PROSPECTUS U.S.$50,000,000 CDX.NA.HY.10 8.875% CREDIT-LINKED TRUST CERTIFICATES This Prospectus (Prospectus) constitutes a Prospectus for the purposes of Directive 2003/71/EC (the Prospectus Directive) and incorporates by reference the Offering Memorandum dated July 8, 2008 (the Offering Memorandum) in relation to the U.S.$350,000,000 (up to U.S.$3,000,000,000) CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates (the Original Certificates) issued on April 25, 2008 (the Original Issue Date) by CDX.NA.HY.10 Trust June 2013, a limited purpose Delaware statutory trust (the Trust). Unless the context otherwise requires, terms defined in the Offering Memorandum shall have the same meaning when used in this Prospectus. This Prospectus must be read in conjunction with the Offering Memorandum. This Prospectus has been prepared for the purpose of giving information about the issue of U.S.$50,000,000 CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates (the Additional Certificates and, together with the Original Certificates, the Certificates) by the Trust. The Additional Certificates are a further issuance of the Original Certificates and will be consolidated with and will form a single series with the Original Certificates. As of January 26, 2009, a net principal amount of U.S.$550,000,000 of CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates had been issued pursuant to Further Issuances, and a net principal amount of U.S.$475,012,000 of Certificates had been redeemed pursuant to Dealer Redemptions. Accordingly, the total principal amount of Original Certificates and Additional Certificates outstanding after January 26, 2009 is U.S.$474,988,000. The Additional Certificates will be delivered on or about January 26, 2009 in book-entry form through the facilities of DTC. Certificates deposited with DTC will be registered in the name of Cede & Co., as nominee for DTC. Transfers of beneficial interests in Certificates may be effected pursuant to Rule 144A under the Securities Act subject to the restrictions described herein. See The Certificates Book-Entry Registration in the Offering Memorandum. Additional Certificates will be issued to the Initial Purchaser identified herein for resale to qualifying investors. This Prospectus does not constitute, and may not be used for the purposes of, an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it is unlawful to make such offer or solicitation, and no action is being taken to permit an offering of the Additional Certificates or the distribution of this Prospectus in any jurisdiction where such action is required. THE CERTIFICATES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT) AND, AS A RESULT, THE CERTIFICATES ARE SUBJECT TO RESTRICTIONS ON TRANSFER. IN ADDITION, THE TRUST HAS NOT BEEN AND WILL NOT BE REGISTERED UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED (THE INVESTMENT COMPANY ACT). THE CERTIFICATES ARE BEING OFFERED AND SOLD EXCLUSIVELY TO QUALIFIED INSTITUTIONAL BUYERS (QIBs, EACH A QIB) WITHIN THE MEANING OF RULE 144A UNDER THE SECURITIES ACT (RULE 144A) WHO ARE ALSO QUALIFIED PURCHASERS (QPs, EACH A QP) FOR THE PURPOSES OF SECTION 3(C)(7) UNDER THE INVESTMENT COMPANY ACT. PROSPECTIVE PURCHASERS ARE HEREBY NOTIFIED THAT THE SELLER OF ANY CERTIFICATE MAY BE RELYING ON THE EXEMPTION i
FROM THE REGISTRATION REQUIREMENTS OF SECTION 5 OF THE SECURITIES ACT PROVIDED BY RULE 144A. FOR A DESCRIPTION OF RESTRICTIONS ON RESALE OR TRANSFER OF THE CERTIFICATES, SEE NOTICE TO INVESTORS IN THE OFFERING MEMORANDUM. See Risk Factors beginning on page 23 of the Offering Memorandum for certain risks relating to an investment in the Certificates. The Initial Purchaser and each subsequent transferee of a Certificate will be deemed to make certain ERISA-related representations, warranties and covenants as described in ERISA Considerations and Notice to Investors in the Offering Memorandum. Certificates may not be acquired by or on behalf of any plan or account subject to Section 406 of the Employee Retirement Income Security Act of 1974, as amended (ERISA), or Section 4975 of the Internal Revenue Code of 1986, as amended (the Code) or an entity whose assets include the assets of any such plan or account or a plan or account subject to any law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code. The Prospectus has been approved by the Irish Financial Services Regulatory Authority (the Financial Regulator), as competent authority under the Prospectus Directive. The Financial Regulator only approves this prospectus as meeting the requirements imposed under Irish and EU law pursuant to the Prospectus Directive. Application has been made to the Irish Stock Exchange Limited (the Irish Stock Exchange) for the Additional Certificates to be admitted to the Official List (the Official List) and trading on its regulated market. JPMorgan. The date of this Prospectus is February 4, 2009 ii
