5 May 2010 11:06
Company: JPMorgan Chase & Co. (the "Issuer") Headline: Amendment to notes
04 May 2010
JPMorgan Chase & Co. Issue of EUR 140,000,000 Non-Principal Protected Notes linked to a basket of algorithmic strategies due May 2012 issued pursuant to U.S.$14,000,000,000 Structured Euro Medium Term Note Programme, ISIN: XS0399107563 (the "Notes")
We refer to the Amended and Restated Series Prospectus in respect of the Notes dated 27 January 2009 (the "Amended and Restated Series Prospectus ") and the admission of the Notes to trading on the Irish Stock Exchange on 27 January 2009.
The Issuer wishes to announce that pursuant to the written agreement of all the holders of the Notes on 04 May 2010 (the "Effective Date") and with effect from and including the Effective Date, the Terms and Conditions of the Notes were amended and restated so as to be in the form set out in Annex I hereto.
Capitalised terms used but not defined herein shall have the meaning given to them in the Amended and Restated Series Prospectus.
For further information, please contact:
Anthony Horan
Secretary
JPMorgan Chase Bank, National Association
Telephone number: +001 212 270 7122
Fax number: +001 646 534 3041
Email: anthony.horan@chase.com
ANNEX I
JPMorgan Chase & Co.
EUR 140,000,000 Non-Principal Protected Notes linked to a basket of algorithmic strategies due May 2012 issued pursuant to U.S.$14,000,000,000 Structured Euro Medium Term Note Programme
ISIN: XS0399107563 (the "Notes")
Amended and Restated Terms and Conditions of the Notes
As contemplated by the Noteholder resolution dated May 4, 2010 executed in accordance with Condition 12 of the Base Conditions, these amended and restated terms and conditions (including Part C and Annexes A, B and C appended hereto) dated as of 4 May 2010 amend and restate the original terms and conditions of the Notes issued on December 12, 2008.
The terms and conditions of the Notes shall consist of the terms and conditions set out in the Base Prospectus dated January 14, 2008 relating to the U.S.$14,000,000,000 Structured Euro Medium Term Note Programme of JPMorgan Chase & Co. ("Base Conditions") as amended or supplemented below. References in the Base Conditions to Final Terms shall be deemed to refer to the terms set out below.
THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933 AS AMENDED (THE "SECURITIES ACT") OR WITH ANY SECURITIES REGULATORY AUTHORITY OF ANY STATE OR OTHER JURISDICTION OF THE UNITED STATES AND THE NOTES COMPRISE BEARER NOTES THAT ARE SUBJECT TO U.S. TAX LAW REQUIREMENTS. SUBJECT TO CERTAIN EXCEPTIONS, THE NOTES MAY NOT BE OFFERED, SOLD OR DELIVERED WITHIN THE UNITED STATES OR TO, OR FOR THE ACCOUNT OR BENEFIT OF, U.S. PERSONS (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT ("REGULATION S") OR THE UNITED STATES INTERNAL REVENUE CODE AND THE TREASURY REGULATIONS PROMULGATED THEREUNDER). THE NOTES ARE BEING OFFERED AND SOLD OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS IN RELIANCE ON REGULATION S. THIS SERIES PROSPECTUS HAS BEEN PREPARED BY THE ISSUER FOR USE IN CONNECTION WITH THE OFFER AND SALE OF THE NOTES OUTSIDE THE UNITED STATES TO NON-U.S. PERSONS IN RELIANCE ON REGULATION S AND FOR LISTING OF THE NOTES ON THE IRISH STOCK EXCHANGE. FOR A DESCRIPTION OF THESE AND CERTAIN FURTHER RESTRICTIONS ON OFFERS AND SALES OF THE NOTES AND DISTRIBUTION OF THIS SERIES PROSPECTUS AND THE DOCUMENTS INCORPORATED BY REFERENCE HEREIN, SEE "SUBSCRIPTION AND SALE" IN THE BASE PROSPECTUS (AS DEFINED HEREIN).
| Issuer: | JPMorgan Chase & Co. | |
| Series Number: | 2008-129 | |
| Specified Currency or Currencies: | Euro ("EUR") | |
| Aggregate Nominal Amount of Notes: |
| |
| Series: | EUR 140,000,000 | |
| (i) Issue Price: | 100 per cent. of the Aggregate Nominal Amount of the Notes | |
| (ii) Net proceeds: | EUR 140,000,000 | |
| (i) Specified Denominations: | EUR 500,000 | |
| (ii) Calculation Amount: | EUR 500,000 | |
| (i) Issue Date: | December 12, 2008 | |
| (ii) Interest Commencement Date: | November 8, 2008 | |
| Maturity Date: | May 8, 2012 | |
| Interest Basis: | Index-Linked Interest. (Further particulars specified below.) | |
| Redemption/Payment Basis: | As set out in Part C hereto | |
| Change of Interest Basis or Redemption/ Payment Basis: | Not Applicable | |
| Put/Call Options: | Not Applicable | |
| Status of the Notes: | Senior | |
| Method of distribution: | Non-syndicated | |
| PROVISIONS RELATING TO INTEREST (IF ANY) PAYABLE | ||
| Fixed Rate Note Provisions: | Not Applicable | |
| Floating Rate Note Provisions: | Not Applicable | |
| Zero Coupon Note Provisions: | Not Applicable | |
| Index Linked Interest Note/Other variable-linked interest Note Provisions: | Applicable | |
| (i) Index/Formula/other variable | As set out in Part C hereto | |
| (ii) Calculation Agent responsible for calculating the interest due: | J.P. Morgan Securities Ltd. | |
| (iii) Provisions for determined Coupon where calculation by reference to Index and/or Formula and/or other variable | As set out in Part C hereto | |
| (iv) Determination Date(s): | Not Applicable | |
| (v) Provisions for determining Coupon where calculation by reference to Index and/or Formula and/or other variable is impossible or impracticable or otherwise disrupted: | As set out in Part C and the Annex hereto | |
| (vi) Interest Period(s): | From and including each Interest Payment Date to but excluding the next following Interest Payment Date, provided that the first Interest Period shall commence on the Interest Commencement Date and provided further that in respect of the Interest Period from and including 8 February 2010 to but excluding 8 May 2010, no interest shall accrue or be payable. | |
| (vii) Specified Interest Payment Dates: | 08 February, 08 May, 08 August and 08 November of each year from and including 08 February 2009 to and including the Maturity Date, subject to adjustment in accordance with the Business Day Convention and there shall be no resulting adjustment to the accrual of interest, and provided that no interest shall be due or payable on 08 May 2010. | |
| (viii) Business Day Convention: | Following Business Day Convention | |
| (ix) Additional Business Centre(s): | Not Applicable | |
| (x) Minimum Rate of Interest: | Not Applicable | |
| (xi) Maximum Rate of Interest: | Not Applicable | |
| (xii) Day Count Fraction: | Not Applicable | |
| (xiii) Withholding Tax | Not Applicable | |
| Dual Currency Note Provisions: | Not Applicable | |
| PROVISIONS RELATING TO REDEMPTION | ||
| Issuer Call: | Not Applicable | |
| Investor Put: | Not Applicable | |
| Final Redemption Amount: | Not Applicable. | |
| Early Redemption Amount(s) payable on redemption for taxation reasons, or on event of default (or, in the case of Index Linked Redemption Notes, following an Index Adjustment Event in accordance with Condition 5(h)(iii)(B)(b)) and/or the method of calculating the same (if required or if different from that set out in Condition 5(c)): | Condition 5(c) shall not apply to the Notes. The Early Redemption Amount of the Notes payable on redemption for tax reasons or following an event of default shall be an amount equal to the market value of the Notes on the date of redemption, adjusted to account fully for any losses, expenses and costs to the Issuer (or any of its affiliates) of unwinding any underlying or related hedging and funding arrangements, all as determined by the Calculation Agent in its sole and absolute discretion. | |
| Index Linked Redemption Notes: | Applicable. See Part C hereto | |
| (i) Whether the Notes relate to a basket of indices or a single index, the identity of the relevant Index/Indices and details of the relevant sponsors: | See Part C and the Annex hereto | |
| (ii) Calculation Agent responsible for making calculations pursuant to Condition 4: | J.P. Morgan Securities Ltd. | |
| (iii) Exchange(s): | Not Applicable | |
| (iv) Redemption Amount: | As set out in Part C | |
| (v) Valuation Date: | Not Applicable | |
| (vi) Valuation Time: | Not Applicable | |
| (vii) Strike Price: | Not Applicable | |
| (viii) Disrupted Day: | Not Applicable | |
| (ix) Multiplier for each Index comprising the basket: | Not Applicable | |
| (x) Other terms or special conditions: | See Part C and the Annex hereto | |
| Credit Linked Notes: | Not Applicable | |
| PAYMENTS/PHYSICAL DELIVERY | ||
| Additional Financial Centre(s) or other special provisions relating to Payment Dates: | Not Applicable | |
| Physical Delivery: | Not Applicable | |
| GENERAL PROVISIONS APPLICABLE TO THE NOTES | ||
| Form of Notes: | Bearer Notes | |
|
| Temporary Global Note exchangeable for a Permanent Global Note which is exchangeable for Definitive Bearer Notes on 40 days' notice upon an exchange event, or if requested by the holder (in which case such holder's definitive Notes will be removed, upon issuance, from the clearing system, and may not be readmitted into the clearing system), provided that any exchange for definitive Notes pursuant to or as a result of the request of a holder will be, in all circumstances, at such requesting holder's expense. | |
| Talons for future Coupons or Receipts to be attached to Definitive Notes (and dates on which such Talons mature): | Not Applicable | |
| Details relating to Partly Paid Notes: amount of each payment comprising the Issue Price and date on which each payment is to be made and consequences of failure to pay, including any right of the Issuer to forfeit the Notes and interest due on late payment: | Not Applicable | |
| Details relating to Instalment Notes: | Not Applicable | |
| Redenomination, renominalisation and reconventioning provisions: | Not Applicable | |
| New Global Note: | No | |
| Consolidation provisions: | Not Applicable | |
| Other terms or special conditions: | Not Applicable | |
| DISTRIBUTION |
| |
| (i) If syndicated, names of Managers: | Not Applicable | |
| (ii)Stabilising Manager (if any): | Not Applicable | |
| If non-syndicated, name of relevant Dealer: | J.P. Morgan Securities Ltd. | |
| Whether TEFRA D rules applicable or TEFRA rules not applicable: | TEFRA D rules applicable | |
| Additional selling restrictions: | None | |
| GENERAL | ||
| Additional steps that may only be taken following approval by an Extraordinary Resolution in accordance with Condition 12: | Not Applicable | |
ISIN: XS0399107563
Common Code: 039910756
LISTING APPLICATION AND APPLICATION FOR ADMISSION TO TRADING
These Terms and Conditions of the Notes comprise the final terms required to list and have admitted to trading the issue of Notes described herein pursuant to the U.S.$14,000,000,000 Structured Euro Medium Term Note Programme of JPMorgan Chase & Co.
DEEMED REPRESENTATIONS
By its purchase of a Note, the holder is deemed to have represented to the Issuer that (a) it is purchasing that Note as principal (and not as agent or in any other capacity); (b) it has the power to purchase that Note and to execute any documentation relating to that Note and has taken all necessary action to authorise such purchase and execution; (c) the Issuer is not acting as fiduciary for it; (d) it is not relying on any representations made by the Issuer with respect to that Note; (e) it has consulted with its own legal, regulatory, tax, business, investment, financial and accounting advisors to the extent it has deemed necessary, and it has made its own investment, hedging, and trading decisions based upon such judgment and upon any advice from such advisors as it has deemed necessary and not upon any view expressed by the Issuer; and (f) it is a sophisticated investor and has purchased that Note with a full understanding of the terms, conditions and risks thereof and it is capable of and willing to assume those risks.
RESPONSIBILITY
The Issuer accepts responsibility for the information contained in these Terms and Conditions of the Notes.
| Signed on behalf of the Issuer: |
|
| By: |
|
| Duly authorised Name: Title: |
|
PART B - OTHER INFORMATION
As set forth in the original terms and conditions of the Notes issued on 12 December 2008. PART C - OTHER APPLICABLE TERMS
The following provisions apply to the Notes. Unless otherwise defined in the Conditions, the capitalised terms used in this Part C shall have the meanings given to them below.
