Term sheet
To prospectus
dated November
21, 2008,
prospectus supplement dated November 21, 2008 and
product supplement no. 186-A-I dated March 22, 2010
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Term Sheet to
Product Supplement 186-A-I
Registration Statement No.
333-155535
Dated November 23, 2010; Rule 433
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Structured
Investments
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$
Notes Linked to the J.P. Morgan
Alternative Index Multi-Strategy 5 (USD)
due December 21,
2015
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General
- Senior unsecured obligations of
JPMorgan Chase & Co. maturing December 21, 2015*
- Cash payment at maturity of principal
plus the Additional Amount, as described below
- The notes are designed for investors
who seek exposure to any appreciation of the J.P. Morgan Alternative Index
Multi-Strategy 5 (USD) over the term of the notes and may be appropriate for
investors requiring asset and investment strategy diversification. Investors
should be willing to forgo interest and dividend payments, while seeking
payment of your principal in full at maturity. Any payment on the notes is
subject to the credit risk of JPMorgan Chase & Co.
- Investing in the notes is not
equivalent to investing in the J.P. Morgan Alternative Index Multi-Strategy 5
(USD), any of the Strategies or any of the assets underlying the Strategies.
- Minimum denominations of $1,000 and
integral multiples thereof
- The notes are expected to price on or about December 15, 2010 and are expected to settle on or
about December 20, 2010.
Key Terms
Index:
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J.P. Morgan Alternative Index
Multi-Strategy 5 (USD) (the Multi-Strategy Index or the Index)
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Payment at Maturity:
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At maturity, you will receive a cash
payment, for each $1,000 principal amount note, of $1,000 plus the Additional
Amount, which may be zero.
You are entitled to repayment of
principal in full at maturity, subject to the credit risk of JPMorgan Chase
& Co.
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Additional Amount:
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The Additional Amount
per $1,000 principal amount note paid at maturity will equal $1,000 × the
Index Return × the Participation Rate, provided that the Additional
Amount will not be less than zero.
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Participation Rate:
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At least 100%. The actual
Participation Rate will be determined on the pricing date and will not be
less than 100%.
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Index Return:
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Ending Index Value Initial Index Value
Initial Index Value
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Initial Index Value:
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The Index closing value on the
pricing date, which is expected to be on or about December 15, 2010
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Ending Index Value:
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The Index closing value on the
Observation Date
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Observation Date:
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December 16, 2015*
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Maturity Date:
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December
21, 2015*
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CUSIP:
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48124A3Q8
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*
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Subject to
postponement in the event of a market disruption event and as described under
Description of Notes Payment at Maturity in the accompanying product
supplement no. 186-A-I
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Subject to the
impact of a commodity hedging disruption event as described under General
Terms of Notes Market Disruption Events and General Terms of Notes
Consequences of a Commodity Hedging Disruption Event in the accompanying product
supplement no. 186-A-I. In the event of a commodity hedging disruption
event, we have the right, but not the obligation, to cause the note
calculation agent to determine on the commodity hedging disruption date the
value of the Additional Amount payable at maturity. Under these
circumstances, the value of the Additional Amount payable at maturity will be
determined prior to, and without regard to the level of the Index on, the
Observation Date.
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Investing in the notes involves a
number of risks. See Risk Factors beginning on page PS-8 of the accompanying
product supplement no. 186-A-I and Selected Risk Considerations beginning on
page TS-4 of this term sheet.
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, the prospectus supplement, product
supplement no. 186-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.
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.
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Price to Public (1)
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Fees and Commissions (2)
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Proceeds to Us
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Per note
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$
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$
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$
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Total
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$
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$
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$
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(1)
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The price to the
public includes the estimated cost of hedging our obligations under the notes
through one or more of our affiliates.
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(2)
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If the notes
priced today, J.P. Morgan Securities LLC, which we refer to as JPMS, acting
as agent for JPMorgan Chase & Co., would receive a commission of
approximately $65.00 per $1,000 principal amount note and would use a portion
of that commission to allow selling concessions to other affiliated or
unaffiliated dealers of approximately $35.00 per $1,000 principal amount
note. The concessions of approximately $35.00 per $1,000 principal amount
note include concessions to be allowed to selling dealers and concessions to
be allowed to any arranging dealer. This commission includes the projected
profits that our affiliates expect to realize, some of which may be allowed
to other unaffiliated dealers, for assuming risks inherent in hedging our
obligations under the notes. The actual commission received by JPMS may be more
or less than $65.00 and will depend on market conditions on the pricing date.
In no event will the commission received by JPMS, which includes concessions
to be and other amounts that may be allowed to other dealers, exceed $80.00
per $1,000 principal amount note. See Plan of Distribution (Conflicts of
Interest) beginning on page PS-153 of the accompanying product supplement
no. 186-A-I.