TABLE OF CONTENTS Offering Summary 1 Risk Factors... 4 Plan of Distribution... 5 Certain Information Regarding the Credit Default Swap Counterparties. 6 Listing and General Information... 8 Page iii
OFFERING SUMMARY This summary highlights information not otherwise contained in the Offering Memorandum. Save as specified in this Prospectus, all terms and conditions applicable to the Additional Certificates are contained in the Offering Memorandum. This Prospectus must be read in conjunction with the Offering Memorandum. Additional Certificates: U.S.$50,000,000 CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates. Issue Date: January 26, 2009. Scheduled Maturity Date: June 29, 2013. The U.S.$50,000,000 CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates are a further issuance of the CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates and will be consolidated to form a single Series and to be fungible with the U.S.$350,000,000 principal amount of the Certificates that were originally issued on April 25, 2008. As of January 26, 2009, a net principal amount of U.S.$550,000,000 of CDX.NA.HY.10 8.875% Credit-Linked Trust Certificates had been issued pursuant to Further Issuances, and a net principal amount of U.S.$475,012,000 of Certificates had been redeemed pursuant to Dealer Redemptions. Accordingly, the total principal amount of Original Certificates and Additional Certificates outstanding after January 26, 2009 is U.S.$ 474,988,000.. The Additional Certificates will have the same CUSIP, Common Code and ISIN numbers as the Original Certificates. Issue Price: Use of Proceeds: Initial Purchaser of the Additional Certificates: Authorized Denomination 84.00000 per cent. of the principal amount of the Certificates plus accrued interest from and including June 20, 2008 to but excluding the delivery date. On January 26, 2009, the Trust will use the net proceeds from the offering of Additional Certificates to purchase Collateral Securities pursuant to the Repo Agreement. Where the Additional Certificates are sold at a premium, the Trust will use such additional proceeds constituting the premium to make any required initial payments under the Credit Default Swap Agreements. Where Additional Certificates are priced at a discount, the Credit Default Swap Counterparties will supplement the offering proceeds. See Use of Proceeds. in the Offering Memorandum. J.P. Morgan Securities Inc. (the Initial Purchaser) The Additional Certificates will be sold in denominations of U.S.$250,000 and any integral multiple of U.S.$1,000 in excess thereof. 1
Form, Registration and Transfer of the Certificates Listing Listing Agent and Specified Office of Listing Agent Certain U.S. Federal Income Tax Consequences ERISA Considerations The Offering Additional Certificates will be issued in global registered form through DTC by one or more physical certificates registered in the name of Cede & Co., as the nominee of DTC. See The Certificates Form of Certificates. in the Offering Memorandum. No person acquiring an interest in the bookentry Additional Certificates will be entitled to receive a definitive Additional Certificate, except in certain limited circumstances described herein. Application has been made to the Irish Stock Exchange for the Additional Certificates to be admitted to the Official List and trading on its regulated market. If the Additional Certificates are so admitted, they will be treated as asset-backed debt securities. Prices of the Additional Certificates are not expected to be listed or reported by the Irish Stock Exchange, and no trading of the Additional Certificates is expected to occur thereon. There can be no assurance that such admission will be obtained or maintained. See Listing and General Information in the Offering Memorandum. In addition, there is currently no market for the Additional Certificates, and there can be no assurance that such a market will develop. J&E Davy Davy House 49 Dawson Street Dublin 2, Ireland See Certain U.S. Federal Income Tax Consequences. in the Offering Memorandum. See ERISA Considerations. in the Offering Memorandum. The Additional Certificates will be offered and sold: (a) (b) in the United States to U.S. Holders that are both QIBs and QPs, purchasing for their own account or one or more accounts with respect to which they exercise sole investment discretion, each of which is both a QIB and a QP, in accordance with Rule 144A and Section 3(c)(7) of the Investment Company Act, and to non-u.s. Holders that: (i) are both QIBs and QPs, purchasing for their own account or one or more accounts with respect to which they exercise sole investment discretion, each of which is both a QIB and a QP, in accordance with Rule 144A and Section 3(c)(7) of the Investment Company Act, and 2