Index Linked Interest
The Rate of Interest for each Interest Period in the period:
(i) from and including the Interest Commencement Date to but excluding 8 February 2010 will be a percentage rate, as determined by the Calculation Agent in accordance with the following formula:
Rate of Interest = Max {0, InterestA(n) - ReserveA(n-1) x (1 + EURIBOR(n) x DCF(n))}
(ii) from and including 8 February 2010 to but excluding 8 May 2010 shall be 0.00%; and
(ii) from and including 8 May 2010 to but excluding the Maturity Date will be a percentage rate, as determined by the Calculation Agent in accordance with the following formula:
Rate of Interest = Sum of:
(i) (1/3)*Max {0, InterestA(n) - ReserveA(n-1) x (1 + EURIBOR(n) x DCF(n))};
(ii) (1/3)*Max {0, InterestB(n) - ReserveB(n-1) x (1 + EURIBOR(n) x DCF(n))}; and
(iii) (1/3)*Max {0, InterestC(n) - ReserveC(n-1) x (1 + EURIBOR(n) x DCF(n))}.
The amount of interest payable in respect of each Note in respect of each Interest Period on each Interest Payment Date shall be determined by the Calculation Agent as being an amount in EUR equal to the product of the Calculation Amount and the applicable Rate of Interest.
Final Redemption Amount
The Final Redemption Amount in respect of each Note on the Maturity Date, shall be an amount determined by the Calculation Agent on the Maturity Date in accordance with the following formula:
SD x Max{100% - (1/3)ReserveA(8) - (1/3)ReserveB(8) - (1/3)ReserveC(8), 0%}
Definitions
"Actual/360" means, in respect of the calculation of an amount of interest on any Note in respect of each Interest Period the actual number of days in such Interest Period divided by 360.
"Business Day" means any day on which TARGET2 (the Trans-European Automated Real-time Gross Settlement Express Transfer system) is open for the settlement of payments in Euro.
"DCF(n)" means the day count fraction in respect of each Interest Period:
(i) in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Interest Periods labelled n = 1 to 6 inclusive); and
(ii) in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Periods labelled n = 1 to 8 inclusive),
calculated by the Calculation Agent on an Actual/360 basis in respect of each Interest Period;
"EURIBOR(n)" means:
(i) in respect of each Interest Payment Date in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Interest Payment Date labelled n = 1 to 6 inclusive); and
(ii) in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive),
the EUR-EURIBOR-Reuters Swap Rate with a designated maturity of 3 months which appears on Reuters Screen EURIBOR01 Page as of 11:00 AM Brussels time, (or any such other page that may replace that page on that service or successor service) on the second Business Day prior to the beginning of the relevant Interest Period, provided that in respect of the first Interest Period EURIBOR(n) shall be determined as 4.474 per cent. If such rate does not appear on Reuters Screen EURIBOR01 Page, or such page is unavailable, on such Business Day, the rate for that Business Day will be determined with reference to "EUR-EURIBOR-Reference Banks" (as defined in the ISDA Definitions) provided that (i) the references therein to "Reset Date" were references to the first day of the relevant Interest Period and (ii) the "Calculation Agent" shall mean J.P. Morgan Securities Ltd.;
"Indices" means each of the MAST2EUR Index as described in Annex A, the SCIIEUR Index as described in Annex B and the JHLXHEU Index as described in Annex C (and "Index" means each such Index as applicable).
"Index Calculation Agent" has the meaning in respect of each Index given to it in the relevant Annex.
"Index Level" has the meaning in respect of each Index given to it in the relevant Annex.
"Index Valuation Day" has the meaning in respect of each Index given to it in the relevant Annex.
"InterestA(n)" means a percentage rate, as determined by the Calculation Agent in respect of each Interest Payment Date:
(i) in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Interest Payment Dates labelled n = 1 to 6 inclusive) in accordance with the following formula:
InterestA(n) = (EURIBOR(n) + 2.79%) x DCF(n) + PerformanceA(n)
and
(ii) in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Dates labelled n = 1 to 8 inclusive) in accordance with the following formula:
InterestA(n) = (EURIBOR(n) + 2.10%) x DCF(n) + PerformanceA(n)
"InterestB(n)" means a percentage rate, as determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
InterestB(n) = (EURIBOR(n) + 2.10%) x DCF(n) + PerformanceB(n)
"InterestC(n)" means a percentage rate, as determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
InterestC(n) = (EURIBOR(n) + 2.10%) x DCF(n) + PerformanceC(n)
"ISDA Definitions" means the 2006 ISDA Definitions published by the International Swaps and Derivatives Association, Inc.;
"IndexPerformanceA" means a percentage determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
"IndexPerformanceB" means a percentage determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
"IndexPerformanceC" means a percentage determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
"JHLXHEUi" means the Index Level of the JHLXHEU Index two Index Valuation Days prior to the relevant Performance Datei determined by the Index Calculation Agent;
"JHLXHEUi-1" means the Index Level of the JHLXHEU Index two Index Valuation Days prior to the relevant Performance Datei-1 determined by the Index Calculation Agent;
"MAST2EURi" means the Index Level of the MAST2EUR Index two Index Valuation Days prior to the relevant Performance Datei determined by the Index Calculation Agent;
"MAST2EURi-1" means the Index Level of the MAST2EUR Index two Index Valuation Days prior to the relevant Performance Datei-1 determined by the Index Calculation Agent;
"SCIIEURi" means the Index Level of the SCIIEUR Index two Index Valuation Days prior to the relevant Performance Datei determined by the Index Calculation Agent;
"SCIIEURi-1" means the Index Level of the SCIIEUR Index two Index Valuation Days prior to the relevant Performance Datei-1 determined by the Index Calculation Agent;
"Max" followed by a series of amounts inside brackets, means whichever is the greater of the amounts separated by a comma inside the brackets;
"PerformanceA(n)" means a percentage determined by the Calculation Agent in respect of each Interest Payment Date:
(i) in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Interest Payment Dates labelled n = 1 to 6 inclusive); and
(ii) in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Dates labelled n = 1 to 8 inclusive)
in accordance with the following formula:
"PerformanceB(n)" means a percentage determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
"PerformanceC(n)" means a percentage determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
"Performance Datei" means:
(i) in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Performance Dates labelled i = 0 to 15 inclusive); and
(ii) in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Performance Dates labelled n = 1 to 25 inclusive)
the eighth calendar day of each calendar month, subject to adjustment in accordance with the Business Day Convention;
"Performance Datei-1" means the Performance Datei immediately preceding the relevant Performance Datei and for the avoidance of doubt in relation to the Performance Datei falling on 8 May 2010 Performance Datei-1 shall be 8 February 2010;
"Performance FeeAi" means an amount determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
Max(0, 10% x IndexPerformanceAi)
"Performance FeeBi" means an amount determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
Max(0, 10% x IndexPerformanceBi)
"Performance FeeCi" means an amount determined by the Calculation Agent in respect of each Performance Datei in accordance with the following formula:
Max(0, 10% x IndexPerformanceCi)
"ReserveA(n)" means a percentage as determined by the Calculation Agent in respect of each Interest Payment Date:
(i) in the period from and including the Interest Commencement Date to but excluding 8 February 2010 (with the Interest Payment Dates labelled n = 1 to 6 inclusive); and
(ii) in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Dates labelled n = 1 to 8 inclusive)
in accordance with the following formula:
ReserveA(n) = Max{0, ReserveA(n-1) x (1 + EURIBOR(n) x DCF(n)) - InterestA(n)}
"ReserveA(0)" is 0.639180%
"ReserveB(n)" means a percentage as determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
ReserveB(n) = Max{0, ReserveB(n-1) x (1 + EURIBOR(n) x DCF(n)) - InterestB(n)}
"ReserveB(0)" is 0.639180%
"ReserveC(n)" means a percentage as determined by the Calculation Agent in respect of each Interest Payment Date in the period from and including 8 August 2010 to but excluding the Maturity Date (with the Interest Payment Date labelled n = 1 to 8 inclusive) in accordance with the following formula:
ReserveC(n) = Max{0, ReserveC(n-1) x (1 + EURIBOR(n) x DCF(n)) - InterestC(n)}
"ReserveC(0)" is 0.639180%
"SD" means the Specified Denomination of EUR 500,000.
Calculation Agent
Any calculations, determination or decisions which the Calculation Agent is required to perform and/or make pursuant to the Conditions of the Notes (as supplemented and amended herein) shall be performed and/or made by the Calculation Agent acting in its sole and absolute discretion.
All certificates, communications, opinions, determinations, calculations, quotations and decisions given, expressed, made or obtained for the purposes of the provisions of this Series Prospectus and the Conditions by the Calculation Agent shall (in the absence of wilful default, bad faith or manifest error) be binding on the Issuer, the Agent and the Noteholders and (in the absence as aforesaid) no liability to the Issuer or the Noteholders shall attach to the Calculation Agent in connection with the exercise or non-exercise by it of its powers, duties and discretions pursuant to such provisions.
ANNEX A
The JPMorgan MAST2EUR Index
Synthetic Strategy Rules
26 November 2008
© All Rights Reserved
PART A
1. This Document
1.1 Introduction
This document comprises the Rules of the JPMorgan MAST2EUR Index (the "MAST2EUR Index" or "Index"). The Rules may be amended from time to time without notice but will be available from J.P. Morgan Securities Ltd. ("JPMSL") upon request. A change will in general only be made where it is required to update these Rules or to address an error, omission or ambiguity.
1.2 Publication of the Rules
These Rules are published by J.P. Morgan Securities Ltd. of 125 London Wall, London EC2Y 5AJ, UK in its capacity as Index Calculation Agent. See Section 6 for further information in connection with publication of the Rules.
1.3 Amendments
These Rules may be amended from time to time at the discretion of the Index Calculation Agent and will be re-published (see Section 1.2) no later than one calendar month following such amendment.
1.4 Availability of Rules
Copies of the Rules may be obtained by investors free of charge upon request to the Index Calculation Agent.
1.5 Risks & disclaimers
Please refer to the Risk Factors and associated Disclaimers set out in Parts B and C of the Rules. No assurance can be given that the investment strategy used to construct MAST2EUR will be successful or that MAST2EUR will outperform any alternative basket or investment strategy that might be constructed from the Constituents.
1.6 No offer of securities
These Rules neither constitute an offer to purchase or sell securities nor specific advice of whatever form (tax, legal, accounting or regulatory) in respect of any investment strategy.
1.7 Rules of construction
A reference to a "Section" means a reference to a clause in this Part A unless the otherwise specified.
2. Summary of Index
2.1 Index calculation based on a deterministic algorithm
The MAST2EUR Index is calculated based on a deterministic algorithm that replicates synthetic purchases and sales of a portfolio of assets. The purchases and sales are synthetic because the Strategy does not directly enter into these purchases and sales of assets, and as such, the MAST2EUR Index will not affect the delivery of any futures position.
2.2 MAST2EUR Constituents
The Index comprises the following 4 Components:
(a) the Eurex Bund Future (Code: FGBL/ ISIN: DE0009652644) is an exchange traded futures contract referencing notional German Federal Government issued bonds each having a face value of EUR 100,000, at any time having maturities of between 8.5 and 10.5 years, paying a six (6) per cent coupon and which expire every three months.
(b) the Eurex Schatz Future (Code: FGBS / ISIN: DE0009652669 ) is an exchange traded futures contract referencing notional German Federal Government issued bonds each having a face value of EUR 100,000, at any time having maturities of between 1.75 and 2.25 years, paying a six (6) per cent coupon and which expire every three months.
(c) the 2year CMS Ratei is a daily observable 2 year EUR swap rate on Reuters page ISDAFIX2 (EURIBOR basis, 11am Frankfurt time); and
(d) the 10year CMS Ratei is a daily observable 10 year EUR swap rate on Reuters page ISDAFIX2 (EURIBOR basis, 11am Frankfurt time).
2.3 Rebalancing methodology
The rebalancing methodology is carried out on the principle of "momentum investing" which has as its primary assumption that if certain Constituents performed well in the past, they will continue to perform well in the future and the converse applies with respect to poorly performing assets.
2.4 Synthetic strategy, no underlying assets in basket
The MAST2EUR Index synthetically replicates a notional basket of assets because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The MAST2EUR Index merely identifies certain assets in the market, the performance of which is used as a reference point for the purposes of calculating the level of the Index.
3. Index Calculation Agent
3.1 Identity
JPMSL or any affiliate or subsidiary designated by it will act as calculation agent in connection with the Index (the "Index Calculation Agent").
