SEC Company Response from JPMORGAN CHASE & CO (JPM, AMJB, VYLD, JPM-PC, JPM-PD, JPM-PJ, JPM-PK, JPM-PL, JPM-PM) (CIK 0000019617) (JPM) — Mar 31, 2014
JPMORGAN CHASE & CO (JPM, AMJB, VYLD, JPM-PC, JPM-PD, JPM-PJ, JPM-PK, JPM-PL, JPM-PM) (CIK 0000019617)
Date: March 31, 2014 · CIK: 0000019617 · Accession: 0000950103-14-002263
AI Filing Summary & Sentiment
Reasoning
File numbers found in text: 333-177923
Referenced dates: June 14, 2012
Letter
VIA EDGAR AND E-MAIL Office of Capital Markets Trends Division of Corporation Finance Securities and Exchange Commission JPMorgan Chase & Co. 424 Prospectuses relating to Registration Statement on Form S-3ASR Filed November 14, 2011 File No. 333-177923
Dear Ms. Starr:
On behalf of JPMorgan Chase & Co. (the “Issuer”), I am writing in response to the letter, dated February 11, 2014, to Anthony J. Horan, corporate secretary of the Issuer, from the staff (the “Staff”) of the Securities and Exchange Commission (the “Commission”), regarding your selective review of exchange-traded notes (“ETNs”), including offerings of the Issuer’s Global Medium-Term Notes, Series E (the “Notes”) that are registered under the Securities Act of 1933, as amended (the “Securities Act”) under the Registration Statement on Form S-3ASR (File No. 333-177923) (the “Registration Statement”) filed on November 14, 2011. The Issuer appreciates your extension of the response deadline to March 31, 2014.
FOIA Confidential Treatment
Requested Pursuant to Rule 83 by JPMorgan Chase & Co.
Page 2014.03.31.2
As discussed in the call with the Staff on February 26, 2014, the Issuer currently has one series of listed ETNs outstanding, the Alerian MLP Index ETN (the “Alerian ETNs”), and the Issuer has no current plans to issue additional ETNs. The Issuer’s responses below reference its disclosure practices relating to the Alerian ETNs, as set forth in amendment no. 6 to reopening pricing supplement no. 1 dated June 14, 2012 (the “Alerian Pricing Supplement”) and product supplement no. 10-II (the “Alerian Product Supplement”).
To assist in your review of the Issuer’s responses to the comments set forth in the Staff’s letter, I have set forth below certain comments contained in the letter as agreed and discussed with the Staff in the call on February 26, 2014, together with the Issuer’s responses to each.
Terms of Offering
1. We have observed that frequently the prospectus supplement does not clearly describe the terms of the ETN being offered. As a result, investors may have difficulty understanding what they are purchasing and how the ETN operates. For example, some prospectus supplements use highly complex defined terms without explaining those terms in the context of the ETN, while others do not clearly describe the precise mechanics of the ETN, including payment at maturity or redemption. Please revise your prospectus supplements, as appropriate, to disclose the material terms of each ETN in a clear, concise and understandable manner. Refer to Rule 421(b) of the Securities Act of 1933.
The Issuer acknowledges this comment. It has been the Issuer’s practice to describe the terms of the Alerian ETNs, including the precise mechanics of the Alerian ETNs, and to explain defined terms in the context of the Alerian ETNs. For narrative disclosure describing the terms of the Alerian ETNs, see “Selected Purchase Considerations” on page PS-3 of the Alerian Pricing Supplement and for an explanation of the defined terms in the context of the Alerian ETNs and a description of the precise mechanics of the Alerian ETNs, see “Key Terms” on the cover, “Additional Key Terms” beginning on page PS-1, “Key Coupon Payment Terms” beginning on page PS-12 and “Key Weekly Repurchase Terms” beginning on page PS-13, in each case, of the Alerian Pricing Supplement.
In addition, the Issuer has described the mechanics of the Alerian ETNs by including and explaining hypothetical examples in the Alerian Pricing Supplement. The Issuer’s offering documents relating to the Alerian ETNs include separate hypothetical example sections illustrating the mechanics of the calculation of coupons payable on the Alerian ETNs and the mechanics of the payment at maturity or upon repurchase. See “Hypothetical Coupon Amount Calculation” and “Hypothetical Payment at Maturity or upon Early Repurchase” beginning on page PS-8 of the Alerian Pricing Supplement.
