously previously risk than Group D, since vaccination and prior infection provide antibodies infected uninfected which reduce risk of disease relative to people without antibodies. There is vaccinated A C also emerging consensus that infection risk in Group A is lower than in Group unvaccinated B D B, since vaccines add to natural immunity; and that infection risk is lower in Group A than in Group C, since some natural immunity is always better than none. The big question is the comparison of Group B vs Group C. Settled science: Group A (previously infected, vaccinated) vs Group B (previously infected, unvaccinated). The state of Kentucky analyzed people who had been infected in 2020 and were reinfected in May-June 2021 (during the initial Delta variant wave) and compared their vaccination status. Residents who were not vaccinated had 2.3x higher reinfection rates when compared with fully vaccinated people (95% confidence interval of 1.6x– 3.5x). The authors concluded that for people with previous SARS-CoV-2 infection, full vaccination provides additional protection against reinfection4. The latest study from Israel came to similar conclusions on this issue5: people who had SARS-CoV-2 previously and received one dose of the Pfizer vaccine were more highly protected against reinfection than unvaccinated COVID survivors. The risk ratio of 2x was almost the same as in the Kentucky study. These results confirm prior in-vitro laboratory studies showing that immune system responses are exceptionally strong when natural immunity resulting from infection is combined with mRNA or vector vaccination6. Settled science: Group A (previously infected, vaccinated) vs Group C (previously uninfected, vaccinated). On why Group A infection risks are lower than Group C infection risks: “We continue to underestimate the importance of natural infection immunity … especially when infection is recent7. And when you bolster that with one dose of vaccine, you take it to levels you can’t possibly match with any vaccine in the world right now.” [Eric Topol at Scripps Research] The more complicated public policy question: what about infection risks in Group B (previously infected, unvaccinated) vs Group C (previously uninfected and vaccinated)? In the Israel pre-print (i.e., not peer reviewed) study, Group B infection risk was lower than Group C risk; i.e., while both immunities were high, natural immunity was better than acquired immunity through vaccination. Specifically, people who had a SARS- CoV-2 infection were less likely than vaccinated people who never had the virus to get infected, develop symptoms from it, or become hospitalized with serious COVID-19. This conclusion surprised me, but conformed to the expectations of some virus scientists:  Natural immunity may be more protective than acquired immunity since vaccines only contain the spike protein of the virus, rather than the whole virus. In a natural infection it is possible that antibodies will be made to other antigens in the virus which might give more comprehensive immunity. Natural infection might also involve more types of cellular components of the immune system  On why Group B infection risks might be lower than for Group C: “It’s a textbook example of how natural immunity is really better than vaccination. To my knowledge, it’s the first time this has really been shown in the context of COVID-19.” [Charlotte Thålin, a physician and immunology researcher at Danderyd Hospital and the Karolinska Institute in Sweden]

4 https://www.cdc.gov/mmwr/volumes/70/wr/mm7032e1.htm#contribAff 5 https://www.sciencemag.org/news/2021/08/having-sars-cov-2-once-confers-much-greater-immunity- vaccine-no-infection-parties 6 See research from Nussenzweig and Bieniasz at Rockefeller University in Nature and Immunity, June 2021 7 https://news.emory.edu/stories/2021/07/covid_survivors_resistance/index.html 10

EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

The Israel study has gotten a lot of press for understandable reasons: vaccine mandates and mandatory testing mandates that do not establish carve-outs for prior infection might be restricting the mobility of unvaccinated survivors unfairly. However, this Group B vs Group C issue is not settled science:  James Lawler, an infectious disease expert at the University of Nebraska Medical Center took a look at the Israeli study and identified two concerning sources of error that were not corrected for: survivorship bias and selection bias8. The title of his presentation: “Myth: Natural Immunity from COVID-19 is Superior to Vaccine Imparted Immunity Against the delta Variant”. Another reminder that peer-reviewed papers are preferable to pre-print studies. Lawler’s main points: o The Israeli study was retrospective and not a planned, controlled study with population cohorts established in advance. As a result, any unvaccinated people that died between the cohort creation date and the observational outcome horizon would not have been included in the unvaccinated universe (“survivorship bias”). More specifically, the creation of the vaccinated and unvaccinated groups was done based on data as of Feb 28, while the observation period was from June 1 to August 14 o Since Feb 28, 2021 was used as the cohort creation date, the vaccinated group would have been heavily populated by elderly people and people with co-morbidities, given the criteria Israel used to determine vaccination eligibility at the time. As a result, the vaccinated and unvaccinated groups are not properly controlled across a variety of factors (“selection bias”).  Some virus scientists do not see a problem with the vaccine only targeting the spike protein since that protein may be the only meaningful target of natural or vaccine antibodies anyway  An Oxford study looking at the same issue came to the opposite conclusion (i.e., acquired immunity modestly outperformed natural immunity)9  Some people who get COVID-19 receive no protection from reinfection since their natural immunity is nonexistent. One study found that 36% of COVID-19 cases didn't result in SARS-CoV-2 antibodies10  In another study, 65% of people with a lower baseline antibody from infection to begin with completely lost their COVID-19 antibodies within 60 days11 Public policy implications: what to do about COVID survivors who don’t get vaccinated I spoke about all of this to some of my science advisory contacts. The bottom line: the “horse race” debate of whether natural immunity is better or worse than vaccine immunity might be missing the broader point. As cited on the prior page, natural immunity can be an effective barrier against further infection and transmission. Even if we ignore the Israeli study for its computational inadequacies, there’s plenty of evidence supporting the benefit of natural immunity in absolute terms (i.e., not relative to vaccine immunity) for many (but not all) individuals who have had a symptomatic case of COVID. The larger challenge for governments and private sector companies is this: vaccine mandates are hard enough to administer on their own. The incremental challenge of having a carve-out policy for prior infection is both scientifically and administratively complicated. First, each organization would have to determine WHICH polymerase chain reaction (PCR) and antibody tests to accept, since they vary in terms of their propensity to deliver false negatives and false positives. Second, the magnitude of viral or antibody presence would need to be determined to qualify for a carve-out; a sound carve-out policy could not simply be based on a “yes/no” test. Third, natural immunity has only been demonstrated to last reliably for some number of months, in which case each organization would have to maintain a “roll-off” calendar for people with prior infection so that they would rejoin the list of people subject to mobility restrictions and/or mandatory testing. As a result, the most straightforward policy most entities choose will likely be based on vaccination alone, even if that restricts the mobility and interactions of COVID survivors unnecessarily.

8 https://echo360.org/media/df6327b6-1e39-401e-affb-5220eaedef8e/public 9 https://www.medrxiv.org/content/10.1101/2021.08.18.21262237v1 10 https://www.nebraskamed.com/COVID/covid-19-studies-natural-immunity-versus-vaccination 11 https://www.cdc.gov/mmwr/volumes/69/wr/mm6947a2.htm 11

EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Vaccine risk-benefit data12 Foregone COVID risks and expected negative outcomes Foregone COVID risks and expected negative outcomes from J&J vaccine, Outcomes per 6 million doses of J&J vaccine from mRNA vaccines, Outcomes per 4 million doses of mRNA given to an equally weighted population of men and women aged 30- vaccine given to an equally weighted population of men and women 49, 50-64 and 65+, 120 day period aged 12-29 and 30+, 120 day period 18,000 8,000 16,000 7,000 Deaths Deaths 14,000 6,000 12,000 5,000 10,000 Long haul 4,000 8,000 Long haul COVID 6,000 COVID 3,000 cases cases 4,000 50-60 2,000 50-60 2,000 1,000 0 0 Foregone outcomes Guillain-Barré cases (severe Foregone outcomes Myocarditis cases (generally neurological disorder) treatable) Source: CDC, UK Office for National Statistics, JPMAM. 2021. Source: CDC, UK Office for National Statistics, JPMAM. 2021.

