Term sheet |
Term
Sheet |
Structured |
$ Daily Liquidity Notes Linked to the J.P. Morgan C.O.P. Commodity Index due November 8, 2013 |
General
Key Terms
Index: |
The J.P. Morgan C.O.P. Commodity Index (the Index). The value of the J.P. Morgan C.O.P. Commodity Index is published each trading day under the Bloomberg ticker symbol JMAB017T. For more information about the Index, please see The J.P. Morgan C.O.P. Commodity Index in this term sheet. |
Principal Amount: |
$1,000 |
Payment at Maturity: |
Subject to the impact of a market disruption event (including the early acceleration of the amounts due and payable under the terms of the notes), for each note, unless earlier repurchased or redeemed, you will receive at maturity a cash payment equal to the Indicative Note Value as of the Final Valuation Date. |
You may lose some or all of your investment at maturity. The Investor Fee, which is deducted from the Indicative Note Value on each Valuation Date, will reduce your payment at maturity. Accordingly, you will lose some or all of your investment at maturity if the level of the Index decreases or does not increase sufficiently to offset the cumulative effect of the Investor Fee, which is deducted on each Valuation Date. | |
Indicative Note Value: |
The Indicative Note Value on the Inception Date will be equal to the Principal Amount. On each subsequent Valuation Date, the Indicative Note Value will be equal to (a) (i) the Indicative Note Value as of the immediately preceding Valuation Date multiplied by (ii) the Index Factor as of such Valuation Date minus (b) the Investor Fee as of such Valuation Date. |
If the amount calculated above is less than zero, the Indicative Note Value on such Valuation Date will be $0. | |
Investor Fee: |
On any Valuation Date, the product of (a) the Indicative Note Value as of the immediately preceding Valuation Date, (b) the Investor Fee Percentage and (c) (i) the number of calendar days from and including the immediately preceding Valuation Date to and excluding such Valuation Date divided by (ii) 360. |
Investor Fee Percentage: |
1.00% |
Index Factor: |
On any Valuation Date, (a) the Index closing level on such Valuation Date divided by (b) the Index closing level on the immediately preceding Valuation Date. |
Inception Date: |
On or about November 5, 2010 |
Valuation Date(s): |
Each business day from and including the Inception Date to and including the Final Valuation Date |
Final Valuation Date: |
November 5, 2013 |
Maturity Date: |
November 8, 2013 |
Additional Key Terms: |
See Additional Key Terms below. |
| Subject to postponement in the event of a market disruption event and as described under General Terms of Notes Market Disruption Events in the accompanying product supplement no. 200-A-I or early acceleration in the event of a hedging disruption event as described under General Terms of Notes Consequences of a Commodity Hedging Disruption Event in the accompanying product supplement no. 200-A-I and in Selected Risk Considerations Commodity Futures Contracts Are Subject to Uncertain Legal and Regulatory Regimes in this term sheet |
Investing in the Daily Liquidity Notes involves a number of risks. See Risk Factors beginning on page PS-7 of the accompanying product supplement no. 200-A-I and Selected Risk Considerations beginning on page TS-3 of this term sheet.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
We expect that J.P. Morgan Securities LLC, which we refer to as JPMS, acting as our agent, will sell a portion of the notes on the Inception Date at 100% of the Principal Amount per note. After the Inception Date, additional notes may be offered and sold from time to time through JPMS and other dealers at prevailing prices. We will receive proceeds equal to 100% of the offering price of notes sold after the Inception Date. See Supplemental Plan of Distribution in this term sheet.
The offering price includes the cost of hedging our obligations under the notes through one or more of our affiliates, which includes our affiliates expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. For additional related information, please see Use of Proceeds beginning on page PS-25 of the accompanying product supplement no. 200-A-I.
JPMS will not receive an agents commission in connection with sales of the notes. JPMS will be entitled to receive a portion of the Investor Fee to cover the ongoing payments related to the distribution of notes and a structuring fee for developing the economic terms of the notes. Payments constituting underwriting compensation will not exceed a total of 8% of proceeds. See Plan of Distribution (Conflicts of Interest) beginning on page PS-74 of the accompanying product supplement no. 200-A-I.
The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
November 2, 2010
Additional Terms Specific to the Notes
JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase & Co., any agent or any dealer participating in this offering will arrange to send you the prospectus, each prospectus supplement, product supplement no. 200-A-I and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
You should read this term sheet together with the prospectus dated November 21, 2008, as supplemented by the prospectus supplement dated November 21, 2008 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 200-A-I dated November 2, 2010. This term sheet, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in Risk Factors in the accompanying product supplement no. 200-A-I, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.
You may access these documents on the SEC website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us and our refer to JPMorgan Chase & Co.