In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure explaining the payments on the Alerian ETNs, as well as the fees deducted in calculating the amounts of those payments, using language substantially similar to the disclosure set forth in Annex A.
FOIA Confidential Treatment
Requested Pursuant to Rule 83 by JPMorgan Chase & Co.
Page 2014.03.31.3
Indicative Value
3. We note that some prospectus supplements for ETN offerings state that the “indicative value” of the ETN will be published on a regular basis, such as daily, including through third parties. Please explain to us the purpose of calculating indicative value and why it is relevant to investors. Further, tell us whether and where the ETN’s indicative value is publicly available to any investor without charge and how often it is updated.
Bloomberg calculates and publishes the intraday indicative value for the Alerian ETNs. The intraday indicative value is meant to approximate the intrinsic economic value of the Alerian ETNs for reference purposes. While the intraday indicative value of the ETNs may differ from the trading prices of the Alerian ETNs, and therefore, the amount that an investor may receive in the secondary market for the sale of the Alerian ETNs, the Issuer believes that this calculation and publication of the intraday indicative value provides a helpful indication of the potential value of the Alerian ETNs to investors considering a purchase or sale.
NYSE Arca Rule 5.2(j)(6) requires that the intraday indicative value for an index underlying an ETN be calculated and published every 15 seconds. Because the value of the underlying index differs from the value of the ETN, the Issuer believes that an intraday indicative value for the Alerian ETNs may also be helpful to investors in estimating the value of their investment in the ETNs. For this reason, in addition to the intraday indicative value of the underlying index published by the index calculation agent, the intraday indicative value of the Alerian ETNs is separately published by Bloomberg. In each case, the intraday indicative values are published on Bloomberg every 15 seconds during trading hours.
The intraday indicative value of the index underlying the Alerian ETNs is published under Bloomberg ticker symbol “AMZ,” and the intraday indicative value of the Alerian ETNs is published under the Bloomberg ticker “AMJ.IV” and is made accessible by Bloomberg on Bloomberg’s public webpage under “AMJIV:IND”.
4. We note that some prospectus supplements for ETN offerings include numeric formulas describing how the indicative value of an ETN is calculated without providing sufficient narrative explanation as to how the formula works, and therefore how the security’s terms work. Please provide narrative disclosure that describes the inputs and mechanics of such formulas in a clear, concise and understandable manner so that investors may evaluate how the terms of the security work and are calculated.
The Issuer acknowledges this comment. The Issuer’s practice has been to provide narrative disclosure describing the mechanics of numeric formulas for calculating the indicative value in the reopening supplement and the product supplement. See “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement, as excerpted below in response to comment 5.
In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure describing the initial offering price to the public, Current Indicative
FOIA Confidential Treatment
Requested Pursuant to Rule 83 by JPMorgan Chase & Co.
Page 2014.03.31.4
Value, intraday indicative value, trading price and Repurchase Amount using language substantially similar to the language set forth in Annex B.
5. If you include information about indicative value in your prospectus supplements, please also disclose the relationship among the indicative value, the market value of the ETN relative to the initial offering price to the public, and the redemption amount. Please also provide a risk factor discussing the risk that ETNs may trade at a substantial premium or discount in relation to the value of the ETN determined or disclosed by the issuer (whether as “indicative value” or otherwise) or the redemption amount of the ETN.
The Issuer acknowledges this comment. The Issuer’s practice is to disclose the relationship among the indicative value, the market value of the Alerian ETNs and amount payable at maturity or upon early repurchase of the Alerian ETNs. For ease of reference, VWAP means the volume-weighted average price of each component in the Index. See “The payment on the notes is linked to the VWAP Levels, not to the Closing Levels of the Index and not to the published intraday indicative value of the notes” on page PS-4 of the Alerian Pricing Supplement and PS-13 of the Alerian Product Supplement and “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement, as excerpted below:
THE PAYMENT ON THE NOTES IS LINKED TO THE VWAP LEVELS, NOT TO THE CLOSING LEVELS OF THE INDEX AND NOT TO THE PUBLISHED INTRADAY INDICATIVE VALUE OF THE NOTES — Your payment at maturity or upon early repurchase is linked to the performance of the Final VWAP Level, as compared to the Initial VWAP Level of the Index. Although the VWAP Level is intended to track the performance of the Index, the calculation of the VWAP Level is different from the calculation of the official closing level of the Index. Therefore, your payment at maturity or upon early repurchase of your notes, as applicable, may be different than the payment you would receive if such payment is determined by reference to the official closing level of the Index. Because the VWAP Level will not necessarily correlate with the performance of the Index, the payment at maturity or upon early repurchase, as applicable, will not be the same as investing in a debt security with a payment at maturity or upon early repurchase linked to the performance of the Index. In particular, the actual Index closing level may vary significantly, on a cumulative basis over the term of the notes, from the VWAP Level. For information that reflects the historical performance of the Index and the VWAP Level, please see “Historical Information” in this reopening pricing supplement.