3.2 Index Calculation Agent determinations
All determinations of the Index Calculation Agent in respect of the MAST2EUR Index and interpretation of the Rules shall be final, conclusive and binding and no person shall be entitled to make any claim against any of the Relevant Persons in respect thereof. Once a determination or calculation is made or action taken by the Index Calculation Agent or any other Relevant Person in respect of any aspect of the MAST2EUR Index, neither the Index Calculation Agent nor any other Relevant Person shall be under any obligation to revise any determination or calculation made or action taken for any reason.
3.3 Notional Adjustments
A Notional Adjustment equivalent to zero point forty-seven basis points (0.0047%) shall accrue and be deducted daily (in arrears) from the level of the Index on each Index Valuation Day, calculated in respect of the Index Level as of the immediately preceding Index Valuation Day.
4. Calculating the Index Level
4.1 Frequency
Subject to the occurrence or existence of a Disrupted Day, the Index Calculation Agent shall calculate the Index Level in respect of each Index Valuation Day for Index publication purposes.
4.2 Index Level
4.2.1 Index Start Date
The MAST2EUR Index shall commence on January, 15th 2007 (the "Index Start Date") at a level of 100.
4.2.2 Index Level calculation
From and excluding the Index Start Date, the Index shall reset every Scheduled Trading Day i thereafter according to the following formula:
MAST2EUR Indexi = MAST2EUR Indexi-1 + 1/3*(Factori + Factori-1 + Factori-2) x (Schatz Returni - Bund Returni) - Notional Adjustments
4.2.3 Index Level Rounding
The MAST2EUR Index Level shall be rounded to the fourth decimal place.
4.2.4 Constituent rebalancing
Factori on any given Scheduled Trading Dayi will be determined by the Signali-1 (as set out below) on the immediately previous Scheduled Trading Dayi-1
4.2.5 Signal
With respect to any Scheduled Trading Day, the occurrence of any specific Signal listed below on the previous Scheduled Trading Day shall give rise to a corresponding Factor for the Scheduled Trading Day in question.
| Signal | Factor |
| Bull Steepening | +20 |
| Bear Steepening | +10 |
| Bull Flattening | -10 |
| Bear Flattening | -20 |
4.2.6 When rebalancing takes effect
Rebalancing will take effect following the Official Close of the relevant Scheduled Trading Day, provided that if such day is a Disrupted Day in respect of a Constituent (an "Affected Constituent"), rebalancing in respect of such Affected Constituent shall occur on the day on which it has been valued in accordance with Section 5.1(b)(ii).
5. Effect of Market Disruption Events
5.1 Effect on Index Valuation Days
In relation to the MAST2EUR Index, if any Index Valuation Day is a Disrupted Day in respect of any Affected Constituent, then:
(a) no Index Level shall be published on such Index Valuation Day (the "Original IVD"); and
(b) calculation of the level of the MAST2EUR Index for such valuation day will be calculated retrospectively based on:
(i) the Levels of the Constituents (other than the Affected Constituent(s)) on Original IVD; and
(ii) the Level of each Affected Constituent on the next Scheduled Trading Day that is not a Disrupted Day for such Constituent,
acting in good faith using such information and/or methods as it determines, in its reasonable discretion, are appropriate (notwithstanding that such day is a Disrupted Day for one or more Constituents).
6. Publication of Index Levels
6.1 Publication source
The Index Level shall be published on Bloomberg® (Bloomberg ticker MAST2EUR Index).
6.2 Impact of force majeure on publication source
The Index Calculation Agent shall not be obliged to provide the Index Level by any alternative method if the Bloomberg ticker is subject to any delay in or interruptions of publication or as a result of the occurrence of a Force Majeure Event.
6.3 No obligation to publish on Disrupted Days
The Index Calculation Agent is not obliged to publish the Index Level in respect of any day which is a Disrupted Day, although it may nevertheless do so retrospectively.
6.4 Format of publication; number of decimal places
The Index Level will be reported to four (4) decimal places (although the Index Calculation Agent may maintain a record of the Index Level with greater precision for internal purposes) on every Index Valuation Day.
7. Extraordinary Events
7.1 Successor Constituent
If any Constituent is:
(a) not calculated and announced by the Relevant Sponsor but by a successor sponsor acceptable to the Index Calculation Agent; or
(b) replaced by a successor constituent using, in the determination of the Index Calculation Agent, the same or substantially similar formula and method of calculation as used in the calculation of the relevant Constituent,
then in each case that successor constituent (the "Successor Constituent") shall replace the relevant Constituent with effect from a date determined by the Index Calculation Agent who may make such adjustment to these Rules, as it determines in good faith is appropriate, to account for such change.
7.2 Alteration of Constituents
Without prejudice to the ability of the Index Calculation Agent to amend the Rules (see Section 1.3), the Index Calculation Agent may, acting in good faith and in a commercially reasonable manner:
(a) exclude; or
(b) substitute for,
any Constituent in circumstances where it considers it reasonably necessary to do so to reflect the intention of the MAST2EUR strategy, including (without prejudice to the generality of the foregoing) changes announced by a Relevant Sponsor relating to the modification, exclusion, inclusion or substitution of one Constituent or any perception among market participants generally that the published Level of the relevant Constituent is inaccurate (and the Relevant Sponsor of such Constituent fails to correct such Level), and if it so excludes or substitutes for any Constituent, then the Index Calculation Agent may adjust the Rules as it determines in good faith to be appropriate to account for such exclusion or substitution on such date(s) selected by the Index Calculation Agent.
7.3 Material Change
If, at any time, the Relevant Sponsor of any Constituent:
(a) announces that it will make a material change in the formula or the method of calculating that Constituent or in any other way materially modifies that Constituent (other than a modification prescribed in that formula or method to maintain that Constituent in the event of routine administrative events); or
(b) permanently cancels the Constituent and no successor constituent exists or the Relevant Sponsor fails to calculate and announce the level/ price of such Constituent (as applicable),
then, the Index Calculation Agent shall remove such Constituent from the Index and may adjust the Rules as it determines in good faith to be appropriate to account for such change(s) on such date(s) selected by the Index Calculation Agent.
8. Corrections
If:
(a) the Level of any Constituent used to calculate the Index Level on any Index Valuation Day is subsequently corrected and the correction is published by the relevant Index Calculation Agent before the next Scheduled Trading Day; or
(b) the Index Calculation Agent identifies an error or omission in any of its calculations or determinations in respect of Index Level,
then, the Index Calculation Agent may, if practicable and it considers such correction material, adjust or correct the published Index Level for such day and each subsequent Index Valuation Day and publish such corrected Index Level(s) as soon as reasonably practicable.
9. Responsibility for the Rules; Limitations on liability
9.1 Index Calculation Agent standards
The Index Calculation Agent shall act in good faith and in a commercially reasonable manner.
9.2 Ambiguities in the Rules
Whilst these Rules are intended to be comprehensive, ambiguities may arise. If so, the Index Calculation Agent will resolve such ambiguities and, if necessary, amend these Rules to reflect such resolution.
9.3 Limitation of liability
No Relevant Person shall have any responsibility to any person (whether as a result of negligence or otherwise) for any determinations made or anything done (or omitted to be determined or done) in respect of MAST2EUR or in respect of the publication of the Index Level (or failure to publish such level) or any use to which any person may put MAST2EUR or the Index Level.
10. Miscellaneous
10.1 Determinations
Any determination required to be made or action required to be taken in respect of MAST2EUR on a day that is not an Index Valuation Day, shall be made or taken (as the case may be) on the next following Index Valuation Day.
10.2 Governing law
These Rules shall be governed by and construed in accordance with the laws of England.
11. "Bootstrapping" Methodology for Calculation of BPVs
In this section, the first subscript ("i") refers to the Scheduled Trading Day and the second subscript ("j" or "k") refers to the maturity (1 week, 1y, 2y, 3y, 4y, 5y, 6y, 7y 8y, 9y and 10y are referred to by j or k equal to 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 or 10 respectively).
For any Scheduled Trading Day i ("RDi"), the BPV's (BPV01(j,i)) for any Maturity (Mi,j) shall be derived as follows:
Table
| Maturity (Mi,j) | Rate (Ri,j) , as published on ISDAFIX2 | Discount Factor (DFi,j) | BPV01 |
| Spot (j=0) | 1 Week Rate published on RDi |
|
|
| 1Year (j=1) | 1Y Rate published on RDi |
|
|
| 2 Year (j=2) | 2Y Rate published on RDi |
|
|
| 3 Year (j=3) | 3Y Rate published on RDi |
|
|
| 4 Year (j=4) | 4Y Rate published on RDi |
|
|
| 5 Year (j=5) | 5Y Rate published on RDi |
|
|
| 6 Year (j=6) | 6Y Rate published on RDi |
|
|
| 7 Year (j=7) | 7Y Rate published on RDi |
|
|
| 8 Year (j=8) | 8Y Rate published on RDi |
|
|
| 9 Year (j=9) | 9Y Rate published on RDi |
|
|
| 10 Year (j=10) | 10Y Rate published on RDi |
|
|
12. Definitions
Capitalised terms not otherwise defined herein shall have the following meanings:
"2year CMS Rate" means, with respect to any Scheduled Trading Dayi, the 2 year EUR swap rate observed on Reuters page ISDAFIX2 (EURIBOR basis, 11am Frankfurt time) on such day;
"2year CMS Shorter Moving Average" means, with respect to any Scheduled Trading Day, the arithmetic average of the fixings of the 2year CMS Rate for the immediately preceding 32 Scheduled Trading Days, up to but excluding such Scheduled Trading Day;
"2year CMS Longer Moving Average" means, with respect to any Scheduled Trading Day, the arithmetic average of the fixings of the 2year CMS Rate for the immediately preceding 100 Scheduled Trading Days, up to but excluding such Scheduled Trading Day;
"10year CMS Rate" means, with respect to any Scheduled Trading Dayi, the 10 year EUR swap rate observed on Reuters page ISDAFIX2 (EURIBOR basis, 11am Frankfurt time) on such day;
"Affected Constituent" see Section 4.2.6;
"BPV01(2y,i)" see section 11 ;
"BPV01(10y,i)" see Section 11;
"Bund Returni" means, on any Scheduled Trading Dayi, (Bund Price i - Bund Price i-1)/BPV01(10y,i);
"Bund Price" means the price of the front Eurex Bund Future contract rolled on the 5th Scheduled Trading Day of each IMM Month;
"Constituent" means a constituent of the Index described in 2.2 above;
"Disrupted Day" means a day on which a Market Disruption Event occurs or exists;
"Downtrend" means, with respect to a Variable, and any Scheduled Trading Day, the Relevant Shorter Moving Average is less than the Relevant Longer Moving Average, provided that if on any Scheduled Trading Day, the Shorter Moving Average for either Variable is equal to the Relevant Longer Moving Average for such Variable, the trend (either Uptrend or Downtrend) will remain unchanged from the trend of the relevant Variable on the immediately preceding Scheduled Trading Day;
"Factor" In respect of each Scheduled Trading Day i, the Factori shall be:
(a) +20, if the Signal on the immediately preceding Scheduled Trading Day is Bull Steepening;
(b) +10, if the Signal on the immediately preceding Scheduled Trading Day is Bear Steepening;
(c) -10, if the Signal on the immediately preceding Scheduled Trading Day is Bull Flattening; and
(d) -20, if the Signal on the immediately preceding Scheduled Trading Day is Bear Flattening;
"Force Majeure Event" any event beyond the control of the Index Calculation Agent, including any act of God, act of governmental authority, or act of public enemy, or due to war, the outbreak or escalation of hostilities, fire, flood, civil commotion, insurrection, labour difficulty including, without limitation, any strike, other work stoppage, or slow-down, severe or adverse weather conditions, power failure, communications line or other technological failure;
"IMM Month" means the months of March, June, September and December;
"Index Calculation Agent" see Section 3;
"Index Level" means the level of the Index, determined in accordance with the Rules;
"Index Valuation Day" means each day (other than a Saturday or a Sunday) which is a Scheduled Trading Day for all Constituents;
"Level" means, in respect of a Constituent, (i) the closing level of such Constituent as calculated and published by the Relevant Sponsor, or (ii) in the event of circumstances set out in Section 5.1, as reasonably calculated and published by the Index Calculation Agent, or (iii) in the event of circumstances set out in Section 7.1, as calculated and published by the sponsor of the relevant Successor Constituent;
"Market Disruption Event" means in respect of a Constituent and an Index Valuation Day (as the case may be), the failure by the Relevant Sponsor to calculate and publish the level for such Constituent;
"MAST2EUR" means the index documented in accordance with these Rules referenced in the Appendix, Section 1;
"Notional Adjustments" means, in respect of each Scheduled Trading Day, 0.0047%, calculated in respect of the Index Level as of the immediately preceding Index Valuation Day;
"Official Close" means with respect to the Eurex Bund Future and the Eurex Schatz Futures contract and on any Index Valuation Day, the published closing time of the Relevant Exchange;
"Relevant Exchange" means Eurex Deutschland and Eurex Zurich (operating as a combined exchange platform);
"Relevant Longer Moving Average" means either the 2year CMS Longer Moving Average or the Spread Longer Moving Average, as the case may be;