Additional Key Terms
Payment upon Early Repurchase: |
Subject to your compliance with the procedures described under Description of Notes Early Repurchase at the Option of the Holders and the potential postponements and adjustments as described under Description of Notes Postponement of a Valuation Date in the accompanying product supplement no. 200-A-I, you may request that we repurchase your notes on any Repurchase Date during the term of the notes. Upon early repurchase, you will receive for each note a cash payment on the relevant Repurchase Date equal to (a) the Indicative Note Value as of the relevant Valuation Date minus (b) the Repurchase Fee Amount as of the relevant Valuation Date. |
If the amount calculated above is less than zero, the payment upon early repurchase will be $0. | |
You may lose some or all of your investment upon early repurchase. The Investor Fee, which is deducted from the Indicative Note Value on each Valuation Date, and the Repurchase Fee Amount will reduce your payment upon early repurchase. Accordingly, you will lose some or all of your investment upon early repurchase if the level of the Index decreases or does not increase sufficiently to offset the cumulative effect of the Investor Fee, which is deducted on each Valuation Date, and, if applicable, the Repurchase Fee Amount. | |
Early Repurchase Mechanics: |
In order to request that we repurchase your notes on any Repurchase Date, you must deliver a Repurchase Notice to us via email at dln_repurchase@jpmchase.com by no later than 4:00 p.m., New York City time, on the business day prior to the relevant Valuation Date and follow the procedures described under Description of Notes Early Repurchase at the Option of the Holders in the accompanying product supplement no. 200-A-I. If you fail to comply with these procedures, your notice will be deemed ineffective. |
Repurchase Fee Amount: |
For any Repurchase Date, an amount in cash per note equal to (a) the Indicative Note Value as of the relevant Valuation Date multiplied by (b) the Repurchase Fee. |
Repurchase Fee: |
0.25% |
Repurchase Date: |
The third business day following each Valuation Date |
Repurchase Notice: |
The form of Repurchase Notice attached hereto as Annex A |
Payment upon Optional Redemption: |
We may, at our sole discretion, call all, but not fewer than all, issued and outstanding notes for redemption on any business day on or after the Initial Redemption Date. Upon redemption, you will receive for each note a cash payment on the relevant Redemption Date equal to the Indicative Note Value as of the relevant Valuation Date. |
You may lose some or all of your investment upon redemption. The Investor Fee, which is deducted from the Indicative Note Value on each Valuation Date, will reduce your payment upon redemption. Accordingly, you will lose some or all of your investment upon redemption if the level of the Index decreases or does not increase sufficiently to offset the cumulative effect of the Investor Fee, which is deducted on each Valuation Date. | |
Optional Redemption Mechanics: |
If we exercise our right to redeem your notes on the Redemption Date, we will deliver an irrevocable redemption notice to the Depository Trust Company (DTC) (the holder of the global note). The Valuation Date for such redemption will be the fifth business day immediately succeeding the date the irrevocable redemption notice is delivered to DTC, subject to postponement due to a market disruption event. We must provide notice to holders of the notes at least five business days prior to the Valuation Date for such redemption. |
Initial Redemption Date: |
November 10, 2011 |
Redemption Date: |
The third business day following the relevant Valuation Date |
Reissuances or Reopening issuances: |
We may, without your consent, reopen or reissue the notes based upon market conditions and the Index closing level at that time. These further issuances, if any, will be consolidated to form a single series with the notes originally issued and will have the same CUSIP number and will trade interchangeably with the notes immediately upon settlement. See Reissuances or Reopening Issuances in this term sheet for more information. |
Index Calculation Agent: |
The JPMorgan Global Index Research Group (GIRG) |
Note Calculation Agent: |
J.P. Morgan Securities LLC (JPMS) |
CUSIP: |
48124AX36 |
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JPMorgan
Structured Investments |
TS-1 |
The J.P. Morgan C.O.P. Commodity Index
The J.P. Morgan C.O.P. Commodity Index (the Index) is a notional rules-based proprietary index that was developed by J.P. Morgan Securities Ltd. (JPMSL) and that is calculated and maintained by the Global Index Research Group (GIRG), a separate division of J.P. Morgan Securities LLC. The Index is intended to capture the return of a notional basket of three index components (the Index Components), as well as the return of synthetic exposure to three-month U.S. Treasury bills. The Index Components reflect synthetic long exposure to (a) the S&P GSCI Copper Excess Return Index, (b) the S&P GSCI Crude Oil Excess Return Index and (c) the S&P GSCI Platinum Excess Return Index (each, an Index Constituent and together, the Index Constituents). For more information about the Index Constituents, please see Background on the GSCI Indices in the accompanying product supplement.
The Index is a total return index, not an excess return index. An excess return index reflects the returns that are potentially available through synthetic exposure to uncollateralized positions in the futures contracts underlying such index, including the appreciation (or depreciation) of the applicable futures contract(s) and profit or loss realized when rolling such contracts. By contrast, a total return index, in addition to reflecting those returns, also reflects interest that could be earned on funds committed to the trading of the underlying futures contracts.