In addition, the intraday indicative value of the notes calculated and published by Bloomberg L.P. will be based on the intraday indicative values of the Index instead of the VWAP Levels of the Index. Because the intraday indicative value of the notes may vary significantly from the VWAP Levels and the Final VWAP Level, the payment at maturity or upon early repurchase of your notes may be much different than the payment you would receive if such payment is determined by reference to the intraday indicative value of the notes.
FOIA Confidential Treatment
Requested Pursuant to Rule 83 by JPMorgan Chase & Co.
Page 2014.03.31.5
THE INTRADAY INDICATIVE VALUE AND THE CURRENT INDICATIVE VALUE ARE NOT THE SAME AS THE CLOSING PRICE OR ANY OTHER TRADING PRICE OF THE NOTES IN THE SECONDARY MARKET — The intraday indicative value and the Current Indicative Value of the notes are not the same as the closing price or any other trading price of the notes in the secondary market. The Current Indicative Value as of any date reflects the performance of the VWAP Level as of such date, as compared to the Initial VWAP Level of the Index, applied to the Principal Amount. The intraday indicative value at a given time reflects the product of Principal Amount and the Index Ratio, calculated using the levels of the Index instead of VWAP Levels as of that time, with adjustments to reflect any Accrued Tracking Fee and/or Adjusted Coupon Amount as of that time.
The trading price of the notes at any time, on the other hand, is the price at which you may be able to sell your notes in the secondary market at that time, if one exists. The trading price of the notes at any time may vary significantly from the intraday indicative value and the Current Indicative Value of the notes at that time. For example, if you pay a premium for the notes above the intraday indicative value or the Current Indicative Value, you could incur significant losses if you sell your notes at a time when the premium is no longer present in the market.
In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure describing the initial offering price to the public, Current Indicative Value, intraday indicative value, trading price and Repurchase Amount using language substantially similar to the language set forth in Annex B.
In addition, the Issuer recognizes that the Alerian ETNs may trade at a premium to their indicative value when demand for the Alerian ETNs exceeds supply. The Issuer currently provides a risk factor describing this risk in the Alerian Pricing Supplement and the Alerian Product Supplement. See “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” (reprinted above) and “The maximum issuance authorization may cause the notes to trade at a premium, which may be reduced or eliminated at any time” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement and “The liquidity of the market for the notes may vary materially over time” on page PS-7 of the Alerian Pricing Supplement and PS-18 of the Alerian Product Supplement, as excerpted below:
THE MAXIMUM ISSUANCE AUTHORIZATION MAY CAUSE THE NOTES TO TRADE AT A PREMIUM, WHICH MAY BE REDUCED OR ELIMINATED AT ANY TIME — The maximum issuance authorization may cause an imbalance of supply and demand in the secondary market for the notes, which may cause the notes to trade at a premium, which may be significant, in relation to their Current Indicative Value or any intraday indicative value.
In addition, any decrease in the supply of the notes due to the maximum issuance authorization may cause the notes to appear on NYSE Arca’s “threshold securities list,” indicating repeated delivery failure (which may be a sign of supply shortage) and requiring an actual borrowing of or a bona fide arrangement to borrow the notes in connection with a short sale. If arbitrageurs are unable to locate notes to sell short, the
FOIA Confidential Treatment
Requested Pursuant to Rule 83 by JPMorgan Chase & Co.
Page 2014.03.31.6
notes may trade at a premium, which may be significant, in relation to their Current Indicative Value or any intraday indicative value. Therefore, any purchase of the notes in the secondary market may be at a purchase price significantly different from their Current Indicative Value or any intraday indicative value.
