EFTA01300063.pdf

Several new conduits funded with ABCP will convert eligible unsecured assets to ABCP and thereby ameliorate current market stress Transaction Overview NewCoBalance Sheet • J.P. Morgan will establish [five) new SPVst hat wilt purchase eligible assets at amortized Assets Liabilities and Equity 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 • Limited to 10 different credits • Series A ABCP Federal Reserve Bank of [TBD). The Federal Reserve will have a senior secured • Unsecured Bank or Bank Hold [A-I./P-1/F1.) claim on the assets of the SPVs. Borrowings under the backstop facility will be at the primary credit rate (1.75%1 Co. CP, Captive Finance Initially [90%) Series B (10%) ABCP will be maturity matched against the assets purchased from companies Backed by Federal the eligible investors, and Series B ABCP will be retained by the eligible investors. • Certificates of Deposit Reserve Liquidity [The eligible investors may elect to sell the Series B ABCP in the secondary • A-I /P-1/F1 or better ratings Facility market.) • Remaining days to maturity <90 • Series B ABCP Yield on the newly issued ABCP will in all cases be tower than the assets financed • U.S. Dollar denominated in order to generate income for the SPV. Both series will have an undivided interest in the assets of theSPV: however, • Subject to rating agency pre- Initially (10%] Series B will be junior to Series A. approval Maturity matched to • Eligible assets will be limited to a pre-defined list of short-term debt in the form of CP • Limit to largest obligor RCN A-1(P-1(F1 asset or CDs. Captive Finance commercial paper will also be eligible. • Limit to two largest obligors • Cash Collateral • Money Market Funds will retain risk through the owrership of Series B ABCP. [MI [limit grid based on • Nominal Equity • The net spread, less fees and expenses, will be trapped in a cash collateral account ratings?) held in trust for the benefit of secured creditors. A two-tiered liability structure will provide the Federal Reserve withappropriate security should it need to provide liquidity $ (90) 4 Money Federal Reserve Bank of Liquidity Newly Facility for Market [TBD] Established Series A Series A Investors Notes SPVs ABCP (90) Owner Et Admin Services (MicawberCo., LLC, Eligible Assets GSS Holdings Jarndyce, LLC, (100) Structuring Advisor MarshalseaFunding, JPMSI LLC, Tellson'sLLC, 2a-7/ Money Market Deal Counsel Series B Orrick, Herrington Et Sutcliffe, LLP MagwitchCo., LLC) ABCP (10) Fund, [others, TBD] Counsel to the Federal Reserve $ (90) Cleary Gottlieb Steen Et Hamilton LIP ..................... ... ......................... ......... .. ... .......... ......... •;,••••••-•,,b, Placement Agents Placement Agent Counsel Custodian Issuing Et Paying Agent JPMSI, (MD) (TBD) MD] (NMI JPMCB J.PNIorgan J.P.MORGANSHORT-TERMFIXEDINCOME SPV St ru§b0922. tsivr ru0077042 Confidential Treatment Requested by JPMorgan Chase JPM-SDNY-00000169 EFTA_00187514 EFTA01300063