The Index is rebalanced monthly on the rebalancing date, which is the last day of each calendar month on which the New York Stock Exchange is scheduled to be open for trading for its regular trading session, without regard to after hours trading or any other trading outside of the regular trading session hours. Each of the Index Constituents has a weight (Component Weight) equal to 1/3 as of each rebalancing date.
The value of the J.P. Morgan C.O.P. Commodity Index is published each trading day under the Bloomberg ticker symbol JMAB017T. The Index closing level on December 3, 2001 (the Inception Date) was 100. The Index was created on October 28, 2010 and therefore has limited historical performance.
For more information about the Index, please see The J.P. Morgan Commander Series in the accompanying product supplement. For purposes of the accompanying product supplement, the Index is composed of three Index Components, each of which includes a single Long Constituent. Accordingly, the short constituent leverage is equal to 0% with respect to each Index Component on each rebalancing date and volatility matching does not apply. In addition, volatility targeting does not apply, so the index leverage is equal to 100% on each rebalancing date. The replication adjustment factor does not apply, so the replication adjustment rate is equal to 0.00%.
For more information about the Index Constituents, please see Background on the GSCI Indices in the accompanying product supplement. While the S&P GSCI Platinum Excess Return Index is not included in the S&P GSCI Index, the S&P GSCI Platinum Excess Return Index is calculated in the same manner as the other S&P GSCIs single commodity sub-indices, as described in Background on the GSCI Indices in the accompanying product supplement.
The description of the general terms of the J.P. Morgan Commander Series included in the accompanying product supplement is based on standard terms formulated by JPMSL (which we refer to as the Standard Terms) that describe general terms relating to the J.P. Morgan Commander Indices. The description of the Index included in this term sheet is also based on an index supplement formulated by GIRG (which we refer to as the Index Supplement), which describes the specific terms that apply to the Index. The Index Supplement, when read together with the Standard Terms, constitutes the index rules (the Index Rules). The Index Supplement in effect as of the date of this term sheet is attached as Annex B to this term sheet.
Selected Purchase Considerations
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JPMorgan
Structured Investments |
TS-2 |
Selected Risk Considerations
Your investment in the notes will involve significant risks. The notes do not guarantee any return of principal at, or prior to, the Maturity Date, on any Repurchase Date or Redemption Date. Investing in the notes is not equivalent to investing directly in the Index, any of the Index Constituents, any of the futures contracts underlying the Index Constituents, any of the commodities to which such commodity futures contacts relate or any futures contracts or exchange-traded or over-the-counter instruments based on, or other instruments linked to, the Index or the Index Constituents. In addition, your investment in the notes entails other risks not associated with an investment in conventional debt securities. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 200-A-I dated November 2, 2010. You should carefully consider the following discussion of risks before you decide that an investment in the notes is suitable for you.
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JPMorgan
Structured Investments |
TS-3 |
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JPMorgan
Structured Investments |
TS-4 |
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JPMorgan
Structured Investments |
TS-5 |
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JPMorgan
Structured Investments |
TS-6 |
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JPMorgan
Structured Investments |
TS-7 |
Hypothetical Payment at Maturity or upon Early Repurchase
The following examples illustrate how the notes would perform at maturity or upon early repurchase in hypothetical circumstances. We have included an example in which the Index closing level increases at a constant rate of 2% per quarter through maturity (Example 1) and an example in which the Index closing level decreases at a constant rate of 2% per quarter through maturity (Example 2). In addition, Example 3 shows the Index closing level increasing by 2% per quarter for the first 6 quarters and then decreasing by 2% per quarter for the next 6 quarters, whereas Example 4 shows the reverse scenario of the Index closing level decreasing by 2% per quarter for the first 6 quarters, and then increasing by 2% per quarter for the next 6 quarters. For ease of analysis and presentation, the following examples assume Valuation Dates occur quarterly so that the Index Factor, the Investor Fee and the Indicative Note Value are recalculated only once each quarter. These examples highlight the impact of the Investor Fee on the payment at maturity or upon early repurchase under different circumstances and the impact of the Repurchase Fee Amount upon early repurchase. If the notes are redeemed prior to maturity, the tables and charts below do not illustrate how much you will be paid. Because the Investor Fee and the Repurchase Fee Amount take into account the Index closing level performance, the absolute levels of the Investor Fee and the Repurchase Fee Amount are dependent on the path taken by the Index closing level to arrive at its ending level. As a result, the actual Investor Fee, which is deducted on each Valuation Date, may be greater than or less than the hypothetical Investor Fee (which is calculated quarterly) shown in these examples, depending on whether the level of the Index is increasing or decreasing. The figures in these examples have been rounded for convenience. The Hypothetical Indicative Value of each note for quarter 12 is as of the hypothetical Final Valuation Date, and given the indicated assumptions, a holder will receive payment at maturity or upon early repurchase in the indicated amount, according to the indicated formula.