"Relevant Person" means the Index Calculation Agent or any of its affiliates or subsidiaries or their respective directors, officers, employees, representatives, delegates or agents (as the case may be);
"Relevant Shorter Moving Average" means either the 2year CMS Shorter Moving Average or the Spread Shorter Moving Average, as the case may be;
"Relevant Sponsor" means:
(a) in respect of the Eurex Bund Future or the Eurex Schatz Futures contract, the Relevant Exchange;
(b) in respect of the 2y CMS Rate and the 10y CMS Rate, ISDA and/or Icap Plc, as the case may be; or
(c) in respect of any other constituent substituted in accordance with the terms of these Rules, the corporation or other entity that (a) is responsible for setting and reviewing the rules and procedures and the methods of calculation and adjustments, if any, related to such constituent and (b) announces (directly or through an agent) the Level of such constituent on a regular basis;
"Rules" means the rules of the MAST2EUR Index as set out in this document, as the same may be amended, supplemented and/or restated from time to time;
"Schatz Price" means the price of the front Eurex Schatz Future contract rolled on the 5th Scheduled Trading Day of each IMM Month;
"Schatz Returni" means on any Scheduled Trading Dayi,, an amount calculated in accordance with the following formula:
(Schatz Price i - Schatz Price i-1)/BPV01(2y,i);
"Scheduled Trading Day" means, in respect of all Constituents, a day on which the Relevant Exchange is scheduled to be open for its regular trading session;
"Signal" means, on any Scheduled Trading Dayi,
(a) if 2year CMS Rate is in Downtrend and the Spread is in Uptrend, the Signal for such day shall be Bull Steepening;
(b) if 2year CMS Rate is in Uptrend and the Spread is in Uptrend, the Signal for such day shall be Bear Steepening;
(c) if 2year CMS Rate is in Downtrend and the Spread is in Downtrend, the Signal for such day shall be Bull Flattening; and
(d) if 2year CMS Rate is in Uptrend and the Spread is in Downtrend, the Signal for such day shall be Bear Flattening;
"Spread" means, with respect to any Scheduled Trading Dayi, an amount calculated by the Index Calculation Agent as follows:
Spreadi = 10year CMS Ratei - 2year CMS Ratei;
"Successor Constituent" has the meaning give to such term in paragraph 7.1 of these Rules;
"Spread Shorter Moving Average" means on any Scheduled Trading Day, the arithmetic average of the Index Calculation Agent's determinations of the Spread for the immediately preceding 44 Scheduled Trading Days, up to but excluding such Scheduled Trading Day;
"Spread Longer Moving Average" means on any Scheduled Trading Day, the arithmetic average of the Index Calculation Agent's determinations of the Spread for the immediately preceding 61 Scheduled Trading Days, up to but excluding such Scheduled Trading Day;
"Uptrend" means, with respect to a Variable on any Scheduled Trading Day, the Relevant Shorter Moving Average is greater than the Relevant Longer Moving Average, on the relevant Scheduled Trading Day, provided that if on any Scheduled Trading Day, the Relevant Shorter Moving Average for either Variable is equal to the Relevant Longer Moving Average for such Variable, the trend (either Uptrend or Downtrend) will remain unchanged from the trend of the relevant Variable on the immediately preceding Scheduled Trading Day; and
"Variable" means each of the 2y CMS Rate and the Spread, as applicable.
PART B
RISK FACTORS
The following list of risk factors does not purport to be a complete enumeration or explanation of all the risks associated with MAST2EUR and should be read in conjunction with the relevant Appendix.
1. Past performance should not be used as a guide to future performance
The past performance of any other MAST2EUR index should not be used as a guide to future performance of that index or the Index. Any back-testing or similar analysis performed by any person in respect of MAST2EUR must be considered illustrative only and may be based on estimates or assumptions not used by the Index Calculation Agent when determining the Index Level pursuant to these Rules.
2. Synthetic Exposure
The MAST2EUR Index is purely synthetic. There is no pool of futures to which any person is entitled or in which any person has any ownership interest or which serve as collateral for the return on any product referencing MAST2EUR.
3. Eurex Bund and Schatz futures Constituents are "excess return"
The return from investing in futures contracts derives from three sources:
(a) changes in the price of the relevant futures contracts (which is known as the "price return");
(b) any profit or loss realised when rolling the relevant futures contracts (which is known as the "roll return"); and
(c) any interest earned on the cash deposited as collateral for the purchase of the relevant futures contracts (which is known as the "collateral return").
The Constituents are "excess return" indices which means that they measure the returns accrued from investing in uncollateralized futures or, in other words, the sum of the price return and the roll return associated with an investment in futures. Investing in any product linked to the Constituents will therefore not generate the same return as one would obtain from investing directly in the relevant futures contracts.
4. Momentum investment strategy
MAST2EUR is constructed using what is generally known as a momentum investment strategy. Momentum investing generally seeks to capitalize on trends in the price of assets.
No assurance can be given that the investment strategy used to construct MAST2EUR will be successful or that MAST2EUR will outperform any alternative basket that might be constructed from the Constituents.
5. Return on synthetic basket necessarily different from investment in physical underlyings
The results that may be obtained from investing in any security or investment or otherwise participating in any transaction linked to MAST2EUR might well be significantly different from the results that could theoretically be obtained from a direct investment in the Constituents or any related derivatives. Such differences may arise for a number of reasons including, but not limited to, the fees (if any) deducted from the Index Level.
6. Diversification
Diversification is generally considered to reduce the amount of risk associated with generating returns, however can be no assurance that MAST2EUR will be sufficiently diversified at any time to reduce or minimize such risks to any extent.
7. Index Calculation Agent discretion
The Index Calculation Agent is entitled to exercise certain discretions in relation to MAST2EUR, including but not limited to, the determination of the values to be used in the event of Market Disruption Events and the interpretation of these Rules. Although the Index Calculation Agent will make all determinations and take all action in relation to MAST2EUR acting in good faith, such discretion could have an impact, positive or negative, on the Index Level.
8. Potential Conflicts of Interest
Potential conflicts of interest may exist in the structure and operation of MAST2EUR and the conduct of normal business activities by any Relevant Person. Please refer to the following Part C for further details.
The foregoing list of risk factors is not intended to be exhaustive. Anyone reading these Rules should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on any Relevant Person to satisfy themselves that they fully understand these Rules and the risks associated with MAST2EUR.
Part C
NOTICES, DISCLAIMERS AND CONFLICTS
These Rules have been prepared solely for informational purposes and nothing herein constitutes an offer to buy or sell any securities, participate in any transaction or adopt any investment strategy or as legal, tax regulatory or accounting advice. The Rules are of the date specified above and may change at any time without prior notice.
No Relevant Person makes any representation or warranty, whatsoever, express or implied, as to the results that may be obtained through the use of these Rules or MAST2EUR.
Each Relevant Person hereby expressly disclaims, to the fullest extent permitted by law, all warranties of accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any information contained in this document and no Relevant Person shall have any liability (direct or indirect, special, punitive, consequential or otherwise) to any person even if notified of the possibility of any such damages.
The Index Calculation Agent is under no obligation to continue the calculation, publication and dissemination of the Index or the Index Level.
During the course of their normal business, the Index Calculation Agent or any other Relevant Person may enter into or promote, offer or sell transactions or investments (structured or otherwise) linked to MAST2EUR and/or any of the Constituents. In addition, any Relevant Person may have, or may have had, interests or positions, or may buy, sell or otherwise trade positions in or relating to MAST2EUR or any of the Constituents, or may invest or engage in transactions with other persons, or on behalf of such persons relating to any of these items. Such activity may or may not have an impact on the Index Level but all persons reading these Rules should be aware that a conflict of interest could arise where anyone is acting in more than one capacity.
Neither the Index Calculation Agent nor any other Relevant Person has any duty to consider the circumstances of any person when participating in such transactions or to conduct themselves in a manner that is favourable to any person.
The Rules have been developed with the possibility of the Index Calculation Agent or any of the Relevant Persons entering into or promoting, offering or selling transactions or investments (structured or otherwise) linked to MAST2EUR, and hedging the obligations that might arise under any such transactions or investments.
The Index provides an exposure of a notional basket of assets because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. MAST2EUR merely identifies certain assets in the market, the performance of which will be used as a reference point for the purposes of calculating the Index Level.
The Index Calculation Agent need not publish the Index Level by any alternative method if the relevant Bloomberg ticker is subject to any delay in or interruptions of publication for any reason including the occurrence of a Force Majeure Event.
No one may reproduce or disseminate the information contained in these Rules or the Index Level without the prior written consent of the Index Calculation Agent. MAST2EUR is the intellectual property of the Index Calculation Agent and may only be used (as an underlying for financial products or otherwise) by third parties who have entered into a licence agreement with the Index Calculation Agent. These Rules are not intended for distribution to, or use by any person in, a jurisdiction where such distribution is prohibited by law or regulation.
Copyright JPMorgan Chase & Co. 2008. All rights reserved. JPMorgan is the marketing name for J.P. Morgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities Inc. is a member of NYSE and SIPC. JPMorgan Chase Bank is a member of FDIC. J.P. Morgan Futures Inc. is a member of the NFA. J.P. Morgan Securities Ltd. and J.P. Morgan plc are authorised by the FSA and members of the LSE. J.P. Morgan Europe Limited is authorised by the FSA. J.P. Morgan Equities Limited is a member of the Johannesburg Securities Exchange and is regulated by the FSB. J.P. Morgan Securities (Asia Pacific) Limited and Jardine Fleming Securities Limited are registered as investment advisers with the Securities & Futures Commission in Hong Kong and their CE numbers are AAJ321 and AAB026 respectively. Jardine Fleming Singapore Securities Pte Ltd is a member of Singapore Exchange Securities Trading Limited and is regulated by the Monetary Authority of Singapore ("MAS"). J.P. Morgan Securities Asia Private Limited is regulated by the MAS and the Financial Supervisory Agency in Japan. J.P. Morgan Australia Limited (ABN 52 002 888 011) is a licensed securities dealer.
ANNEX B
The JPMorgan EUR Strategic Carry Index
Synthetic Strategy Rules
Last version issued on 28 August 2008
© All Rights Reserved
PART A
1. This Document
1.1 Introduction
This document comprises the rules of the JPMorgan EUR Strategic Carry Index, a currency trading idea generally known as "positive carry" ("Strategy"). This trading idea seeks to capitalize on the carry that can be earned from buying currencies of countries with high interest rates and simultaneously selling currencies of countries with low interest rates. The Strategy implements this idea by replicating notional currency trading positions in Eligible Currency Pairs which, together with the Appendices constitute the "Rules"). Part A of the Rules prescribes the index methodology applicable for the Index (known as the "Strategic Carry Index" and/ or the "Index").
1.2 Publication of the Rules
These Rules are published by J.P. Morgan Securities Ltd. of 125 London Wall, London EC2Y 5AJ, UK in its capacity as Calculation Agent. See Section 6 for further information in connection with publication of the Rules.
1.3 Amendments
These Rules may be amended from time to time at the discretion of the Calculation Agent and will be re-published (see Section 1.2) no later than one calendar month following such amendment.
1.4 Availability of Rules
Copies of the Rules may be obtained by investors free of charge upon request to the Calculation Agent.
1.5 Risks & disclaimers
Please refer to the Risk Factors and associated Disclaimers set out in Parts B and C of the Rules. No assurance can be given that the investment strategy used to construct Strategic Carry Index will be successful or that Strategic Carry Index will outperform any alternative basket or investment strategy that might be constructed from its components.
1.7 No offer of securities
These Rules neither constitute an offer to purchase or sell securities nor specific advice of whatever form (tax, legal, accounting or regulatory) in respect of any investment strategy.
1.7 Rules of construction
A reference to a "Section" means a reference to a clause in this Part A unless the otherwise specified.