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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 23, 2010
Additional Terms Specific to the
Notes
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. 186-A-I dated March 22, 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. 186-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):
You may access additional information
regarding The J.P. Morgan Alternative Index Multi-Strategy 5 (USD) in the
Strategy Guide at the following URL:
http://www.sec.gov/Archives/edgar/data/19617/000095010310000682/crt_fwp.pdf
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.
We may create and issue additional notes with the same
terms as these notes, so that any additional notes will be considered part of
the same tranche as these notes.
Supplemental Terms of the Notes
For purposes of this offering, all
references to Principal Protected Notes or Principal Protected Notes linked
to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD) in the
accompanying product supplement no. 186-A-I are deemed to refer to Notes
linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD).
For the avoidance of doubt, the
concept of a Threshold Percentage is not applicable to the notes offered by this
term sheet.
The J.P. Morgan Alternative Index
Multi-Strategy 5 (USD)
The J.P. Morgan Alternative Index
Multi-Strategy 5 (USD), which we refer to as the Multi-Strategy Index or the
Index, was developed and is maintained and calculated by J.P. Morgan
Securities Ltd. (which we refer to as JPMSL or the index calculation
agent), one of our affiliates. The Index is a notional rules-based proprietary index that
tracks the return of twenty-six alternative investment strategies (each of
which we refer to as a Strategy). The Index is based on the theory that
returns may be generated from capturing inefficiencies or trends in market
prices of multiple asset classes. The Index is not intended to track a single
asset class or outperform any particular asset class, benchmark or investment
strategy. Instead, the Index employs several alternative investment strategies
covering different styles and asset classes, in order to seek to generate
positive performance with a low correlation to traditional asset classes. The
Index also seeks to cap its volatility at a target volatility of 5% or less.
The Investment Strategies and Asset
Classes Represented in the Index
Each of the Strategies can be
categorized based on the underlying investment strategy employed and the asset
class covered, as follows:
- Underlying investment strategy
employed:
- Momentum strategy: which seeks to
capitalize on the observed tendency of many markets to trend either up or down
for sustained time periods;
- Carry strategy: which seeks to capitalize
on the value differential between certain assets and is typically implemented
by notionally investing in an asset that is on a relative basis lower priced or
higher yielding and selling an asset that on a relative basis is higher priced
or lower yielding; or
- Satellite strategy: which consists of
one of two types of strategies that fall outside of the momentum and carry strategies,
namely, mean reversion and short volatility strategies.
- The mean reversion strategies seek to
capitalize on the view that over certain periods of time, markets are cyclical
meaning that an upward trend in the level of certain assets is usually followed
by a downward trend and vice versa.
- The short volatility strategy aims to
exploit the observed tendency of the implied volatility of an equity index to
be higher than the volatility experienced by the index.
- Asset class: equities,
interest rates, currencies or commodities.
Each Strategy is a notional
rules-based proprietary index developed and maintained by JPMSL, and is based,
in turn, on a number of underlying indices or assets, each of we refer to as an
Underlying Constituent.
Index Rebalancings and Weightings
The Index rebalances monthly a synthetic portfolio composed of the
Strategies. The Index rebalancing is based on a risk-budgeting approach to
asset allocation in which each Strategy is assigned a fixed percentage of the
target volatility of 5%. The Index assigns a preliminary weight to each
Strategy based upon the constituents daily maximum one-year volatility
measured over the previous five years. The higher the volatility has been for
a Strategy, the lower the preliminary weight assigned; conversely, the lower
the volatility has been, the higher the preliminary weight. If the maximum
one-year volatility of the synthetic portfolio (based on these preliminary
weights) measured over the previous five years is greater than the target
volatility of 5%, all the preliminary weights are scaled down accordingly.
However, if the portfolio volatility is lower than the target volatility, all
the preliminary weights are scaled up, subject to a maximum total weight of
200%. As the maximum total weight is 200%, no individual weight can exceed
200%.
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JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
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TS-1 |
Calculation of the
level of the Multi-Strategy Index
The level of the Index on any day reflects the sum of
the weighted returns of the Strategies since the immediately preceding
rebalancing date, adjusted for the change in the applicable currency exchange
rate for each Strategy and the deduction of an adjustment factor of 0.80% per
annum. The deduction of the adjustment factor of 0.80% per annum may have a
considerable impact on the level of the Index. In addition, adjustments are
made to the levels of the Strategies to reflect notional trading costs related
to the Underlying Constituents of the relevant Strategy. The adjustment factor
of 0.80% per annum from the level of the Index does not reflect any notional
trading costs relating to the Strategies or any Underlying Constituents.
Strategies
The
twenty-six Strategies categorized under momentum, carry and satellite are
listed in Tables 1, 2 and 3 below, respectively.