Example 1
Assumptions:
Investor Fee Percentage |
1.00% per annum |
Repurchase Fee |
0.25% |
Repurchase Fee Amount |
Indicative Note Value x Repurchase Fee |
Index closing level on the Inception Date |
480.00 |
Quarter
End
|
Hypothetical
Index closing level |
Hypothetical
Index Factor* |
Hypothetical
Investor Fee* |
Hypothetical
Indicative Note Value* |
Hypothetical
Repurchase Fee Amount |
Hypothetical
Payment upon early repurchase |
A
|
B
|
C
|
D
|
E
|
F
|
G
|
t
|
|
Bt
/ Bt-1
|
Et-1
x Investor Fee Percentage * (90/360) |
(Et-1
x Ct) Dt
|
Et
x Repurchase Fee |
E-F
|
0 |
480.00000 |
|
|
$1,000.00000 |
|
|
1 |
489.60000 |
1.02000 |
$2.50000 |
$1,017.50000 |
$2.54375 |
$1,014.95625 |
2 |
499.39200 |
1.02000 |
$2.54375 |
$1,035.30625 |
$2.58827 |
$1,032.71798 |
3 |
509.37984 |
1.02000 |
$2.58827 |
$1,053.42411 |
$2.63356 |
$1,050.79055 |
4 |
519.56744 |
1.02000 |
$2.63356 |
$1,071.85903 |
$2.67965 |
$1,069.17938 |
5 |
529.95880 |
1.02000 |
$2.67965 |
$1,090.61656 |
$2.72654 |
$1,087.89002 |
6 |
540.55800 |
1.02000 |
$2.72654 |
$1,109.70235 |
$2.77426 |
$1,106.92810 |
7 |
551.36912 |
1.02000 |
$2.77426 |
$1,129.12215 |
$2.82281 |
$1,126.29934 |
8 |
562.39648 |
1.02000 |
$2.82281 |
$1,148.88178 |
$2.87220 |
$1,146.00958 |
9 |
573.64440 |
1.02000 |
$2.87220 |
$1,168.98721 |
$2.92247 |
$1,166.06475 |
10 |
585.11736 |
1.02000 |
$2.92247 |
$1,189.44449 |
$2.97361 |
$1,186.47088 |
11 |
596.81968 |
1.02000 |
$2.97361 |
$1,210.25977 |
$3.02565 |
$1,207.23412 |
12 |
608.75608 |
1.02000 |
$3.02565 |
$1,231.43931 |
$3.07860 |
$1,228.36072 |
* Assuming that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly for purposes of this example. The Investor Fee accrues each calendar day until maturity or early repurchase, and the Index Factor, the Investor Fee and the Indicative Note Value are calculated on each business day after the settlement date up to and including the Final Valuation Date.
Assuming that the total number of calendar days in each quarter is 90.
We cannot predict the actual Indicative Note Value on any Valuation Date or the market value of your notes, nor can we predict the relationship between the Indicative Note Value and the market value of your notes at any time prior to the stated Maturity Date. The actual amount that a holder of the notes will receive at maturity or upon early repurchase or redemption, as the case may be, and the rate of return on the notes will depend on the actual Indicative Note Value on the relevant Valuation Date, the Investor Fee and the Repurchase Fee Amount. Moreover, the assumptions on which the hypothetical returns are based, including the assumption that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly, are purely for illustrative purposes. Consequently, the amount, in cash, to be paid in respect of your notes, if any, on the stated Maturity Date, the relevant Repurchase Date or Redemption Date, as applicable, may be very different from the information reflected in the tables above. |
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JPMorgan
Structured Investments |
TS-8 |
Example 2
Assumptions:
Investor Fee Percentage |
1.00% per annum |
Repurchase Fee |
0.25% |
Repurchase Fee Amount |
Indicative Note Value x Repurchase Fee |
Index closing level on the Inception Date |
480.00 |
Quarter
End |
Hypothetical
Index closing level |
Hypothetical
Index Factor* |
Hypothetical
Investor Fee* |
Hypothetical
Indicative Note Value* |
Hypothetical
Repurchase Fee Amount |
Hypothetical
Payment upon early repurchase |
A
|
B
|
C
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D
|
E
|
F
|
G
|
t
|
|
Bt
/ Bt-1
|
Et-1
x Investor Fee Percentage * (90/360) |
(Et-1
x Ct) Dt
|
Et
x Repurchase Fee |
E-F
|
0 |
480.00000 |
|
|
$1,000.00000 |
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|
1 |
470.40000 |
0.98000 |
$2.50000 |
$977.50000 |
$2.44375 |
$975.05625 |
2 |
460.99200 |
0.98000 |
$2.44375 |
$955.50625 |
$2.38877 |
$953.11748 |
3 |
451.77216 |
0.98000 |
$2.38877 |
$934.00736 |
$2.33502 |
$931.67234 |
4 |
442.73672 |
0.98000 |
$2.33502 |
$912.99219 |
$2.28248 |
$910.70971 |
5 |
433.88200 |
0.98000 |
$2.28248 |
$892.44987 |
$2.23112 |
$890.21874 |
6 |
425.20432 |
0.98000 |
$2.23112 |
$872.36975 |
$2.18092 |
$870.18882 |
7 |
416.70024 |
0.98000 |
$2.18092 |
$852.74143 |
$2.13185 |
$850.60957 |
8 |
408.36624 |
0.98000 |
$2.13185 |
$833.55475 |
$2.08389 |
$831.47086 |
9 |
400.19896 |
0.98000 |
$2.08389 |
$814.79976 |
$2.03700 |
$812.76276 |
10 |
392.19496 |
0.98000 |
$2.03700 |
$796.46677 |
$1.99117 |
$794.47560 |
11 |
384.35104 |
0.98000 |
$1.99117 |
$778.54627 |
$1.94637 |
$776.59990 |
12 |
376.66400 |
0.98000 |
$1.94637 |
$761.02898 |
$1.90257 |
$759.12640 |
* Assuming that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly for purposes of this example. The Investor Fee accrues each calendar day until maturity or early repurchase, and the Index Factor, the Investor Fee and the Indicative Note Value are calculated on each business day after the settlement date up to and including the Final Valuation Date.