2. Summary of Index
2.1 Index comprised of performance of weighted Currency Pairs
The Calculation Agent uses the Strategy to replicate notional currency trading positions in 4 Currency Pairs. These notional currency trading positions are rebalanced on each Rebalancing Date. On such date, the Calculation Agent will determine the Interest Rate for each Eligible Currency and rank them in descending order from the Eligible Currency with the highest Interest Rate down to Eligible Currency with the lowest Interest Rate. The Calculation Agent will then determine the two (2) Currency Pairs with the highest Interest Rate and those two (2) Currency Pairs with the lowest. A synthetic long exposure will be taken with respect to the highest Interest Rate Currency Pairs against the USD and a synthetic short exposure will be taken with respect to the lowest Interest Rate Currency Pairs against the USD.
2.2 Currency Pairs change on Rebalancing Dates
The Index tracks the performance of the weighted individual Currency Pairs. Subject to the occurrence of any Extraordinary Event (see Section 7), the Index shall comprise the same Currency Pairs until the immediately following each Rebalancing Date.
2.3 Synthetic strategy, no underlying assets in basket
Strategic Carry Index is a notional basket of assets because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. Strategic Carry Index merely identifies certain currency pairs, the performance of which is used as a reference point for the purposes of calculating the level of the Index.
3. Calculation Agent
3.1 Identity
JPMSL or any affiliate or subsidiary designated by it will act as calculation agent in connection with the Index (the "Calculation Agent").
3.2 Calculation Agent determinations
All determinations of the Calculation Agent in respect of Strategic Carry Index and interpretation of the Rules shall be final, conclusive and binding and no person shall be entitled to make any claim against any of the Relevant Persons in respect thereof. Once a determination or calculation is made or action taken by the Calculation Agent or any other Relevant Person in respect of any aspect of the Strategic Carry Index, neither the Calculation Agent nor any other Relevant Person shall be under any obligation to revise any determination or calculation made or action taken for any reason.
3.3 Adjustment Factor
An index adjustment factor is applied to the Index Level formula equivalent to point zero zero thirty-seven per cent (0.0037%) per Index Valuation Day calculated on a daily basis and notionally deducted (in arrears) from the level of the Index on each Index Valuation Day.
4. Calculating the Index Level
4.1 Frequency
Subject to the occurrence or existence of a Disrupted Day, the Calculation Agent shall, based on the USD Equivalent Performance of each Selected Currency Pair as of such Index Valuation Day, calculate the Index Level in respect of each Index Valuation Day for Index publication purposes (although the Calculation Agent may calculate the Index Level with greater frequency and share this calculation with its affiliates for internal purposes).
4.2 Index Level
4.2.1 Index Level formula
On any Index Valuation Day, the Index Level is given by the following formula:
(a) in respect of 1 August 2008, 450.3628; and thereafter;
(b) EUR Strategic Carry Index i = EUR Strategic Carry Index i-1 * [ 1 + USD Return i * In-Carry-Trade Indicator i-2 - Adjustment Factor] * [ 1 + USD_FX EUR Return i]
Where:
USD Return i = Wc1(i-2) * USD FXc1(i-2) Return i +Wc2(i-2) * USD FXc2(i-2) Return i + Wc3(i-2) * USD FXc3(i-2) Return i + Wc4(i-2) * USD FXc4(i-2) Returni;
"i" being any Index Valuation Day (expressed as a date) and "i-2" being two Index Valuation Day before "i";
W c1(i-2), W c2(i-2) , W c3(i-2) and W c4(i-2) being the Weight (see 4.3.1) of the Currency Pairs "c1", "c2", "c3" and "c4", as determined two Index Valuation Day before "i"; and
USD FXc1(i-2) Returni, USD FXc2(i-2) Returni USD FXc3(i-2) Returni and USD FXc4(i-2) Returni being USD FXc Returni on Index Value Day "i" of the currencies "c1","c2","c3" and "c4" as such Currency Pairs have been determined two Index Value Day before "i".
4.2.2 In-Carry-Trade Indicator i
This number shall be equal to:
(a) 1, if the rules of the EUR Strategic Carry Index Indicator Schedule indicate that the carry position should apply for day "i"; and
(b) 0, if the rules of the EUR Strategic Carry Index Indicator Schedule indicate that the carry position should not be applied for day "i".
4.2.3 EUR Strategic Carry Index Indicator Schedule
The rules provided to the Calculation Agent on a confidential basis and forming Part D of these Rules and used by the Calculation Agent which provide the value of the "In-Carry-Trade Indicator" described in Section 4.2.2.
4.3 Eligible Currency weightings
4.3.1 Eligible Currency Selection / Weighting table
For any Index Value Day "i", c1(i), c2(i), c3(i) and c4(i) and Weights W c1(i), W c2(i) , W c3(i) and W c4(i) will be determined as follows:
| Eligible Currency | Eligible Currency Selection Criteria | Weight (Wc,i) |
| c1(i) | currency with highest Interest Ratec,i | W c1(i)= 50% |
| c2(i) | currency with 2nd highest Interest Ratec,i | W c2(i) = 50% |
| c3(i) | currency with 2nd lowest Interest Ratec,i | Wc3(i) = - 50% |
| c4(i) | currency with the lowest Interest Ratec,i | Wc4(i) = - 50% |
4.3.2. If Interest Rates are equal
If three or more Currency Pairs have the equal highest/lowest Interest Rates, the Calculation Agent shall select that currency the Interest Rate of which on the immediately preceding Index Valuation Day, in respect of c1(i), was the higher rate, and in respect of c4(i) was the lower rate.
4.4 Calculating Interest Rates
The Interest Rate in respect of any Eligible Currency(c) and any Rebalancing Date is given by the formula:
Interest Rate c,i = Day Count Convention Adjustmentc x LIBOR c,i
Where:
"Day Count Convention Adjustmentc" means:
(a) 1 for "c" = USD, EUR, AUD, NZD, CHF, JPY and CAD; and
(b) 365/360 for "c"=GBP; and
LIBORc,i is the 3-month LIBOR interest rate published on the previous Friday to each Index Value Day "i" for each currency below, displayed on either of the following Bloomberg page and Reuters page:
| Currency "c" | Reuters page | Bloomberg page |
| USD | LIBOR01 for 3m and USD | US0003M Index |
| EUR | LIBOR01 for 3m and EUR | EU0003M Index |
| GBP | LIBOR01 for 3m and GBP | BP0003M Index |
| AUD | LIBOR02 for 3m and AUD | AU0003M Index |
| NZD | LIBOR02 for 3m and NZD | NZ0003M Index |
| JPY | LIBOR01 for 3m and JPY | JY0003M Index |
| CHF | LIBOR02 for 3m and CHF | SF0003M Index |
| CAD | LIBOR01 for 3m and CAD | CD0003M Index |
For the avoidance of doubt, if Index Value Day "I" is a Friday, then the Interest Rate c,i will be the rate published on that date.
4.5 Eligible Currency Rebalancings
4.5.1 Rule
Currency Pairs rebalance on each Rebalancing Date.
4.5.2 When rebalancing takes effect
Rebalancing will take effect at 4pm London time on the Monday following the Rebalancing Date, provided that if such day is a Disrupted Day, rebalancing shall take effect on the next Index Valuation Day that is not a Disrupted Day.
4.6 Rounding
The EUR Strategic Carry Index numbers shall be rounded to the fourth decimal place, with .00001 to .00004 being rounded down and .00005 to .00009 being rounded up.
4.7 Calculating the performance of the Selected Currency Pairs on each Index Valuation Day
4.7.1 USD Performance of Selected Currency Pairs
Please refer to the definition of "USD Equivalent Performance".
4.7.2 Performance of a USD/USD position
In all cases, the USD FX USD Return i = 0% for all Index Valuation Days.
5. Effect of Market Disruption Events
5.1 Effect on Rebalancing Dates
If LIBORc,i is not published on any relevant Rebalancing Date, the Calculation Agent shall take the rate from the first day preceding such day on which the relevant rate is published.
5.2 Effect on Index Valuation Days and the Index Level
If any Index Valuation Day is a Disrupted Day, the Calculation Agent may, but is not obliged to calculate and publish its good faith estimate of the Index. Any such estimated value may be subject to correction once the relevant Market Disruption Event ceases.
6. Publication of Index Levels
6.1 Publication source
The Index Level shall be published on Bloomberg®. (Bloomberg ticker SCIIEUR Index).
6.2 Impact of force majeure on publication source
The Calculation Agent shall not be obliged to provide the Index Level by any alternative method if the Bloomberg ticker is subject to any delay in or interruptions of publication or as a result of the occurrence of a Force Majeure Event.
6.3 No obligation to publish on Disrupted Days
The Calculation Agent is not obliged to publish the Index Level in respect of any day which is a Disrupted Day, although it may nevertheless do so retrospectively.
6.4 Format of publication; number of decimal places
The Index Level will be reported to four (4) decimal places (although the Calculation Agent may maintain a record of the Index Level with greater precision for internal purposes) on every Index Valuation Day.
6.5 Index Start Date and Index Relaunch Date
The Index in its current form was relaunched on the Index Relaunch Date but acts as a successor index to the Bear Stearns Smart Carry Index which was first published on the Index Start Date. See Part C for further details.
7. Extraordinary Events
7.1 Successor Currency Pair
The lawful currency of any country included as an Eligible Currency is deemed to include the lawful successor currency ("Successor Currency") of that country. If a country lawfully eliminates, converts, redenominates or exchanges its currency for any Successor Currency, then such affected Eligible Currency shall be deemed replaced by such Successor Currency.
7.2 Alteration of Currency Pairs
To the extent that any such elimination, conversion, redenomination or exchange results in the Eligible Currencies of any Eligible Currency Pair being the same or results in one Eligible Currency Pair being the same as another Eligible Currency Pair, then the Eligible Currency Pair(s) affected by such elimination, conversion, redenomination or exchange (as determined by the Calculation Agent) shall be removed from the list of Eligible Currency Pairs on a date selected by the Calculation Agent acting in good faith, and from such date the list of Eligible Currency Pairs shall consist of the remaining Eligible Currency Pairs only. If the remaining Eligible Currency Pairs number four (4) or less, then the composition of the Index will become static and there will be no further rebalancings.
8. Corrections
If:
(a) any relevant data published by the relevant recognised financial information source selected by the Calculation Agent acting in good faith and used in any calculation or determination herein is subsequently corrected before the next Rebalancing Date; or
(b) the Calculation Agent identifies an error or omission in any of its calculations or determinations in respect of Index Level,
then, the Calculation Agent may, if practicable and it considers such correction material, adjust or correct the published Index Level for such day and each subsequent Index Valuation Day and publish such corrected Index Level(s) as soon as reasonably practicable.
9. Responsibility for the Rules; Limitations on liability
9.1 Calculation Agent standards
The Calculation Agent shall act in good faith and in a commercially reasonable manner.
9.2 Ambiguities in the Rules
Whilst these Rules are intended to be comprehensive, ambiguities may arise. If so, the Calculation Agent will resolve such ambiguities and, if necessary, amend these Rules to reflect such resolution.
9.3 Limitation of liability
No Relevant Person shall have any responsibility to any person (whether as a result of negligence or otherwise) for any determinations made or anything done (or omitted to be determined or done) in respect of Strategic Carry Index or in respect of the publication of the Index Level (or failure to publish such level) or any use to which any person may put Strategic Carry Index or the Index Levels.
10. Miscellaneous
10.1 Determinations
Any determination required to be made or action required to be taken in respect of Strategic Carry Index on a day that is not an Index Valuation Day, shall be made or taken (as the case may be) on the next following Index Valuation Day.
10.2 Governing law
These Rules shall be governed by and construed in accordance with the laws of England.
