EFTA Document EFTA01300057

Several new conduits funded with a senior secured loan and ABCP will purchase eligible term assets and thereby ameliorate current market stress A tiered liability structure will provide the Federal Reserve with appropriate security newly Established spy ("MacawberCo., LLC") $ (90) Senior Secured Loan (90) Eligible Assets (100) ABCP 110) $ (90) Federal Reserve Bank of I Money Market Fund NewCo Transaction Participants J.P. Morgan will establish [four] new SPVs that will borrow from the Federal Reserve and issue asset-backed commercial paper. Proceeds will be used to purchase eligible asset from [ The Federal Reserve will make loans with maturity dates equal to the maturity date of the eligible assets (90% of the amortized cost) The ABCP will be issued such that proceeds are equal to 10% of the amortized cost of the assets at a rate consistent with the amortized cost of the eligible asset Eligible assets will be limited to a pre-defined list of short-term [bank] debt in the form of CP or CDs described below The Federal Reserve will have a first priority, senior secured interest in the assets of the conduit Money Market Funds will retain risk through the ownership of MacawberABCP The net spread, less fees and expenses, will be trapped in a cash collateral account held in trust for the benefit of secured creditors NewCo Balance Sheet Assets Liabilities and Equity Owner ft Equity Holders Custodian/Trustee G.S.S Holdings ("Macawber Co., LLC"), Inc. (a newly IPA Limited to 10 different credits Senior Secured Loan established Delaware C Corp.) Unsecured Bank or Bank Hold Co. CP Initially [90%] Admin Services Placement Agent (s] Certificates of Deposit ABCP G.5.5 Holdings, Inc. JPMSI, TBD .A.1 /P.1 /F1 or better ratings [A-1 /P•I /F1] Cash Collateral Depositary Structuring Advisor Remaining days to maturity < 90 Initially [10%] JPMCB Rating Agencies JPMSI Deal Counsel U.S. Dollar denominated Cash Collateral (SaP, Moody's Fitch] Acceptable issuer domicile (OECD) Nominal Equity Orrick Herrington Et Sutcliffe LIP Lender Subject to rating agency pre-approval Federal Reserve Bank of Limit to largest obligor [ ] Limit to two largest obligors [ ] J.P.Morgan J.P. MORGAN SHORT TERM FIXED SFIV Strt.nsitits u-- uu )w 77034 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00000161 EFTA_00 I 87506 EFTA01300057