Table 1
Investment Strategy
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Asset Class
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Strategy*
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Momentum
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Equities
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US Equity Momentum
Strategy
European Equity Momentum
Strategy
Japan Equity Momentum Strategy
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Interest Rates
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Money Market Momentum US
Strategy
Money Market Momentum Europe
Strategy
Money Market Momentum Japan
Strategy
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FX
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EURUSD FX Momentum
Strategy
USDJPY FX Momentum
Strategy
EURJPY FX Momentum
Strategy
USDCAD FX Momentum
Strategy
AUDUSD FX Momentum
Strategy
EURGBP FX Momentum
Strategy
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Commodities
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Commodity Momentum Energy
Strategy
Commodity Momentum
Non-Energy Strategy
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Table 2
Investment Strategy
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Asset Class
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Strategy*
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Carry
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Equities
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Equity Value Carry
Strategy
Equity Small Cap Carry
Strategy
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Interest Rates
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Bond 2Y Carry Long
Strategy
Bond 10Y Carry Long
Strategy
Bond 2Y Carry Long-Short
Strategy
Bond 10Y Carry Long-Short
Strategy
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FX
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G10 FX Carry Strategy
Commodity Carry
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Commodities
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JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
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TS-2 |
Table 3
Investment Strategy
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Asset Class
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Strategy*
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Satellite
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Equities
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Mean Reversion US Strategy
Mean Reversion Europe Strategy
Mean Reversion Japan Strategy
Short Volatility Strategy
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* The words J.P. Morgan Alternative
Index precede the name of each Strategy but for the ease of display in the
above table, those words are not shown in the names of the Strategies.
See The J.P. Morgan
Alternative Index Multi-Strategy 5 (USD) and The J.P. Morgan Alternative Index
Multi-Strategy 5 (USD) The Strategies in the accompanying product supplement
no. 186-A-I for more information about the Index and the Strategies.
The Index is described as a
notional or synthetic portfolio or basket of assets because there is no actual
portfolio of assets to which any person is entitled or in which any person has
any ownership interest. The Index merely references certain assets, the
performance of which will be used as a reference point for calculating the
level of the Index.
The value of the Index is published
each trading day under the Bloomberg ticker symbol AIJPM5UE.
Selected Purchase Considerations
- POTENTIAL PRESERVATION OF CAPITAL AT
MATURITY Subject
to the credit risk of JPMorgan Chase & Co., the payout formula allows you to
receive at least your initial investment in the notes if you hold the notes to
maturity, regardless of the performance of the Index. Because the notes are
our senior unsecured obligations, payment of any amount at maturity is subject
to our ability to pay our obligations as they become due.
- APPRECIATION POTENTIAL At maturity, in addition to your
principal, for each $1,000 principal amount note you will receive a payment
equal to $1,000 × the Index Return × the Participation Rate**, provided
that this payment (the Additional Amount) will not be less than zero.
** The Participation Rate will be determined on the pricing date and will not be
less than 100%.
- RETURN LINKED TO A NOTIONAL DYNAMIC
BASKET THAT TRACKS THE RETURNS OF A PORTFOLIO OF A DIVERSE RANGE OF INVESTMENT
STRATEGIES AND ASSETS
The return on the notes is linked to the performance of the Multi-Strategy
Index. The Multi-Strategy Index references the value of a synthetic portfolio
of Strategies using three main underlying strategies and covering four asset
classes. The three main underlying strategies employed by the Multi-Strategy
Index are the momentum, carry and satellite investing strategies (the satellite
strategies consist of mean reversion strategies and a short volatility
strategy). The four asset classes covered by the Multi-Strategy Index are
equities, interest rates, currencies and commodities. For more information,
please see The J.P. Morgan Alternative Index Multi-Strategy 5 (USD) in this
term sheet and the accompanying product supplement no. 186-A-I.
-
TAXED AS CONTINGENT PAYMENT DEBT
INSTRUMENTS You
should review carefully the section entitled Certain U.S. Federal Income Tax
Consequences in the accompanying product supplement no. 186-A-I. Subject to
the limitations described therein, in the opinion of our special tax counsel,
Davis Polk & Wardwell LLP, the notes will be treated for U.S. federal income tax purposes as contingent payment debt
instruments. You generally will be required to accrue taxable interest income
in each year at a rate equal to our comparable yield, although we will not make
any payments with respect to the notes until maturity. Interest included in
income will increase your basis in your notes. Generally, any amount received
at maturity or earlier sale or exchange in excess of your adjusted basis will
be treated as additional interest income, while any loss will be treated as an
ordinary loss to the extent of all previous inclusions with respect to your
notes, which to that extent will be deductible against other income (e.g.,
employment and interest income), with the balance treated as capital loss,
which may be subject to limitations. Special rules may apply if the Additional
Amount is determined prior to the Observation Date as a result of a commodity
hedging disruption event. You should consult your tax adviser concerning the
application of these rules. Purchasers who are not initial purchasers of notes
at their issue price should consult their tax advisers with respect to the tax
consequences of an investment in notes, including the treatment of the
difference, if any, between the basis in their notes and the notes adjusted
issue price.