Any premium may
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CORRESP 1 filename1.htm New York Menlo Park Washington DC São Paulo London Paris Madrid Tokyo Beijing Hong Kong Sarah E. Beshar Davis Polk & Wardwell LLP 450 Lexington Avenue New York, NY 10017 212 450 4131 tel 212 701 5131 fax sarah.beshar@davispolk.com FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.1 CONFIDENTIAL TREATMENT OF CERTAIN DESIGNATED PORTIONS OF THIS LETTER HAS BEEN REQUESTED BY JPMORGAN CHASE & CO. THOSE CONFIDENTIAL PORTIONS HAVE BEEN OMITTED, AS INDICATED BY [REDACTED] IN THE TEXT, AND HAVE BEEN SUBMITTED TO THE COMMISSION. March 31, 2014 VIA EDGAR AND E-MAIL Ms. Amy M. Starr Chief Office of Capital Markets Trends Division of Corporation Finance Securities and Exchange Commission 100 F Street, N.E. Washington, D.C. 20549 Re: JPMorgan Chase & Co. 424 Prospectuses relating to Registration Statement on Form S-3ASR Filed November 14, 2011 File No. 333-177923 Dear Ms. Starr: On behalf of JPMorgan Chase & Co. (the “Issuer”), I am writing in response to the letter, dated February 11, 2014, to Anthony J. Horan, corporate secretary of the Issuer, from the staff (the “Staff”) of the Securities and Exchange Commission (the “Commission”), regarding your selective review of exchange-traded notes (“ETNs”), including offerings of the Issuer’s Global Medium-Term Notes, Series E (the “Notes”) that are registered under the Securities Act of 1933, as amended (the “Securities Act”) under the Registration Statement on Form S-3ASR (File No. 333-177923) (the “Registration Statement”) filed on November 14, 2011. The Issuer appreciates your extension of the response deadline to March 31, 2014. FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.2 As discussed in the call with the Staff on February 26, 2014, the Issuer currently has one series of listed ETNs outstanding, the Alerian MLP Index ETN (the “Alerian ETNs”), and the Issuer has no current plans to issue additional ETNs. The Issuer’s responses below reference its disclosure practices relating to the Alerian ETNs, as set forth in amendment no. 6 to reopening pricing supplement no. 1 dated June 14, 2012 (the “Alerian Pricing Supplement”) and product supplement no. 10-II (the “Alerian Product Supplement”). To assist in your review of the Issuer’s responses to the comments set forth in the Staff’s letter, I have set forth below certain comments contained in the letter as agreed and discussed with the Staff in the call on February 26, 2014, together with the Issuer’s responses to each. Terms of Offering 1. We have observed that frequently the prospectus supplement does not clearly describe the terms of the ETN being offered. As a result, investors may have difficulty understanding what they are purchasing and how the ETN operates. For example, some prospectus supplements use highly complex defined terms without explaining those terms in the context of the ETN, while others do not clearly describe the precise mechanics of the ETN, including payment at maturity or redemption. Please revise your prospectus supplements, as appropriate, to disclose the material terms of each ETN in a clear, concise and understandable manner. Refer to Rule 421(b) of the Securities Act of 1933. The Issuer acknowledges this comment. It has been the Issuer’s practice to describe the terms of the Alerian ETNs, including the precise mechanics of the Alerian ETNs, and to explain defined terms in the context of the Alerian ETNs. For narrative disclosure describing the terms of the Alerian ETNs, see “Selected Purchase Considerations” on page PS-3 of the Alerian Pricing Supplement and for an explanation of the defined terms in the context of the Alerian ETNs and a description of the precise mechanics of the Alerian ETNs, see “Key Terms” on the cover, “Additional Key Terms” beginning on page PS-1, “Key Coupon Payment Terms” beginning on page PS-12 and “Key Weekly Repurchase Terms” beginning on page PS-13, in each case, of the Alerian Pricing Supplement. In addition, the Issuer has described the mechanics of the Alerian ETNs by including and explaining hypothetical examples in the Alerian Pricing Supplement. The Issuer’s offering documents relating to the Alerian ETNs include separate hypothetical example sections illustrating the mechanics of the calculation of coupons payable on the Alerian ETNs and the mechanics of the payment at maturity or upon repurchase. See “Hypothetical Coupon Amount Calculation” and “Hypothetical Payment at Maturity or upon Early Repurchase” beginning on page PS-8 of the Alerian Pricing Supplement. In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure explaining the payments on the Alerian ETNs, as well as the fees deducted in calculating the amounts of those payments, using language substantially similar to the disclosure set forth in Annex A. FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.3 Indicative Value 3. We note that some prospectus supplements for ETN offerings state that the “indicative value” of the ETN will be published on a regular basis, such