Assuming that the total number of calendar days in each quarter is 90.
Example 3
Assumptions:
Investor Fee Percentage |
1.00% per annum |
Repurchase Fee |
0.25% |
Repurchase Fee Amount |
Indicative Note Value x Repurchase Fee |
Index closing level on the Inception Date |
480.00 |
Quarter
End |
Hypothetical
Index closing level |
Hypothetical
Index Factor* |
Hypothetical
Investor Fee* |
Hypothetical
Indicative Note Value* |
Hypothetical
Repurchase Fee Amount |
Hypothetical
Payment upon early repurchase |
A
|
B
|
C
|
D
|
E
|
F
|
G
|
t
|
|
Bt
/ Bt-1
|
Et-1
x Investor Fee Percentage * (90/360) |
(Et-1
x Ct) Dt
|
Et
x Repurchase Fee |
E-F
|
0 |
480.00000 |
|
|
$1,000.00000 |
|
|
1 |
489.60000 |
1.02000 |
$2.50000 |
$1,017.50000 |
$2.54375 |
$1,014.95625 |
2 |
499.39200 |
1.02000 |
$2.54375 |
$1,035.30625 |
$2.58827 |
$1,032.71798 |
3 |
509.37984 |
1.02000 |
$2.58827 |
$1,053.42411 |
$2.63356 |
$1,050.79055 |
4 |
519.56744 |
1.02000 |
$2.63356 |
$1,071.85903 |
$2.67965 |
$1,069.17938 |
5 |
529.95880 |
1.02000 |
$2.67965 |
$1,090.61656 |
$2.72654 |
$1,087.89002 |
6 |
540.55800 |
1.02000 |
$2.72654 |
$1,109.70235 |
$2.77426 |
$1,106.92810 |
7 |
529.74680 |
0.98000 |
$2.77426 |
$1,084.73405 |
$2.71184 |
$1,082.02222 |
8 |
519.15184 |
0.98000 |
$2.71184 |
$1,060.32754 |
$2.65082 |
$1,057.67672 |
9 |
508.76880 |
0.98000 |
$2.65082 |
$1,036.47017 |
$2.59118 |
$1,033.87899 |
10 |
498.59344 |
0.98000 |
$2.59118 |
$1,013.14959 |
$2.53287 |
$1,010.61671 |
11 |
488.62160 |
0.98000 |
$2.53287 |
$990.35372 |
$2.47588 |
$987.87784 |
12 |
478.84912 |
0.98000 |
$2.47588 |
$968.07076 |
$2.42018 |
$965.65059 |
* Assuming that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly for purposes of this example. The Investor Fee accrues each calendar day until maturity or early repurchase, and the Index Factor, the Investor Fee and the Indicative Note Value are calculated on each business day after the settlement date up to and including the Final Valuation Date.
Assuming that the total number of calendar days in each quarter is 90.