11. Definitions
Capitalised terms not otherwise defined herein shall have the following meanings:
"Calculation Agent" see Section 3;
"Currency Business Day" means, in respect of each Currency Paircp, the corresponding Currency Business Day in the following table:
| Currency Pair "cp" | Currency Business Days |
| EUR/USD | TARGET |
| GBP/USD | London |
| NZD/USD | Wellington and Auckland |
| AUD/USD | Sydney |
| USD/JPY | Tokyo |
| USD/CHF | Zurich |
| USD/CAD | Toronto |
"Currency Pair" or "Eligible Currency Pair" means each of the currency pairs listed: EUR/USD; GBP/USD; NZD/USD; AUD/USD; USD/JPY; USD/CHF; and USD/CAD, levels for which are provided by the WM Company;
"Disrupted Day" means a day on which a Market Disruption Event occurs or exists;
"Eligible Currency" means the individual currencies listed in the definition of "Currency Pair". See also Section 4.3.1;
"Force Majeure Event" any event beyond the control of the Calculation Agent, including any act of God, act of governmental authority, or act of public enemy, or due to war, the outbreak or escalation of hostilities, fire, flood, civil commotion, insurrection, labour difficulty including, without limitation, any strike, other work stoppage, or slow-down, severe or adverse weather conditions, power failure, communications line or other technological failure;
"FX Disruption Event" means:
(a) an event in relation to Eligible Currency of an Eligible Currency Pair (as the case may be, the "Relevant Currency") which has the effect of preventing, restricting or delaying the Calculation Agent from:
(i) converting the Relevant Currency into USD through customary legal channels; or
(ii) converting the Relevant Currency into USD at a rate at least as favourable as the rate for domestic institutions located in the country whose lawful currency is the Relevant Currency (the "Relevant Country"); or
(iii) delivering the Relevant Currency from accounts inside the Relevant Country to accounts outside the Relevant Country; or
(iv) delivering the Relevant Currency between accounts inside the Relevant Country or to a party that is a non-resident of the Relevant Country; or
(b) the imposition by Relevant Country (or any political or regulatory authority thereof) of any capital controls, or the publication of any notice of an intention to do so, which the Calculation Agent determines in good faith is likely materially to affect its ability to obtain a reliable spot exchange rate from a recognised financial source; or
(c) the implementation by the Relevant Country (or any political or regulatory authority thereof) or the publication of any notice of an intention to implement any changes to the laws or regulations relating to foreign investment in the Relevant Country (including, but not limited to, changes in tax laws and/or laws relating to capital markets and corporate ownership), which the Calculation Agent determines are likely to materially affect the Calculation Agent's ability to obtain a reliable spot exchange rate from a recognised financial information source;
"Inconvertibility Event" means any event that affects the convertibility of any Eligible Currency within an Eligible Currency Pair in USD on any date and at the relevant time that the Calculation Agent calculates the relevant USD Equivalent Return for such non-USD Eligible Currency;
"Index Level" means the level of the Index, determined in accordance with the Rules;
"Index Relaunch Date" 1 August 2008;
"Index Start Date" 15 November 2007;
"Index Valuation Day" means each day (other than a Saturday or a Sunday;
"Interest Rate See Section 4.4;
"Market Disruption Event" means, in respect of an Currency Pair and an Index Valuation Day (as the case may be):
(a) the failure by the WM Company publish either or both of FX_Spot_Fixingi,cp or FX Tom Next Fixingi,cp;
(b) the non-publication of the Interest Ratei,c; or
(c) the occurrence or existence of an Inconvertibility Event or an FX Disruption Event that the Calculation Agent determines is material or a Price Source Disruption;
"Price Source Disruption" means, in respect of an Eligible Currency Pair or Interest Rate, that it is impossible or practically difficult after using commercially reasonable efforts for the Calculation Agent to obtain a reliable quote for the relevant spot exchange rate or interest rate (as the case may be);
"Rebalancing Date" means, (subject to the occurrence of a Market Disruption Event) each Friday that is a London Business Day;
"Relevant Person" means the Calculation Agent or any of its affiliates or subsidiaries or their respective directors, officers, employees, representatives, delegates or agents (as the case may be);
"Rules" means the rules of the Strategic Carry Index as set out in this document (including Part D), as the same may be amended, supplemented and/or restated from time to time;
"Selected Currency Pair" means the Eligible Currency Pairs selected to form part of the Index from one Rebalancing Date to the following Rebalancing Date (see Section 4.3.1);
"Strategic Carry Index" means the index documented in accordance with these Rules;
"Spot Settlement Datei,cp" Means, in respect of any spot foreign exchange transaction on Index Valuation Dayi, the settlement date for such transaction occurring two (2) Currency Business Days for the applicable non-USD Eligible Currency within the Currency Pair and, if USD/CAD is the Currency Pair, then the settlement date shall occur one (1) Currency Business Day after the transaction, where such date is also a USD Currency Business Day and, if it is not a USD Currency Business Day, the settlement date shall be the first day which a Currency Business Day in respect of each Eligible Currency;
"Successor Currency Pair" has the meaning give to such term in paragraph 7.1 (Successor Currency Pair) of these Rules;
"USD" means the lawful currency of the United States of America; and
"USD Equivalent Performance or USD FXc Returni" means, in respect of Index Valuation Dayi, and Eligible Currencyc:
Where:
FX Conventionc = 1 for "c" = JPY, CAD and CHF;
FX Conventionc = -1 for "c"= EUR, GBP, AUD and NZD;
cp(c) = EUR/USD, GBP/USD, AUD/USD and NZD/USD for c = EUR, GBP, AUD and NZD, respectively; and
cp(c) = USD/JPY, USD/CAD and USD/CHF for c = JPY, CAD and CHF, respectively.
FX_Tom_Spot i,cp, in respect of Index Valuation Dayi, and Eligible Currencyc: means:
FX_Tom_Spot i,cp = FX_Spot_Fixing i-1,cp + FX Tom Next Fixing i,cp
Where:
FX Tom Next Fixingi,cp means the relevant FX T/N swap level in respect of each Eligible Currency Pair provided to the Calculation Agent in respect of each Index Valuation Day by the WM Company, based on the WM 4pm mid rate, provided that, if on any Index Valuation Dayi, the Spot Settlement Datei,cp for trades undertaken on such day is the same as the Spot Settlement Datei-1,cp (for trades undertaken on the previous Index Valuation Day"i-1") then FX Tom Next Fixingi,cp will be zero; and
FX_Spot_Fixingi,cp means, on any Index Valuation Dayi, the level published in respect of an Eligible Currency Pair"cp provided to the Calculation Agent in respect of such Index Valuation Day by the WM Company, based on the WM London 4pm mid rate; and
"WM Company" means the World Markets Public Limited Company.
PART B
RISK FACTORS
The following list of risk factors does not purport to be a complete enumeration or explanation of all the risks associated with Strategic Carry Index.
1 Past performance should not be used as a guide to future performance
The past performance of any other Strategic Carry Index should not be used as a guide to future performance of that index or the Index. Any back-testing or similar analysis performed by any person in respect of Strategic Carry Index must be considered illustrative only and may be based on estimates or assumptions not used by the Calculation Agent when determining the Index Level pursuant to these Rules.
2 Synthetic Exposure to foreign exchange
The Strategic Carry Index Indices are purely synthetic. There is no pool of currency pairs to which any person is entitled or in which any person has any ownership interest or which serve as collateral for the return on any product referencing Strategic Carry Index.
3 Market risk
Prices for currency pairs are affected by a variety of factors, including changes in supply and demand relationships, governmental announcements and policies, national and international political and economic events, wars and acts of terror, changes in interest and exchange rates, trading and speculative activities in currencies and related contracts, fiscal, monetary and exchange control policies. The price of any one currency pair may be correlated to a greater or lesser degree with any other currency pair and factors affecting the general supply and demand as well as the prices of other currencies may affect the particular currency pair in question.
Exchange rates can be volatile and move dramatically over short periods of time. Whilst the Strategy restricts the currency pairs in which it takes notional trading positions to the currencies listed in Section 11 (Definitions), there can be no assurance that these currencies will not be subject to substantial volatility. Profits earned by the Strategy from the Carry for any Eligible Currency Pair may therefore be reduced or eliminated entirely due to movements in the FX Rate for such currency pair. Such movements may even result in a substantial loss.
In addition, the Index Level is calculated and published in EUR. Accordingly, movements in the foreign exchange rate for any Eligible Currency (as the case may be) of each against the EUR will also have an impact on the Index Level.
Changes in factors affecting the performance of the Currency Pairs may adversely impact the performance of the Index.
4 Carry trade investment strategy
The Strategic Carry Index strategy is based on a currency trading idea known as "positive carry", and seeks to capitalize on the Carry that might be earned from notional trading positions in the Eligible Currency Pairs.
No assurance can be given that the investment strategy used to construct Strategic Carry Index will be successful or that Strategic Carry Index will outperform any alternative basket that might be constructed from the Currency Pairs.
5 Leverage
While the use of leverage by the Strategy presents opportunities for increasing the return from any notional currency trading position in a Selected Currency Pair, it increases the potential risk of loss as well. Any event which adversely affects the value of a notional currency trading position in any Selected Currency Pair will be magnified to the extent the Strategy is leveraged. The combination of foreign exchange rate volatility (as discussed above) and leverage can further increase the risk of a loss.
6 Interest Rate Fluctuations
The Strategy takes positions in the listed currencies based on the Carry observed for the Eligible Currency Pairs. Carry is the amount of money earned from borrowing in a currency with a low interest rate and investing in a currency with a high interest rate. Like foreign exchange rates, interest rates can be volatile and may move in directions not anticipated. Fluctuations in Interest Rates for the Selected Currency Pairs will affect the Return earned by the Strategy from the notional currency trading positions in such pairs and may result in losses.
7 Return on synthetic basket necessarily different from investment in physical underlyings
The results that may be obtained from investing in any security or investment or otherwise participating in any transaction linked to Strategic Carry Index might well be significantly different from the results that could theoretically be obtained from a direct investment in the Currency Pairs or any related derivatives. Such differences may arise for a number of reasons including, but not limited to, the adjustment factors (if any) deducted from the Index Level.
8 Extraordinary Events
To the extent that any such elimination, conversion, redenomination or exchange results in the Eligible Currencies of any Eligible Currency Pair being the same or results in one Eligible Currency Pair being the same as another Eligible Currency Pair, then the Eligible Currency Pair(s) affected by such elimination, conversion, redenomination or exchange (as determined by the Calculation Agent) shall be removed from the list of Eligible Currency Pairs on a date selected by the Calculation Agent acting in good faith, and from such date the list of Eligible Currency Pairs shall consist of the remaining Eligible Currency Pairs only. If the remaining Eligible Currency Pairs number four (4) or less, then the composition of the Index will become static and there will be no further rebalancings.
9. Calculation Agent discretion
The Calculation Agent is entitled to exercise certain discretions in relation to Strategic Carry Index, including but not limited to, the determination of the values to be used in the event of Market Disruption Events and the interpretation of these Rules. Although the Calculation Agent will make all determinations and take all action in relation to Strategic Carry Index acting in good faith, such discretion could have an impact, positive or negative, on the Index Level.
10. Potential Conflicts of Interest
Potential conflicts of interest may exist in the structure and operation of Strategic Carry Index and the conduct of normal business activities by any Relevant Person. Please refer to the following Part C for further details.
The foregoing list of risk factors is not intended to be exhaustive. Anyone reading these Rules should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on any Relevant Person to satisfy themselves that they fully understand these Rules and the risks associated with Strategic Carry Index.
Part C
NOTICES, DISCLAIMERS AND CONFLICTS
The original index sponsor for the original Smart Carry Index was Bear Stearns Asia Limited. As a consequence of the merger between The Bear Stearns Companies Inc. and JPMorgan Chase & Co., effective 1 June 2008, the original index has been relaunched as the JPMorgan Strategic Carry Index. Prior to the Index Start Date, the Index performance displayed on Bloomberg commencing in April 1995 is created from hypothetical back-testing. The Index commenced actual live performance on the Index Start Date and was calculated on the basis of the previous index rules. From the Index Relaunch Date, the current Index Rules described in this document apply and the material changes from the original Index are (i) a change in the fixing source from Citibank FX bench to the WM Company; (ii) the change from the Spot Next to Tom Next to determine the USD Equivalent Performance; and (iii) the change from Standard & Poors to J.P. Morgan Securities Ltd. as Calculation Agent.
These Rules have been prepared solely for informational purposes and nothing herein constitutes an offer to buy or sell any securities, participate in any transaction or adopt any investment strategy or as legal, tax regulatory or accounting advice. The Rules are of the date specified above and may change at any time without prior notice.
No Relevant Person makes any representation or warranty, whatsoever, express or implied, as to the results that may be obtained through the use of these Rules or the Strategic Carry Index.
Each Relevant Person hereby expressly disclaims, to the fullest extent permitted by law, all warranties of accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any information contained in this document and no Relevant Person shall have any liability (direct or indirect, special, punitive, consequential or otherwise) to any person even if notified of the possibility of any such damages.
The Calculation Agent is under no obligation to continue the calculation, publication and dissemination of the Index or the Index Level.