as daily, including through third parties. Please explain to us the purpose of calculating indicative value and why it is relevant to investors. Further, tell us whether and where the ETN’s indicative value is publicly available to any investor without charge and how often it is updated. Bloomberg calculates and publishes the intraday indicative value for the Alerian ETNs. The intraday indicative value is meant to approximate the intrinsic economic value of the Alerian ETNs for reference purposes. While the intraday indicative value of the ETNs may differ from the trading prices of the Alerian ETNs, and therefore, the amount that an investor may receive in the secondary market for the sale of the Alerian ETNs, the Issuer believes that this calculation and publication of the intraday indicative value provides a helpful indication of the potential value of the Alerian ETNs to investors considering a purchase or sale. NYSE Arca Rule 5.2(j)(6) requires that the intraday indicative value for an index underlying an ETN be calculated and published every 15 seconds. Because the value of the underlying index differs from the value of the ETN, the Issuer believes that an intraday indicative value for the Alerian ETNs may also be helpful to investors in estimating the value of their investment in the ETNs. For this reason, in addition to the intraday indicative value of the underlying index published by the index calculation agent, the intraday indicative value of the Alerian ETNs is separately published by Bloomberg. In each case, the intraday indicative values are published on Bloomberg every 15 seconds during trading hours. The intraday indicative value of the index underlying the Alerian ETNs is published under Bloomberg ticker symbol “AMZ,” and the intraday indicative value of the Alerian ETNs is published under the Bloomberg ticker “AMJ.IV” and is made accessible by Bloomberg on Bloomberg’s public webpage under “AMJIV:IND”. 4. We note that some prospectus supplements for ETN offerings include numeric formulas describing how the indicative value of an ETN is calculated without providing sufficient narrative explanation as to how the formula works, and therefore how the security’s terms work. Please provide narrative disclosure that describes the inputs and mechanics of such formulas in a clear, concise and understandable manner so that investors may evaluate how the terms of the security work and are calculated. The Issuer acknowledges this comment. The Issuer’s practice has been to provide narrative disclosure describing the mechanics of numeric formulas for calculating the indicative value in the reopening supplement and the product supplement. See “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement, as excerpted below in response to comment 5. In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure describing the initial offering price to the public, Current Indicative FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.4 Value, intraday indicative value, trading price and Repurchase Amount using language substantially similar to the language set forth in Annex B. 5. If you include information about indicative value in your prospectus supplements, please also disclose the relationship among the indicative value, the market value of the ETN relative to the initial offering price to the public, and the redemption amount. Please also provide a risk factor discussing the risk that ETNs may trade at a substantial premium or discount in relation to the value of the ETN determined or disclosed by the issuer (whether as “indicative value” or otherwise) or the redemption amount of the ETN. The Issuer acknowledges this comment. The Issuer’s practice is to disclose the relationship among the indicative value, the market value of the Alerian ETNs and amount payable at maturity or upon early repurchase of the Alerian ETNs. For ease of reference, VWAP means the volume-weighted average price of each component in the Index. See “The payment on the notes is linked to the VWAP Levels, not to the Closing Levels of the Index and not to the published intraday indicative value of the notes” on page PS-4 of the Alerian Pricing Supplement and PS-13 of the Alerian Product Supplement and “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement, as excerpted below: THE PAYMENT ON THE NOTES IS LINKED TO THE VWAP LEVELS, NOT TO THE CLOSING LEVELS OF THE INDEX AND NOT TO THE PUBLISHED INTRADAY INDICATIVE VALUE OF THE NOTES — Your payment at maturity or upon early repurchase is linked to the performance of the Final VWAP Level, as compared to the Initial VWAP Level of the Index. Although the VWAP Level is intended to track the performance of the Index, the calculation of the VWAP Level is different from the calculation of the official closing level of the Index. Therefore, your payment at maturity or upon early repurchase of your notes, as applicable, may be different than the payment you would receive if such payment is determined by reference to the official closing level of the Index. Because