We cannot predict the actual Indicative Note Value on any Valuation Date or the market value of your notes, nor can we predict the relationship between the Indicative Note Value and the market value of your notes at any time prior to the stated Maturity Date. The actual amount that a holder of the notes will receive at maturity or upon early repurchase or redemption, as the case may be, and the rate of return on the notes will depend on the actual Indicative Note Value on the relevant Valuation Date, the Investor Fee and the Repurchase Fee Amount. Moreover, the assumptions on which the hypothetical returns are based, including the assumption that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly, are purely for illustrative purposes. Consequently, the amount, in cash, to be paid in respect of your notes, if any, on the stated Maturity Date, the relevant Repurchase Date or Redemption Date, as applicable, may be very different from the information reflected in the tables above. |
|
|
JPMorgan
Structured Investments |
TS-9 |
Example 4
Assumptions:
Investor Fee Percentage |
1.00% per annum |
Repurchase Fee |
0.25% |
Repurchase Fee Amount |
Indicative Note Value x Repurchase Fee |
Index closing level on the Inception Date |
480.00 |
Quarter
End |
Hypothetical Index closing level |
Hypothetical
Index Factor* |
Hypothetical
Investor Fee* |
Hypothetical
Indicative Note Value* |
Hypothetical
Repurchase Fee Amount |
Hypothetical
Payment upon early repurchase |
A
|
B
|
C
|
D
|
E
|
F
|
G
|
t
|
|
Bt
/ Bt-1
|
Et-1
x Investor Fee Percentage * (90/360) |
(Et-1
x Ct) Dt
|
Et
x Repurchase Fee |
E-F
|
0 |
480.00000 |
|
|
$1,000.00000 |
|
|
1 |
470.40000 |
0.98000 |
$2.50000 |
$977.50000 |
$2.44375 |
$975.05625 |
2 |
460.99200 |
0.98000 |
$2.44375 |
$955.50625 |
$2.38877 |
$953.11748 |
3 |
451.77216 |
0.98000 |
$2.38877 |
$934.00736 |
$2.33502 |
$931.67234 |
4 |
442.73672 |
0.98000 |
$2.33502 |
$912.99219 |
$2.28248 |
$910.70971 |
5 |
433.88200 |
0.98000 |
$2.28248 |
$892.44987 |
$2.23112 |
$890.21874 |
6 |
425.20432 |
0.98000 |
$2.23112 |
$872.36975 |
$2.18092 |
$870.18882 |
7 |
433.70840 |
1.02000 |
$2.18092 |
$887.63622 |
$2.21909 |
$885.41713 |
8 |
442.38256 |
1.02000 |
$2.21909 |
$903.16985 |
$2.25792 |
$900.91193 |
9 |
451.23024 |
1.02000 |
$2.25792 |
$918.97532 |
$2.29744 |
$916.67789 |
10 |
460.25488 |
1.02000 |
$2.29744 |
$935.05739 |
$2.33764 |
$932.71975 |
11 |
469.45992 |
1.02000 |
$2.33764 |
$951.42090 |
$2.37855 |
$949.04234 |
12 |
478.84912 |
1.02000 |
$2.37855 |
$968.07076 |
$2.42018 |
$965.65059 |
* Assuming that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly for purposes of this example. The Investor Fee accrues each calendar day until maturity or early repurchase, and the Index Factor, the Investor Fee and the Indicative Note Value are calculated on each business day after the settlement date up to and including the Final Valuation Date.
Assuming that the total number of calendar days in each quarter is 90.
We cannot predict the actual Indicative Note Value on any Valuation Date or the market value of your notes, nor can we predict the relationship between the Indicative Note Value and the market value of your notes at any time prior to the stated Maturity Date. The actual amount that a holder of the notes will receive at maturity or upon early repurchase or redemption, as the case may be, and the rate of return on the notes will depend on the actual Indicative Note Value on the relevant Valuation Date, the Investor Fee and the Repurchase Fee Amount. Moreover, the assumptions on which the hypothetical returns are based, including the assumption that the Investor Fee accrues quarterly and that the Index Factor, the Investor Fee and the Indicative Note Value are calculated quarterly, are purely for illustrative purposes. Consequently, the amount, in cash, to be paid in respect of your notes, if any, on the stated Maturity Date, the relevant Repurchase Date or Redemption Date, as applicable, may be very different from the information reflected in the tables above. |
The hypothetical examples above are provided for purposes of information only. The hypothetical examples are not indicative of the future performance of the Index closing level on any trading day or what the value of your notes may be. Fluctuations in the hypothetical examples may be greater or less than fluctuations experienced by the holders of the notes. The performance data shown above is for illustrative purposes only and does not represent the actual future performance of the notes.
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|
JPMorgan
Structured Investments |
TS-10 |
Hypothetical Back-Tested and Historical Information
The following graph sets forth the hypothetical back-tested performance of the J.P. Morgan C.O.P. Commodity Index based on the hypothetical back-tested weekly Index closing levels from January 7, 2005 through October 22, 2010 and the historical performance of the Index based on the weekly Index closing value on October 29, 2010. The Index was created as of the close of business on October 28, 2010. The Index closing level on November 1, 2010 was 483.5893. We obtained the Index closing levels below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
The hypothetical back-tested historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the closing level of the Index on any Valuation Date. We cannot give you assurance that the performance of the Index will result in the return of any of your initial investment. The hypothetical back-tested performance of the Index set forth in the following graph was calculated on materially the same basis as the performance of the Index is now calculated.
The hypothetical historical values above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight.
Different modeling techniques or assumptions would produce different hypothetical historical information that might prove to be more appropriate and that might differ significantly from the hypothetical historical information set forth above. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the chart above.
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|
JPMorgan
Structured Investments |
TS-11 |
Supplemental Plan of Distribution
We expect that JPMS, acting as our agent, will sell a small portion of the notes on the Inception Date to investors at 100% of the Principal Amount per note. After the Inception Date, additional notes will be offered and sold from time to time, at prevailing prices at the time of sale, through JPMS and other dealers, to investors. We will receive proceeds equal to 100% of the offering price of notes sold after the Inception Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes that are to be issued more than three business days prior to the related issue date will be required to specify alternative settlement arrangements to prevent failed settlement.