(ii) will deliver an effective IRS Form W-8ECI, W-8BEN or W-8IMY, attached hereto as Exhibit B, Exhibit C and Exhibit D, respectively (or applicable successor forms), to the Trustee (or applicable withholding agent). See Certain Federal Income Tax Consequences. In addition to the foregoing, investors in the Additional Certificates will be required or deemed (as applicable) to make certain ERISA-related representations and warranties. See ERISA Considerations and Notice to Investors. in the Offering Memorandum. Transfer Restrictions The Additional Certificates are subject to substantial investor eligibility and transfer restrictions. See ERISA Considerations and Notice to Investors. in the Offering Memorandum. You should rely only on the information contained in the Prospectus and the Offering Memorandum. We have not authorized anyone to provide you with information that is different. This document may only be used where it is legal to sell the Additional Certificates. The information in this document may be accurate only on the date hereof. This Prospectus has been prepared solely for use in connection with the offering of the Additional Certificates as described herein. The Trust accepts responsibility for the information contained in this Prospectus, except with respect to information relating solely to a single Grantor, Credit Default Swap Counterparty, or the Repo Counterparty or one of its affiliates, for which the relevant Grantor, Credit Default Swap Counterparty or the Repo Counterparty (or its affiliate) accepts responsibility severally. To the best knowledge and belief of the Trust, and to the best knowledge and belief of a single Grantor, Credit Default Swap Counterparty or the Repo Counterparty or one of its affiliates, for which the relevant Grantor, Credit Default Swap Counterparty or the Repo Counterparty (or its affiliate) accepts responsibility, the information contained in this Prospectus is in accordance with the facts and does not omit anything likely to affect the accuracy of such information. The Trust, the Grantors, the Credit Default Swap Counterparties and the Repo Counterparty disclaim any obligation to update such information and do not intend to do so. Notwithstanding anything to the contrary, the Trustee has not reviewed or participated in the preparation of this Prospectus and assumes no responsibility for the nature, contents, accuracy or completeness of the information set forth in this Prospectus. The Trustee has not evaluated the risks, benefits, or propriety of any investment in the Additional Certificates or the Original Certificates and makes no representation, and has reached no conclusions, regarding the value or condition of any assets of the Trust or the investment quality of the Additional Certificates or the Original Certificates, about all of which the Trustee expresses no opinion and expressly disclaims the expertise to evaluate. 3
RISK FACTORS Please see Risk Factors beginning on page 23 of the Offering Memorandum for certain risk relating to an investment in the Certificates. 4
PLAN OF DISTRIBUTION In connection with the issuance of the Additional Certificates, the Trust has entered into a purchase agreement (the Purchase Agreement) with the Initial Purchaser for the Additional Certificates listed below. Upon the terms and subject to the conditions of the Purchase Agreement, the Initial Purchaser has agreed to purchase Additional Certificates from the Trust, and the Trust has agreed to sell Additional Certificates to the Initial Purchaser. The obligations of the Initial Purchaser to purchase Additional Certificates pursuant to such Purchase Agreement are subject to certain conditions. Resales of the Additional Certificates are restricted as described under Notice to Investors and The Certificates Transfer of Certificates. in the Offering Memorandum. The Additional Certificates will be offered for resale by the Initial Purchaser at negotiated prices at the time of resale. The Initial Purchaser or its affiliates have a variety of roles in transactions related to the formation of the Trust and offering of the Additional Certificates, including as Credit Default Swap Counterparties and Grantors and, in the case of Morgan Stanley & Co. Incorporated, the Repo Counterparty. The Initial Purchaser and its affiliates expect to earn income from their participation in such transactions. No action has been taken or is being contemplated by the Trust, any Grantor, Initial Purchaser or Credit Default Swap