the VWAP Level will not necessarily correlate with the performance of the Index, the payment at maturity or upon early repurchase, as applicable, will not be the same as investing in a debt security with a payment at maturity or upon early repurchase linked to the performance of the Index. In particular, the actual Index closing level may vary significantly, on a cumulative basis over the term of the notes, from the VWAP Level. For information that reflects the historical performance of the Index and the VWAP Level, please see “Historical Information” in this reopening pricing supplement. In addition, the intraday indicative value of the notes calculated and published by Bloomberg L.P. will be based on the intraday indicative values of the Index instead of the VWAP Levels of the Index. Because the intraday indicative value of the notes may vary significantly from the VWAP Levels and the Final VWAP Level, the payment at maturity or upon early repurchase of your notes may be much different than the payment you would receive if such payment is determined by reference to the intraday indicative value of the notes. FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.5 THE INTRADAY INDICATIVE VALUE AND THE CURRENT INDICATIVE VALUE ARE NOT THE SAME AS THE CLOSING PRICE OR ANY OTHER TRADING PRICE OF THE NOTES IN THE SECONDARY MARKET — The intraday indicative value and the Current Indicative Value of the notes are not the same as the closing price or any other trading price of the notes in the secondary market. The Current Indicative Value as of any date reflects the performance of the VWAP Level as of such date, as compared to the Initial VWAP Level of the Index, applied to the Principal Amount. The intraday indicative value at a given time reflects the product of Principal Amount and the Index Ratio, calculated using the levels of the Index instead of VWAP Levels as of that time, with adjustments to reflect any Accrued Tracking Fee and/or Adjusted Coupon Amount as of that time. The trading price of the notes at any time, on the other hand, is the price at which you may be able to sell your notes in the secondary market at that time, if one exists. The trading price of the notes at any time may vary significantly from the intraday indicative value and the Current Indicative Value of the notes at that time. For example, if you pay a premium for the notes above the intraday indicative value or the Current Indicative Value, you could incur significant losses if you sell your notes at a time when the premium is no longer present in the market. In any future pricing supplement relating to the Alerian ETNs, the Issuer proposes to provide additional narrative disclosure describing the initial offering price to the public, Current Indicative Value, intraday indicative value, trading price and Repurchase Amount using language substantially similar to the language set forth in Annex B. In addition, the Issuer recognizes that the Alerian ETNs may trade at a premium to their indicative value when demand for the Alerian ETNs exceeds supply. The Issuer currently provides a risk factor describing this risk in the Alerian Pricing Supplement and the Alerian Product Supplement. See “The intraday indicative value and the Current Indicative Value are not the same as the closing price or any other trading price of the notes in the secondary market” (reprinted above) and “The maximum issuance authorization may cause the notes to trade at a premium, which may be reduced or eliminated at any time” on page PS-5 of the Alerian Pricing Supplement and PS-14 of the Alerian Product Supplement and “The liquidity of the market for the notes may vary materially over time” on page PS-7 of the Alerian Pricing Supplement and PS-18 of the Alerian Product Supplement, as excerpted below: THE MAXIMUM ISSUANCE AUTHORIZATION MAY CAUSE THE NOTES TO TRADE AT A PREMIUM, WHICH MAY BE REDUCED OR ELIMINATED AT ANY TIME — The maximum issuance authorization may cause an imbalance of supply and demand in the secondary market for the notes, which may cause the notes to trade at a premium, which may be significant, in relation to their Current Indicative Value or any intraday indicative value. In addition, any decrease in the supply of the notes due to the maximum issuance authorization may cause the notes to appear on NYSE Arca’s “threshold securities list,” indicating repeated delivery failure (which may be a sign of supply shortage) and requiring an actual borrowing of or a bona fide arrangement to borrow the notes in connection with a short sale. If arbitrageurs are unable to locate notes to sell short, the FOIA Confidential Treatment Requested Pursuant to Rule 83 by JPMorgan Chase & Co. Page 2014.03.31.6 notes may trade at a premium, which may be significant, in relation to their Current Indicative Value or any intraday indicative value. Therefore, any purchase of the notes in the secondary market may be at a purchase price significantly different from their Current Indicative Value or any intraday indicative value. Any premium may