Reissuances or Reopening Issuances
We may, at our sole discretion, reopen or reissue the notes based on market conditions and Index closing levels at that time. These further issuances, if any, will be consolidated to form a single class with the originally issued notes and will have the same CUSIP number and will trade interchangeably with the notes immediately upon settlement. The price of any additional offering will be determined at the time of pricing of that offering. For more information on such additional offerings, see General Terms of Notes Reissuances or Reopening Issuances in the accompanying product supplement no. 200-A-I.
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|
JPMorgan
Structured Investments |
TS-12 |
ANNEX A
FORM OF REPURCHASE NOTICE
To: dln_repurchase@jpmchase.com
Subject: Daily Liquidity Notes Linked to the J.P. Morgan C.O.P. Commodity Index
Ladies and Gentlemen:
The undersigned holder of JPMorgan Chase & Co.s Medium-Term Notes, Series E, Daily Liquidity Notes Linked to the J.P. Morgan C.O.P. Commodity Index due November 8, 2013, CUSIP No. 48124AX36 (the notes) hereby irrevocably elects to exercise, with respect to the number of the notes indicated below, as of the date hereof, the right to have you repurchase such notes on the Repurchase Date specified below as described in the product supplement no. 200-A-I, as supplemented by the pricing supplement dated _________, 20__ relating to the notes (collectively, the Supplement). Terms not defined herein have the meanings given to such terms in the Supplement.
The undersigned certifies to you that it will (i) instruct its DTC custodian with respect to the notes (specified below) to book a delivery versus payment trade on the relevant Valuation Date with respect to the number of notes specified below at a price per note determined in the manner described in the Supplement, facing DTC 352 and (ii) cause the DTC custodian to deliver the trade as booked for settlement via DTC at or prior to 10:00 am. New York City time, on the Repurchase Date.
* Subject to adjustment as described in the Supplement.
Very truly yours,
[NAME OF HOLDER]
Name:
Title:
Telephone:
Fax:
Email:
Number of Notes surrendered for Repurchase:
Applicable Valuation Date:
_________, 20__*
Applicable Repurchase Date: _________, 20__*
DTC # (and any relevant sub-account):
Contact Name:
Telephone:
Acknowledgment: I acknowledge that the notes specified above will not be repurchased unless all of the requirements specified in the Supplement are satisfied, including the acknowledgment by you or your affiliate of the receipt of this notice on the date hereof.
Questions regarding the repurchase requirements of your notes should be directed to dln_repurchase@jpmchase.com.
*Subject to adjustment as described in the Supplement.
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|
JPMorgan
Structured Investments |
A-1 |
ANNEX B
J.P. Morgan C.O.P. Commodity Index
Index Supplement
to the
J.P. Morgan Commander Standard Terms
for the J.P. Morgan C.O.P. Commodity Index
November 2010
© All Rights Reserved
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|
JPMorgan
Structured Investments |
B-1 |
1. An Introduction to the J.P. Morgan C.O.P. Commodity IndexThe J.P. Morgan C.O.P. Commodity Index (the Index) aims to provide directional exposure to the copper, crude oil and platinum on a total return basis and rebalances monthly on the last day of each calendar month. The Index is long the S&P GSCI Copper Excess Return Index, the S&P GSCI Crude Oil Excess Return Index and the S&P GSCI Platinum Excess Return Index.
2. This Document and its Relationship to the Standard Terms
This document, the Index Supplement (the Index Supplement) for the J.P. Morgan C.O.P. Commodity Index, sets forth index level specific terms needed to calculate this specific Index.
This document should be read in conjunction with the October 2010 Standard Terms for the J.P. Morgan Commander Index Series (the Standard Terms), which is available at the following hyperlink:
[ ]
This document explains index level specific terms (for example, this Index Supplement will specify the Constituents of the Index, the applicable Component Weights of such Constituents and other index specific items) and supplements the general form set forth in the Standard Terms. This Index Supplement together with the Standard Terms will constitute the Index Rules.
For the avoidance of doubt, this Index Supplement may include a provision, formula or definition, and such provision, formula or definition will supersede and replace the relevant provision, formula or definition set forth the Standard Terms.
This document may be amended or supplemented from time to time at the discretion of the Index Calculation Agent and will be re-published no later than thirty (30) calendar days following such amendment or supplement.
This document is published by Global Index Research Group (GIRG), a division of J.P. Morgan Securities LLC (JPMS), in its capacity as Index Calculation Agent. A copy of this document is available from the Index Calculation Agent.