Counterparty that would permit a public offering of the Additional Certificates or possession or distribution of this Prospectus or the Offering Memorandum or any amendment thereof, or any other offering material relating to the Additional Certificates in any jurisdiction (other than Ireland) where, or in any other circumstances in which, action for those purposes is required. Nothing contained herein shall constitute an offer to sell or a solicitation of an offer to purchase any Additional Certificates in any jurisdiction where it is unlawful to do so absent the taking of such action or the availability of an exemption therefrom. The Initial Purchaser is under no obligation to make a market in the Additional Certificates, and any market making activity, if commenced, may be discontinued at any time. There can be no assurance that a secondary market for the Additional Certificates will develop, or if one does develop, that it will continue. Accordingly, no assurance can be given as to the liquidity of a trading market for the Additional Certificates. In connection with the offering of the Additional Certificates, the Initial Purchaser may, as permitted by applicable law, overallot or effect transactions that stabilize or maintain the market price of the Additional Certificates at a level which might not otherwise prevail in the open market. Such stabilizing, if commenced, may be discontinued at any time. The Initial Purchaser will be purchasing Certificates in the following amounts: Initial Purchasers J.P. Morgan Securities Inc. Amount US$50,000,000 5
CERTAIN INFORMATION REGARDING THE CREDIT DEFAULT SWAP COUNTERPARTIES The information on page 93 of the Offering Memorandum regarding JPMorgan Chase Bank, National Association is deleted and replaced with the information below. The information in the Offering Memorandum regarding the other Credit Default Swap Counterparties remains unchanged as of the date hereof. The delivery of this Prospectus will not create any implication that there has been no change in the affairs of any Credit Default Swap Counterparty since the date hereof, or that the information contained or referred to herein is correct as of any time subsequent to its date. JPMorgan Chase Bank, National Association JPMorgan Chase Bank, National Association (JPMorgan Chase Bank) is a wholly owned bank subsidiary of JPMorgan Chase & Co. (JPMorgan Chase or the Firm). JPMorgan Chase is incorporated in the State of Delaware in the United States and is headquartered in New York, New York. JPMorgan Chase Bank is chartered by the Office of the Comptroller of the Currency, a bureau of the United States Department of the Treasury. JPMorgan Chase Bank s main office is located at 1111 Polaris Parkway, Columbus, Ohio 43240, telephone number (212) 270-6000. JPMorgan Chase Bank had been organized in the legal form of a banking corporation organized under the laws of the State of New York in 1968 for an unlimited duration. On November 13, 2004, JPMorgan Chase Bank converted from a New York State banking corporation to a national banking association. JPMorgan Chase Bank is a commercial bank offering a wide range of banking services to its customers both domestically and internationally. Chase Manhattan Bank USA, National Association is a principal bank subsidiary of JPMorgan Chase and serves as its credit card-issuing bank. JPMorgan Chase s principal nonbank subsidiaries are J.P. Morgan Securities Inc. and Bear, Stearns & Co., Inc (Bear Stearns & Co.), the Firm s U.S. investment banking firms. The Firm merged J.P. Morgan Securities Inc. with and into Bear, Stearns & Co. and changed the name of the surviving corporation to J.P. Morgan Securities Inc. The bank and nonbank subsidiaries of JPMorgan Chase operate nationally as well as through overseas branches and subsidiaries, representative offices and affiliated banks. The principal business activities of JPMorgan Chase Bank are organized, for management reporting purposes, into six business segments, as well as corporate. JPMorgan Chase s wholesale businesses comprise the Investment Bank, Commercial Banking, Treasury & Securities Services and Asset Management segments. JPMorgan Chase s consumer businesses comprise of Retail Finance Services and Card Services segments. JPMorgan Chase Bank s business is subject to examination and regulation by Office of the Comptroller of the Currency. We are a member of the Federal Reserve System and our deposits are insured by the Federal Deposit Insurance Corporation. Our Federal Reserve Bank Identification Number is 852218. Effective May 30, 2008, BSC Merger Corporation, a wholly-owned subsidiary of JPMorgan Chase, merged with The Bear Stearns Companies Inc. (Bear Stearns) pursuant to the Agreement and Plan of Merger, dated as of March 16, 2008, as amended March 24, 2008, and Bear Stearns became a wholly-owned subsidiary of JPMorgan Chase (the Merger). The total purchase price to complete the Merger was $1.5 billion. 6