Vaccine safety history: 3 examples of withdrawals Below are 3 instances of vaccine safety concerns cited by the CDC that resulted in suspension and withdrawal: 1955 Cutter Incident (withdrawn after 2 weeks), 1976 Swine Flu/GBS issue (withdrawn after 10 weeks), and the 1999 Rotavirus issue (withdrawn after 10 months). [1] Cutter Incident (1955) In 1955, batches of produced by Cutter Laboratories were contaminated with live polio virus. 260 cases of polio, 11 deaths and many cases of paralysis were attributed to the contamination. Clinical trials from April 1954 to April 1955 showed the vaccine had been 80-90% effective against paralytic polio with no harm to children in the studies. The vaccine was licensed in spring 1955 and Eisenhower began a national immunization program. Two weeks into the program, the surgeon general reported that 7 children became paralyzed as a result of Cutter’s deviation from standard procedures and all vaccinations were suspended. Commercial vaccine production differed from field trials: while trials required 3 tests for live virus, commercial vaccine production only involved 1 test by the company itself, as the gov’t did not have resources to test all manufactured vaccines. The polio vaccine program resumed after stricter manufacturing guidelines were imposed. [2] Swine Flu/Guillain-Barre Syndrome (1976) Due to fears of a potential swine flu epidemic after an outbreak at a military base in February 1976, emergency legislation to fund a mass swine flu immunization program was signed in April, and vaccinations began in October. Within a few days, reports emerged that the vaccine was linked to increased risk of Guillain-Barre syndrome. The swine flu program was halted 10 weeks into the program in December 1976, after 45 million people (~25% of US population) had received the vaccine. According to the CDC, the increased risk was 1 additional case of GBS for every 100,000 people vaccinated. [3] Rotavirus Vaccine and Intussusception (1998 – 1999) In August 1998, RotaShield, a vaccine to prevent severe gastrointestinal disease in children, was licensed by the FDA. In trials, intussusception (a rare type of bowel obstruction) was noted in 0.05% vaccine recipients vs 0.02% of placebo recipients (differences the FDA described as not statistically significant). By June 1999, 12 cases of intussusception were reported and in July the CDC recommended that vaccinations be suspended pending investigations. The Advisory Committee on Immunization Practices announced in October 1999 that there was a strong causal relationship – about 1 in 5,000 vaccinations – between rotavirus vaccine and intussusception. The manufacturer withdrew the vaccine from the market a week before the ACIP announcement.

12 For CDC reports on foregone COVID cases, hospitalizations, ICU admissions and deaths vs adverse vaccine outcomes, for mRNA vaccines see here: https://www.cdc.gov/mmwr/volumes/70/wr/mm7027e2.htm#T2, and J&J vaccine see here: https://www.cdc.gov/vaccines/acip/meetings/downloads/slides-2021-07/05-COVID-Rosenblum-508.pdf