ALL PERSONS READING THIS INDEX SUPPLEMENT SHOULD REFER TO THE DISCLAIMERS AND CONFLICTS SECTIONS SET OUT IN THE ACCOMPANYING STANDARD TERMS AND CONSIDER THE INFORMATION CONTAINED IN THIS INDEX SUPPLEMENT IN LIGHT OF SUCH DISCLAIMERS AND CONFLICTS OF INTEREST.
NOTHING HEREIN CONSTITUTES AN OFFER TO BUY OR SELL ANY FINANCIAL PRODUCT, PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX, REGULATORY OR ACCOUNTING ADVICE.
Each of JPMS and its affiliates may have positions or engage in transactions in securities or other financial instruments based on or indexed or otherwise related to the Index.
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JPMorgan
Structured Investments |
B-2 |
3. General Terms relating to the Index
The following terms set forth certain economics related to the Index. Terms relating to the composition of the Index are set forth on the following page.
Index Name: |
J.P. Morgan C.O.P. Commodity Index |
Index Inception Date: |
3 Dec 2001 |
Initial Index Level: |
100 |
Bloomberg Page: |
JMAB017T |
Index Type: |
Total return |
Rebalancing Date Integer: |
1 (the first day of each Rebalancing Period) |
Rebalancing Determination Date: |
The last Calculation Day of each calendar month |
Volatility Targeting: |
Not Applicable |
Target Index Volatility: |
Not Applicable |
Volatility Targeting Lookback 1: |
Not Applicable |
Volatility Targeting Lookback 2: |
Not Applicable |
Maximum Index Leverage: |
Not Applicable |
Minimum Index Leverage: |
Not Applicable |
Replication Adjustment Rate: |
0.00% |
Index Calculation Agent: |
Global Index Research Group, a division of J.P. Morgan Securities LLC |
|
|
JPMorgan
Structured Investments |
B-3 |
4. Components and Constituents Comprising the Index
The Index is composed of the following Components comprised of Constituents. The table below specifies the relevant Component Weight, Underlying Index of Long Constituent (including the Bloomberg Ticker for such Underlying Index) and Underlying Index of Short Constituent (including Bloomberg Ticker for such Underlying Index). For each Component that has both a Long Constituent and Short Constituent, the table specifies whether Volatility Matching is to be used for the Short Constituent; in the case of each Short Constituent for which Volatility Matching is to be used, the table specifies the Volatility Matching Period, the Maximum Short Constituent Leverage and the Minimum Short Constituent Leverage.
|
|||||||||
Component
Designation |
Component
Weight |
Underlying
Index of Long Constituent |
Bloomberg
Ticker for Underlying Index of Long Constituent |
Underlying
Index of Short Constituent |
Bloomberg
Ticker for Underlying Index of Short Constituent |
Volatility
Matching |
Volatility
Matching Lookback |
Maximum
Short Constituent Leverage |
Minimum
Short Constituent Leverage |
Component 1 | 1/3 | S&P
GSCI Copper Excess Return CME |
SPGSICP | None | Not Applicable | Not Applicable |
Not Applicable |
Not Applicable | Not Applicable |
Component 2 | 1/3 | S&P
GSCI Crude Oil Excess Return CME |
SPGSCLP | None | Not Applicable | Not Applicable |
Not Applicable |
Not Applicable | Not Applicable |
Component 3 | 1/3 | SPGSCI
Platinum Index Excess Return |
SPGSPLP | None | Not Applicable | Not Applicable |
Not Applicable |
Not Applicable | Not Applicable |
|
|
|
JPMorgan
Structured Investments |
B-4 |
5. Index Disclaimers
Standard & Poors Disclaimer
The Index is not sponsored, endorsed, sold or promoted by Standard & Poors, a division of the McGraw-Hill Companies, Inc. Standard & Poors makes no representation or warranty, express or implied, of the ability of the Standard & Poors Goldman Sachs Commodity Index Excess Return (the S&P GSCI) or any component sub-index to track general commodity market performance or any segment thereof respectively. Standard & Poors only relationship to JPMorgan (in such capacity, the Licensee) is the licensing of the S&P GSCI and any component sub-indices, all of which are determined, composed and calculated by Standard & Poors without regard to the Licensee or the index. Standard & Poors has no obligation to take the needs of the Licensee or the index into consideration in determining, composing or calculating the S&P GSCI or any component sub-index. The S&P GSCI and the component sub-indices thereof are not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies.
STANDARD AND POORS DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE S&P GSCITM OR ANY COMPONENT SUB-INDEX THEREOF OR ANY DATA INCLUDED THEREIN. STANDARD AND POORS SHALL HAVE NO LIABILIY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTION THEREIN. STANDARD AND POORS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P GSCITM OR ANY COMPONENT SUB-INDEX THEREOF OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED TO LICENSEE. STANDARD AND POORS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P GSCITM OR ANY COMPONENT SUB-INDEX THEREOF OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL STANDARD AND POORS HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The S&P Marks are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Licensee.
* The GSCI is not owned, endorsed, or approved by or associated with Goldman Sachs & Co. or its affiliated companies.
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JPMorgan
Structured Investments |
B-5 |