EFTA Document EFTA01300063

Several new conduits funded with ABCP will convert eligible unsecured assets to ABCP and thereby ameliorate current market stress Transaction Overview J.P. Morgan will establish [five) new SPVst hat wilt purchase eligible assets at amortized cost from eligible sellers of such assets, and finance such purchases via the Issuance of two series of ABCP. Series A (90%) will benefit from a liquidity backstop facility provided by the Federal Reserve Bank of [TBD). The Federal Reserve will have a senior secured claim on the assets of the SPVs. Borrowings under the backstop facility will be at the primary credit rate (1.75%1 Series B (10%) ABCP will be maturity matched against the assets purchased from the eligible investors, and Series B ABCP will be retained by the eligible investors. [The eligible investors may elect to sell the Series B ABCP in the secondary market.) Yield on the newly issued ABCP will in all cases be tower than the assets financed in order to generate income for the SPV. Both series will have an undivided interest in the assets of theSPV: however, Series B will be junior to Series A. Eligible assets will be limited to a pre-defined list of short-term debt in the form of CP or CDs. Captive Finance commercial paper will also be eligible. Money Market Funds will retain risk through the owrership of Series B ABCP. The net spread, less fees and expenses, will be trapped in a cash collateral account held in trust for the benefit of secured creditors. NewCoBalance Sheet Assets Liabilities and Equity Limited to 10 different credits Unsecured Bank or Bank Hold Co. CP, Captive Finance companies Certificates of Deposit A-I /P-1/F1 or better ratings Remaining days to maturity <90 U.S. Dollar denominated Subject to rating agency preapproval Limit to largest obligor RCN Limit to two largest obligors [MI [limit grid based on ratings?) Series A ABCP [A-I./P-1/F1.) Initially [90%) Backed by Federal Reserve Liquidity Facility Series B ABCP Initially (10%] Maturity matched to A-1(P-1(F1 asset Cash Collateral Nominal Equity A two-tiered liability structure will provide the Federal Reserve withappropriate security should it need to provide liquidity J.PNIorgan Federal Reserve Bank of [TBD] Owner Et Admin Services GSS Holdings Structuring Advisor JPMSI Deal Counsel Orrick, Herrington Et Sutcliffe, LLP Counsel to the Federal Reserve Cleary Gottlieb Steen Et Hamilton LIP Liquidity Facility for Series A Notes Placement Agents JPMSI, (MD) Newly Established SPVs (MicawberCo., LLC, Jarndyce, LLC, MarshalseaFunding, LLC, Tellson'sLLC, MagwitchCo., LLC) Placement Agent Counsel (TBD) $ (90) 4 Series A ABCP (90) Eligible Assets (100) Series B ABCP (10) $ (90) Money Market Investors 2a-7/ Money Market Fund, [others, TBD] Custodian MD] Issuing Et Paying Agent (NMI JPMCB J.P.MORGANSHORT-TERMFIXEDINCOME SPV St ru§b0922. tsivr ru0077042 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00000169 EFTA_001 87514 PROT0