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

Variant prevalence by country The table shows variant prevalence for select countries from GISAID, an open-source global science information sharing initiative. Only a handful of countries are sequencing more than 250 people per month, which is the threshold we use for inclusion. GISAID data may reflect data aggregated two weeks prior. In a world of rapidly changing variant shares, the numbers can change a lot when they’re updated. Prevalence of variants of interest or concern in countries with significant sequencing in past 4 weeks B.1.1.7 B.1.351 P.1 B.1.617 C.37 B.1.621 (UK) (S Afr) (Brazil) (India) (Peru) (Colombia) Alpha Beta Gamma Delta Lambda Mu Australia 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Austria 0.0% 0.0% 0.0% 5.2% 0.0% 0.0% Belgium 0.0% 0.0% 0.0% 92.1% 0.0% 0.0% Brazil 0.0% 0.0% 23.6% 76.3% 0.0% 0.2% Canada 1.1% 0.0% 0.1% 94.4% 0.0% 0.0% Czech Republic 0.0% 0.0% 0.0% 77.6% 0.0% 0.0% Denmark 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% France 0.0% 0.0% 0.0% 62.1% 0.0% 0.0% Germany 0.1% 0.0% 0.0% 99.9% 0.0% 0.0% Ireland 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Italy 0.2% 0.0% 0.0% 98.0% 0.0% 0.0% Lithuania 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Mexico 0.0% 0.0% 0.6% 99.0% 0.0% 0.1% Netherlands 0.1% 0.0% 0.0% 99.9% 0.0% 0.0% New Zealand 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Norway 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Portugal 0.0% 0.0% 0.3% 99.7% 0.0% 0.0% Poland 0.0% 0.0% 0.0% 99.8% 0.0% 0.0% Romania 0.4% 0.0% 0.0% 99.6% 0.0% 0.0% Singapore 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Spain 0.2% 0.0% 0.3% 96.9% 0.0% 0.2% Sweden 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% Switzerland 0.0% 0.0% 0.0% 98.8% 0.0% 0.0% Turkey 0.0% 0.0% 0.0% 69.4% 0.0% 0.0% United Kingdom 0.0% 0.0% 0.0% 99.9% 0.0% 0.0% United States 0.1% 0.0% 0.1% 94.8% 0.0% 0.1% Source: GISAID. September 30, 2021. Includes countries with 250 or more total genomic sequences analyzed over trailing 4 weeks. Table does not show prevalence of specific mutations e.g. the D614G mutation, which was found in many circulating variants in 2020.

Delta variant facts and figures  Delta variant viral load is around 1,000 higher than the original SARS-CoV-2 variant  CDC: vaccinated people and unvaccinated people have roughly equal contagiousness (once infected)  Viral loads reported for the Delta variant suggest that infectivity, to the extent that it is correlated with viral burden in respiratory mucus, may have topped out  Evidence from Scotland, Canada and Singapore suggests that hospitalization risk for unvaccinated people is 2x higher for Delta compared to prior variants  Most sources we see consider vaccine immunity superior to natural immunity13

13 https://www.jhsph.edu/covid-19/articles/why-covid-19-vaccines-offer-better-protection-than-infection.html https://directorsblog.nih.gov/2021/06/22/how-immunity-generated-from-covid-19-vaccines-differs-from-an-infection/ https://www.aha.org/news/headline/2021-08-06-cdc-study-confirms-vaccinations-greater-protection-against-covid-19 13

EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

What about new variants and the possibility of “immunity escape”? The WHO released a statement on the latest variant that has been identified. “The Mu variant has a constellation of mutations that indicate potential properties of immune escape, raising concerns that it may be more resistant to coronavirus vaccines than other variants. But this needs to be confirmed by further studies”. Let’s assume that the WHO is correct regarding immunity escape; what happens then? The most probable outcome would be a reconfiguration of vaccines and a massive global revaccination campaign. Here’s some background. Like all vaccines, mRNA and vector vaccines identify their virus target via its particular shape (rather than via some kind of chemical or genetic assessment). In the case of SARS-Cov-2, the shape of the spike protein is used as the physical identifier. As long as the “topography” of a SARS variant doesn’t change much from the original variant that vaccines were calibrated to, we should not (and have not) seen widespread immunity escape. At some point however, immunity escape could occur, vaccine efficacy would then drop substantially, and vaccines would have to be redesigned to identify and target the new variant’s topography. Pfizer and Moderna have stated that this process could take place in a few weeks. Full Phase III trials are unlikely to be required although some scaled down trials might be needed to assess any safety issues. Vector vaccines are similar in terms of the timing for redesign, since they are genetic vaccines as well. However, redesigned vector vaccines could take longer with respect to manufacturing and distribution than the mRNA vaccines. Either way, should an immunity escape occur, the long-term prognosis is good regarding the ability of vaccines to eventually respond to it. But in the interim, there could be substantial spikes in infection, hospitalization and mortality as the efficacy of existing vaccines wears off.

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

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EYE ON THE MARKET • MICHAEL CEMBALEST • J.P. MORGAN Coronavirus

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