On September 25, 2008, JPMorgan Chase acquired the banking operations of Washington Mutual Bank (Washington Mutual) from the Federal Deposit Insurance Corporation for $1.9 billion through a purchase of substantially all of the assets and assumption of specified liabilities of Washington Mutual. The summary of the Firm s business segments above does not give affect to the acquisition of the banking operations of Washington Mutual. 7
LISTING AND GENERAL INFORMATION Application has been made to the Irish Stock Exchange for the Additional Certificates to be admitted to the Official List and trading on its regulated market. In that connection: (1) A copy of the Certificate of Trust of the Trust will be available for inspection (following receipt by the Trustee of reasonable prior notice) at the Corporate Trust Office (as defined in the Trust Agreement) of the Trustee during the term of the Additional Certificates. It is estimated that the total fees and expenses related to admission to trading will be approximately Euro 2,440. (2) A copy of the Trust Agreement authorizing the issuance of the Certificates will be available for inspection (following receipt by the Trustee of reasonable prior notice) at the Corporate Trust Office (as defined in the Trust Agreement) of the Trustee during the term of the Certificates. (3) The Trust will represent as of the Issue Date and for at least the previous 12 months, that it is not involved in any governmental, litigation or arbitration proceedings which may have, or have had in the recent past, significant effects on the issuer's financial position or profitability, and that, so far as the Trust is aware, no such governmental, litigation or arbitration proceedings involving the Trustee is pending or threatened. (4) The Trust will obtain from time to time all necessary consents, approvals and authorizations in connection with the issue and performance of the Additional Certificates. (5) The Trust has no loan capital outstanding, and has no term loans and no other borrowings or indebtedness in the nature of borrowings nor any contingent liabilities or guarantees. The Trust has no indebtedness as at the date of this Prospectus, other than that which the Trust has incurred or shall incur in relation to the transactions contemplated in the Offering Memorandum and herein. (6) A copy of each of the documents outlined below in respect of the Additional Certificates may be physically inspected as long as any Certificates remain outstanding at the office of the Irish Paying Agent Citibank International plc, 1 North Wall Quay, Dublin 1, Ireland and, following receipt by the Trustee of reasonable prior notice, at the Corporate Trust Office (as defined in the Trust Agreement) of the Trustee: (a) (b) (c) (d) (e) (f) the Repo Agreement; the Credit Default Swap Agreements; the Certificate of Trust of the Trust; the Custody Agreement; the Purchase Agreement; and the Trust Agreement 8
(7) The Issuer does not intend to provide any post issuance transaction information regarding the Certificates to be admitted to trading on the regulated market of the Irish Stock Exchange or the performance of the Eligible Securities. The telephone number for the Trustee is (212) 361-6175 The CUSIP number assigned to the Additional Certificates is 12514T AA8. The ISIN assigned to the Additional Certificates is US12514TAA88. 9
REGISTERED OFFICE OF THE TRUST CDX.NA.HY.10 Trust U.S. Bank Trust National Association 100 Wall Street, Suite 1600 New York, NY 10005 TRUSTEE U.S. Bank Trust National Association 300 East Delaware Avenue, Suite 812 Wilmington, DE 19809 with a copy to: U.S. Bank Trust National Association 100 Wall Street, Suite 1600 New York, NY 10005 PAYING AGENT, REGISTRAR AND TRANSFER AGENT U.S. Bank National Association as Paying Agent, Registrar and Transfer Agent 100 Wall Street, Suite 1600 New York, NY 10005 IRISH PAYING AGENT Citibank International plc as Irish Paying Agent 1 North Wall Quay Dublin 1, Ireland IRISH LISTING AGENT J.& E. Davy as Irish Listing Agent Davy House, 49 Dawson Street Dublin 2, Ireland LEGAL ADVISORS to the Initial Purchaser and the Credit Default Swap Counterparties and the Repo Counterparty as to New York and United States federal law Allen & Overy LLP 1221 Avenue of the Americas New York, NY 10020 as to Delaware law Morris, James, Hitchens & Williams LLP 222 Delaware Avenue, 10 th Floor P.O. Box 2306 Wilmington, DE 19899 to the Trustee Thompson Hine LLP 335 Madison Avenue, 12 th Floor New York, NY 10017 10