During the course of their normal business, the Calculation Agent or any other Relevant Person may enter into or promote, offer or sell transactions or investments (structured or otherwise) linked to Strategic Carry Index and/or any of the Currency Pairs. In addition, any Relevant Person may have, or may have had, interests or positions, or may buy, sell or otherwise trade positions in or relating to Strategic Carry Index or any of the Currency Pairs, or may invest or engage in transactions with other persons, or on behalf of such persons relating to any of these items. Such activity may or may not have an impact on the Index Level but all persons reading these Rules should be aware that a conflict of interest could arise where anyone is acting in more than one capacity.
Neither the Calculation Agent nor any other Relevant Person has any duty to consider the circumstances of any person when participating in such transactions or to conduct themselves in a manner that is favourable to any person.
The Rules have been developed with the possibility of the Calculation Agent or any of the Relevant Persons entering into or promoting, offering or selling transactions or investments (structured or otherwise) linked to Strategic Carry Index, and hedging the obligations that might arise under any such transactions or investments.
The Index provides an exposure of a notional basket of assets because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. Strategic Carry Index merely identifies certain assets in the market, the performance of which will be used as a reference point for the purposes of calculating the Index Level.
An index adjustment factor is applied to the Index Level formula equivalent to point zero zero thirty-seven per cent (0.0037%) per Index Business Day calculated on a daily basis and notionally deducted (in arrears) from the level of the Index on each Index Valuation Day.
The Calculation Agent need not publish the Index Level by any alternative method if the relevant Bloomberg ticker is subject to any delay in or interruptions of publication for any reason including the occurrence of a Force Majeure Event.
No one may reproduce or disseminate the information contained in these Rules or the Index Level without the prior written consent of the Calculation Agent. Strategic Carry Index is the intellectual property of the Calculation Agent and may only be used (as an underlying for financial products or otherwise) by third parties who have entered into a licence agreement with the Calculation Agent. These Rules are not intended for distribution to, or use by any person in, a jurisdiction where such distribution is prohibited by law or regulation.
Copyright JPMorgan Chase & Co. 2008. All rights reserved. JPMorgan is the marketing name for J.P. Morgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities Inc. is a member of NYSE and SIPC. JPMorgan Chase Bank is a member of FDIC. J.P. Morgan Futures Inc. is a member of the NFA. J.P. Morgan Securities Ltd. and J.P. Morgan plc are authorised by the FSA and members of the LSE. J.P. Morgan Europe Limited is authorised by the FSA. J.P. Morgan Equities Limited is a member of the Johannesburg Securities Exchange and is regulated by the FSB. J.P. Morgan Securities (Asia Pacific) Limited and Jardine Fleming Securities Limited are registered as investment advisers with the Securities & Futures Commission in Hong Kong and their CE numbers are AAJ321 and AAB026 respectively. Jardine Fleming Singapore Securities Pte Ltd is a member of Singapore Exchange Securities Trading Limited and is regulated by the Monetary Authority of Singapore ("MAS"). J.P. Morgan Securities Asia Private Limited is regulated by the MAS and the Financial Supervisory Agency in Japan. J.P. Morgan Australia Limited (ABN 52 002 888 011) is a licensed securities dealer.
ANNEX C
The J.P. Morgan
HELIX Strategy
(EUR)
Strategy Rules
23 February, 2010
© All Rights Reserved
Table of Contents
1......... Introduction
2......... General Notes on the HELIX Strategy
3......... Trading Signals, Roll-forwards and Rebalancing
4......... Publication of the HELIX Index Level
5......... Strategy Calculation Agent
6......... Calculating HELIX Index Level
7......... Market Disruption Events / Strategy Calculation Agent failure to publish
8......... Corrections
9......... Responsibility
10....... Miscellaneous
11....... Definitions
Risk Factors
Notices, Disclaimers and Conflicts
1. Introduction
This document comprises the Rules of the J.P. Morgan HELIX Strategy (the "HELIX Strategy") and the associated index ("Index" and "Index Level"). The Rules may be amended from time to time without notice but will be available from J.P. Morgan Securities Ltd. ("JPMSL") upon request. A change will in general only be made where it is required to update these Rules or to address an error, omission or ambiguity.
This document is published by JPMSL of 125 London Wall, London EC2Y 5AJ, United Kingdom in its capacity as Strategy Calculation Agent.
ALL PERSONS READING THIS DOCUMENT SHOULD REFER TO THE RISK FACTORS, DISCLAIMERS AND CONFLICTS SECTIONS BELOW AND CONSIDER THE INFORMATION CONTAINED IN THIS DOCUMENT IN LIGHT OF SUCH RISK FACTORS, DISCLAIMERS AND CONFLICTS.
NOTHING HEREIN CONSTITUTES AN OFFER TO BUY OR SELL ANY SECURITIES, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE.
2. General Notes on the HELIX Strategy
2.1 Algorithmic Strategy
The HELIX Strategy is a deterministic algorithm that replicates synthetic purchases and sales of a portfolio of futures contracts. The purchases and sales are synthetic because the Strategy does not directly enter into these purchases and sales of such contracts, and as such, the HELIX Strategy will not affect the physical delivery of any Futures Contract position.
The HELIX Strategy is a synthetic strategy. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest.
The HELIX Strategy uses a method known as "Risk Weighted Momentum" which entails the calculation of the ratio of a weighted moving average divided by historic volatility. The HELIX Strategy model, at any given time, consists of long or short synthetic positions in the following eight assets: the next four to expire of the Euronext.Liffe 3m Euribor Futures ("Euronext.Liffe 3m Euribor Futures" or "ERF") and/or the first four next to expire CME 3m Eurodollar Futures ("CME 3m Eurodollar Futures" or "EDF"). The algorithm applies 0.5 times leverage to the aggregate net movement of the synthetic positions comprising the Strategy. Each of these Underlying Contracts is further described in Section 2.2.
2.2 The Underlying Contracts
The following two futures contracts form the basis of the basket of the 8 Futures Contracts within the Strategy, additional characteristics of which are described in the definition section of these Rules:
1. Euronext.Liffe 3m Euribor Futures (Code: ER) are exchange-traded futures contracts referencing a notional three-month EBF Euribor money market deposit, each having a face value of EUR 1,000,000 and which expire every three months; and
2. CME 3m Eurodollar Futures (Code: ED) are exchange-traded futures contracts referencing a notional three-month BBA USD LIBOR money market deposit, each having a face value of USD 1,000,000 and which expire every three months.
3. Trading Signals, Roll-forwards and Rebalancing
(a) Trading Signals
At the end of each Scheduled Trading Day, the HELIX Strategy calculates a Trading Signal in respect of each Futures Contract based on historical volatility relative to the historical return for each of the 8 Futures Contracts in the Strategy over a fixed time period as set out further in the following definitions.
The Trading Signal, on any Scheduled Trading Day, for any give Underlying Contract, is the quotient of:
(i) The Exponentially Weighted Moving Average of Returns of the Futures Contract for each Scheduled Trading Day from, and including 5 January 1999 to, and including, the Scheduled Trading Day on which the calculation is made, divided by,
(ii) The Exponentially Weighted Volatility of Returns of such contract from, and including 5 January 1999 (again, including, the Scheduled Trading Day on which the calculation is made).
For the purpose of this section:
"Exponentially Weighted
Moving Average of Returns" means, in respect of the each individual Futures Contract k, where k refers to each Futures Contract within the Strategy:
where the sample series is the series of daily Logarithmic Returns (based on official closing prices) of each the Futures Contract k on any Scheduled Trading Day t since inception of the Strategy Index.
"Logarithmic Return" or (xtk) means, with respect to each Futures Contract k:
where:
and give the official closing price of Futures Contract k on Scheduled Trading Dayst and t-1 respectively.
"" or"Volatility of Returns" means, with respect to each Futures Contract k, the twenty (20) day standard deviation of the sample series
"" or "Exponentially Weighted
Volatility" means, in respect of the Futures Contract k, and using the sample series …, the exponential weighted moving average given by:
Where:
"" or "lambda"
means, in respect of each Futures Contract k and any Scheduled Trading Day, the constant factor for each such individual Futures Contract, defined and applied by the Strategy Calculation Agent from Strategy inception to calculate the Exponential Weighted Moving Average of Returns and Exponentially Weighted Volatility.
(b) Trading Signal Rebalancing
The Strategy rebalances depending on the result of the Trading Signal and subject to the following conditions:
(i) Trade signals
With respect to any Futures Contract k, if the Trading Signal for such contract is:
(a) greater than or equal to zero ("0"), the Strategy recommends a (or hold, if already implemented) a synthetic long position on Futures Contract k; or
(b) less than zero ("0"), the Strategy recommends (or hold, if already implemented) a synthetic short position on Futures Contract k.
(ii) Minimum holding period for Futures Contract positions
In all cases, the minimum holding period for any synthetic trading exposure in the Strategy (long or short synthetic positions) is two Scheduled Trading Days.
(iii) Equalization
On the first Scheduled Trading Day of every month, the Strategy automatically rebalances so as to re-set its proportional position to 12.5% per Futures Contract.
(c) Roll forward of the Futures Contracts
Each of the Future Contracts undergoes a systematic roll-forward on their respective Future Roll Days as further described below:
(i) For the Euronext.Liffe 3m Euribor Futures, the Strategy notionally rolls over from the nearest delivery quarterly ERF to the following ERF on the tenth (10th) Scheduled Trading Day in the month on which such nearest delivery quarterly ERF expires (an "ERF Roll Day"); and
(ii) For the CME 3m Eurodollar Futures, the Strategy notionally rolls over from the nearest delivery quarterly EDF to the following EDF on the tenth (10th) Scheduled Trading Day in the month on which such nearest delivery quarterly EDF expires(an "EDF Roll Day").
As the Strategy undertakes a synthetic roll-forward between these futures contracts only, the Index Level is not affected by any difference in the quoted price/ level between the futures contracts in question on any Future Roll Date, including without limitation, the effects of backwardisation or contango.
4. Publication of the HELIX Index Level
4.1 Publication timing
The Index Level will be calculated and published in EUR by the Strategy Calculation Agent on each Scheduled Trading Day at Bloomberg page JHLXHEU. This is the official source for the Index Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial.
4.2 No obligation to publish
Neither the Index Allocation Agent nor the Index Calculation Agent is under any obligation to continue the calculation, publication and dissemination of the Index.
4.3 Rounding
The Index Level shall be expressed to two to three decimal places as determined in the Strategy Calculation Agent's sole discretion.
5. Strategy Calculation Agent
JPMSL or any affiliate or subsidiary designated by it acts as calculation agent for the HELIX Strategy (the "Strategy Calculation Agent"). The Strategy Calculation Agent's determinations in respect of the HELIX Strategy and interpretation of these Rules shall be final.
Please refer to the Statement of Responsibility below in Section 9 for further information.
6. Calculating HELIX Index Level
The Index Level is calculated in EUR in accordance with the following formula:
Index Levelt = Index Levelt-1 x (1 + HELIX Strategy Returnj)
where:
Index Levelt means the Index Level on Scheduled Trading Dayt;
Index Levelt-1 means the Index Level on the Scheduled Trading Day immediately preceding Scheduled Trading Dayt and for 1st February 1999 the Index Level is deemed to have been 100;
HELIX
Strategy
Returnt means, on any Scheduled Trading Dayt, a return given by the following formula:
Where:
means, with respect to any Futures Contract k, the Contract Return on day t, given by the following formula:
Where:
means, with respect to the Futures Contract k, the Contract Return on day t-1;
means 1 if t-1 is an Equalization Day and 0 if t-1 is not an Equalization Day;
means, with respect to the relevant Futures Contract k, the Trading Position for that Futures Contract which shall be "1" if the Trading Signal on such Scheduled Trading Day recommends a long position, and otherwise, it shall be "-1" for a short position recommendation;
means, on any Scheduled Trading Dayt the Daily Contract Return for the relevant Futures Contract k, given by the following formula:
where:
means, on any Scheduled Trading Dayt,, the official closing level of the relevant Futures Contract k published by the Relevant Exchange; and
means the official closing level of the relevant Futures Contract k on the Scheduled Trading Day published by the Relevant Exchange immediately preceding Scheduled Trading Dayt and provided that for each Futures Contract k, if Scheduled Trading Dayt is not an Exchange Trading Day, shall be deemed to be zero (0) for such futures contract on such day t;
means:
(a) 1, 2, 3 or 4 for the first, second, third and fourth EDF contracts (ranked in terms of chronology of their respective expiration dates); and
(b) 5, 6, 7, 8 for the first, second, third and fourth ERF contracts (ranked in terms of chronology of their respective expiration dates);
means, on any Scheduled Trading Dayt, the official closing level of the EUR/USD Exchange Rate published by the WM Company on Bloomberg page WMCO at 4 p.m. London time on each Scheduled Trading Day; and
means the official closing level of the EUR/USD exchange rate published by the WM Company on Bloomberg page WMCO at 4 p.m. London Time on the Scheduled Trading Day immediately preceding Scheduled Trading Dayt.
7. Market Disruption Events / Strategy Calculation Agent failure to publish
In respect of any Futures Contract k, if any Scheduled Trading Day is a Disrupted Day, the Strategy Calculation Agent may:
(i) determine the level of each unaffected Futures Contract k; and
(ii) add to such calculation in (i) the most recently published official closing level of the affected Futures Contract k (the "Affected Contract") which has been most recently published by the Relevant Exchange as an official closing level.
If, in the Strategy Calculation Agent's reasonable determination, the reason for the Relevant Exchange's failure to publish prices/ levels for any Futures Contract in question is that the Relevant Exchange is either unable or unwilling to publish such prices/ levels for whatever reason, the Strategy Calculation Agent may, acting in a good faith and commercially reasonable manner, select (a) a replacement underlying futures contract traded on an equivalent European or U.S. exchange and having similar characteristics to the Affected Contract; and (b) the date of such replacement.
If the day in question is not a Disrupted Day but the Strategy Calculation Agent nevertheless fails to publish the Strategy Index Level (a "Non-Publication Day"), then the Strategy Calculation shall as soon as reasonably practicable after such day or days (as the case may be) publish its good faith estimate of the Index Level in respect of such Non-Publication Day.
8. Corrections
If any publicly available financial information (including, but not limited to, interest rates, spot exchange rates, index levels, price earning ratios and volatility levels) published by the relevant recognised financial information source selected by the Strategy Calculation Agent acting in good faith and used in any calculation or determination herein is subsequently corrected, or the Strategy Calculation Agent identifies an error or omission in any of its calculations or determinations in respect of the HELIX Strategy, the Strategy Calculation Agent may, if the Strategy Calculation Agent determines that such error, omission or correction (as the case may be) is material and it is practicable, adjust or correct the relevant calculation or determination to take into account such correction as soon as reasonably practicable to do so.
9. Responsibility
The Strategy Calculation Agent shall act in good faith and in a commercially reasonable manner.
Whilst these Rules are intended to be comprehensive, ambiguities may arise. In such circumstances the Strategy Calculation Agent shall resolve such ambiguities in a reasonable manner and, if necessary, amend these Rules to reflect such resolution.
Neither the Strategy Calculation Agent nor any or its affiliates or subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents (each a "Relevant Person") shall have any responsibility to any person (whether as a result of negligence or otherwise) for any determinations made or anything done (or omitted to be determined or done) in respect of the HELIX Strategy or publication of the Index Level (or failure to publish such level) and any use which any person may put the HELIX Strategy or the Index Level. All determinations in respect of the HELIX Strategy and the Index Level shall be final, conclusive and binding and no person shall be entitled to make any claim against any of the Relevant Persons in respect thereof. Once a determination or calculation is made or action taken by the Strategy Calculation Agent in respect of the HELIX Strategy, neither the Strategy Calculation Agent or any other Relevant Person shall be under any obligation to revise any determination or calculation made or action taken for any reason.
10. Miscellaneous
Except where expressly stated otherwise herein, any determination required to be made or action required to be taken in respect of the HELIX Strategy on a day that is not a Scheduled Trading Day, shall be made or taken (as the case may be) on the next following Scheduled Trading Day.
11. Definitions
Terms not otherwise defined herein shall have the following meanings:
"CME 3m Eurodollar Future" means an agreement, executed on the Chicago Mercantile Exchange, referencing a notional three-month BBA Libor money market deposit, each having a face value of USD 1,000,000 and which expire every three months.
"Delivery Month" means, with respect to each Futures Contract, the month in which such contract expires.
"Disrupted Day" means, on any Scheduled Trading Day, the occurrence or existence of a Market Disruption Event.
"EC Treaty" means the Treaty establishing the European Community (signed in Rome on March 25, 1957), as amended by the Treaty on European Union (signed in Maastricht on February 7, 1992) and as amended by the Treaty of Amsterdam (signed in Amsterdam October 2, 1997), as further amended from time to time.
"EDF Roll Day" see Section 3(c).
"ERF Roll Day" see Section 3(c).
"EUR or Euro" means the lawful currency of the member states of the European Union that adopt the single currency in accordance with the EC Treaty.
"EUR/USD Exchange Rate" means on any relevant day, the spot exchange rate determined by the Strategy Calculation Agent to convert one (1) EUR into USD published by the WM Company on Bloomberg page WMCO at 4 p.m. London time, or if such primary source is or becomes unavailable or impractical to reference, any equivalent alternative price source as determined by the Strategy Calculation Agent in its sole discretion.
"Euronext.Liffe 3m Euribor Future" means an agreement, executed on Euronext.Liffe, referencing a notional three-month EBF Euribor money market deposit, each having a face value of EUR 1,000,000 and which expire every three months.
"Equalization Day" means the first day of each month which is a Scheduled Trading Day for all of the Relevant Exchanges.
"Exchange Trading Day" means, with respect to each Relevant Exchange, a day that is a Scheduled Trading Day for such exchange.
"Future Roll Day" means, with respect to each Futures Contract in each case subject to the occurrence of a Market Disruption Event either an EDF Roll Day or an ERF Roll Day, as the case may be.
"Futures Contracts" has the meaning given to such term in Section 2.
"Market Disruption Event" means, for any reason on any Scheduled Trading Day, the failure of any Relevant Exchange to report an official closing price in respect of the then current Futures Contract.
"HELIX Strategy" means the Strategy as more fully described in Section 2 and following.
"HELIX Index Level" or
"Index Level" means the level of the HELIX Index Level as calculated in accordance with the provisions in Section 6.
"Relevant Exchanges" means, in respect of each of the Underlying Contract:
(a) for an ERF, Euronext.Liffe; and
(b) for an EDF, the Chicago Mercantile Exchange.
"Scheduled Trading Day" means in respect of each Futures Contract, a day on which any Relevant Exchange is scheduled to be open for trading for their regular trading session, or in respect of any such exchange, any successor exchange thereof (broadly construed as occurring as a result of a merger, acquisition or otherwise).
Risk Factors
The following list of risk factors does not purport to be a complete enumeration or explanation of all the risks associated with the HELIX Strategy.
- Lack of Operating History
The HELIX Strategy is only recently established and therefore has no history to evaluate its likely performance. Any back-testing or similar analysis performed by any person in respect of the HELIX Strategy must be considered illustrative only and may be based on estimates or assumptions not used by the Strategy Calculation Agent when determining the HELIX Index Level.
Past performance should not be considered indicative of future performance.
- HELIX Index Level
Futures contract prices, Interest rates and foreign exchange rates can be volatile and move dramatically over short periods of time. Whilst the HELIX Strategy restricts weighting in which it takes notional trading positions, there can be no assurance that these trading positions will not be subject to substantial loss. Furthermore, the HELIX Strategy hedges foreign exchange exposure on a monthly basis only and remains exposed to intra-month exchange rate volatility. Profits earned by the HELIX Strategy may therefore be reduced or eliminated entirely due to movements in any of these market parameters.
- Price distortion
The Strategy rebalances each month. During each rebalancing period the synthetic notional value of a Futures Contract may diverge significantly from that of the other contract(s). Consequently, any material divergences may cause the relative daily performance of any Futures Contract (expressed as a percentage) to be diluted or enhanced as a function of the respective sizes of the resultant notional positions given by the Futures Contracts. Investors should therefore expect the Index to perform differently from a pure determination of the relative outright performance of the respective synthetic Futures Contracts. To avoid the continuation of any intra-month performance distortion, and as already mentioned, the Futures Contract exposures are reset to equal weightings on a monthly basis.
Potential Conflicts of Interest
Potential conflicts of interest may exist in the structure and operation of the HELIX Strategy and the course of the normal business activities of the Strategy Calculation Agent and any of its affiliates or subsidiaries or their respective directors, officers, employees, representatives, delegates or agents (each a "Relevant Person").
During the course of their normal business, each Relevant Person may enter into or promote, offer or sell transactions or investments (structured or otherwise) linked to the HELIX Strategy and/or any of the notional trading positions. In addition, any Relevant Person may have, or may have had, interests or positions, or may buy, sell or otherwise trade positions in or relating to the HELIX Strategy or any of the notional trading positions, or may invest or engage in transactions with other persons, or on behalf of such persons relating to any of these items. Such activity may or may not have an impact on the Index Level but all persons reading this document should be aware that a conflict of interest could arise where anyone is acting in more than one capacity, and such conflict may have an impact, positive or negative on the Index Level. Neither the Strategy Calculation Agent nor any other Relevant Person has any duty to consider the circumstances of any person when participating in such transactions or to conduct themselves in a manner that is favourable to anyone with exposure to the HELIX Strategy.
No assurance can be given that the strategies used to construct the HELIX Strategy will be successful.
The foregoing list of risk factors is not intended to be exhaustive. All persons should seek such advice as they consider necessary from their professional advisors, legal, tax or otherwise, without reliance on the Strategy Calculation Agent or any of its affiliates, subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents.
Notices, Disclaimers and Conflicts
These Rules have been prepared solely for informational purposes and nothing herein constitutes an offer to buy or sell any securities, participate in any transaction or adopt any investment strategy or as legal, tax regulatory or accounting advice. These Rules may change at any time without prior notice.
No Relevant Person makes any representation or warranty, whatsoever, express or implied, as to the results that may be obtained through the use of this document or the HELIX Strategy. Each Relevant Person hereby expressly disclaims all warranties of accuracy, completeness, merchantability, or fitness for a particular purpose with respect to any information contained in this document and no Relevant Person shall have any liability (direct or indirect, special, punitive consequential or otherwise) to any person even if notified of the possibility of any such damages.
The Strategy Calculation Agent is under no obligation to continue the calculation, publication and dissemination of the HELIX Strategy or the HELIX Index Level. The Strategy Calculation Agent may delegate to an affiliate or a third party some or all of its duties under the HELIX Strategy.
These Rules have been developed with the possibility of the Strategy Calculation Agent or any of the other Relevant Persons entering into or promoting, offering or selling transactions or investments (structured or otherwise) linked to the HELIX Strategy and the hedging such transactions or investments in any manner that they see fit. Accordingly, it should be assumed that these Rules have and will be analyzed from this point of view.
The HELIX Strategy is described as taking notional trading positions under the Strategies because there is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The HELIX Strategy merely identifies certain hypothetical currency trading positions in Future Contracts, the performance of which will be used as a reference point for the purposes of calculating the Index Level.
No one may reproduce or disseminate the information contained in this document or the HELIX Index Level without the prior written consent of the Strategy Calculation Agent. This document is not intended for distribution to, or use by any person in, a jurisdiction where such distribution is prohibited by law or regulation.
These Rules shall be governed by and construed in accordance with the laws of England.
Copyright JPMorgan Chase & Co. 2010. All rights reserved. J.P.Morgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities Inc. is a member of NYSE and SIPC. JPMorgan Chase Bank is a member of FDIC. J.P. Morgan Futures Inc. is a member of the NFA. J.P. Morgan Securities Ltd. and J.P. Morgan plc are authorised by the FSA and members of the LSE. J.P. Morgan Europe Limited is authorised by the FSA. J.P. Morgan Equities Limited is a member of the Johannesburg Securities Exchange and is regulated by the FSB. J.P. Morgan Securities (Asia Pacific) Limited and Jardine Fleming Securities Limited are registered as investment advisers with the Securities & Futures Commission in Hong Kong and their CE numbers are AAJ321 and AAB026 respectively. Jardine Fleming Singapore Securities Pte Ltd is a member of Singapore Exchange Securities Trading Limited and is regulated by the Monetary Authority of Singapore ("MAS"). J.P. Morgan Securities Asia Private Limited is regulated by the MAS and the Financial Supervisory Agency in Japan. J.P.Morgan Australia Limited (ABN 52 002 888 011) is a licensed securities dealer. In the UK and other EEA countries, this commentary is not available for distribution to persons regarded as private customers (or equivalent) in their home jurisdiction.
This announcement has been issued through the Companies Announcement Service of
the Irish Stock Exchange.