The discussion in the preceding
paragraph, when read in combination with the section entitled Certain U.S. Federal
Income Tax Consequences in the accompanying product supplement, constitutes
the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing
of notes.
- COMPARABLE YIELD AND PROJECTED PAYMENT
SCHEDULE We will
determine the comparable yield for the notes and will provide that comparable
yield, and the related projected payment schedule, in the pricing supplement
for the notes, which we will file with the SEC. If the notes had priced on November 22, 2010 and we had determined the comparable
yield on that date, it would have been an annual rate of 2.75%, compounded semiannually.
The actual comparable yield that we will determine for the notes may be more or
less than 2.75%, and will depend upon a variety of factors, including actual
market conditions and our borrowing costs for debt instruments of comparable
maturities. Neither the comparable yield nor the projected payment schedule
constitutes a representation by us regarding the actual Additional Amount, if
any, that we will pay on the notes.
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JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-3 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the
notes is not equivalent to investing directly in the Strategies, the Underlying
Constituents or the securities, futures contracts or currencies underlying the
Strategies or the Underlying Constituents. These risks are explained in more
detail in the Risk Factors section of the accompanying product supplement no.
186-A-I dated March 22,
2010.
- MARKET RISK The return on the notes at
maturity is linked to the performance of the Index, and will depend on whether,
and the extent to which, the Index Return is positive. YOU WILL RECEIVE NO
MORE THAN THE PRINCIPAL AMOUNT OF YOUR NOTES AT MATURITY IF THE INDEX RETURN IS
ZERO OR NEGATIVE.
- THE NOTES MIGHT NOT PAY MORE THAN THE
PRINCIPAL AMOUNT AT MATURITY You may receive a lower payment at maturity than you would have received if you had invested directly in the
Strategies, the Underlying Constituents or the securities, futures contracts or
currencies underlying the Strategies or the Underlying Constituents for which
there is an active secondary market. If the Ending Index Value does not exceed
the Initial Index Value, the Additional Amount will be zero. This will be true
even if the value of the Index was higher than the Initial Index Value at some
time during the life of the notes but falls below the Initial Index Value on
the Observation Date.
- CREDIT RISK OF JPMORGAN CHASE &
CO. The notes are subject to the credit
risk of JPMorgan Chase & Co. and our credit ratings and credit spreads may
adversely affect the market value of the notes. Investors are dependent on
JPMorgan Chase & Co.s ability to pay all amounts due on the notes at
maturity, and therefore investors are subject to our credit risk and to changes
in the markets view of our creditworthiness. Any decline in our credit
ratings or increase in the credit spreads charged by the market for taking our
credit risk is likely to affect adversely the value of the notes.
- POTENTIAL CONFLICTS We and our affiliates play a
variety of roles in connection with the issuance of the notes, including acting
as note calculation agent the entity that, among other things, determines the
Index closing values to be used to determine your payment at maturity and
acting as index calculation agent and sponsor of the Index, the Strategies and
most of the Underlying Constituents and hedging our obligations under the
notes. In performing these duties, the economic interests of the note
calculation agent, index calculation agent, sponsor of the Multi-Strategy
Index, sponsor of the Strategies and other affiliates of ours are potentially
adverse to your interests as an investor in the notes.
-
CERTAIN BUILT-IN COSTS ARE LIKELY TO
AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY While the payment at maturity described in this term
sheet is based on the full principal amount of your notes, the original issue
price of the notes includes the agents commission and the estimated cost of
hedging our obligations under the notes. As a result, and as a general matter,
the price, if any, at which JPMS will be willing to purchase notes from you in
secondary market transactions, if at all, will likely be lower than the original
issue price and any sale prior to the maturity date could result in a
substantial loss to you. This secondary market price will also be affected by
a number of factors aside from the agents commission and hedging costs,
including those set forth under Many Economic and Market Factors Will Affect
the Value of the Notes below.
The notes are not designed to be
short-term trading instruments. Accordingly, you should be able and willing to
hold your notes to maturity.
- OUR AFFILIATE, J.P. MORGAN SECURITIES
LTD., OR JPMSL, IS THE INDEX CALCULATION AGENT AND MAY ADJUST THE INDEX IN A
WAY THAT AFFECTS ITS LEVEL JPMSL, one of our affiliates, acts as the index calculation agent and
sponsor of the Index, the Strategies and most of the Underlying Constituents
and is responsible for calculating and maintaining the Index, the Strategies
and these Underlying Constituents and developing the guidelines and policies
governing their composition and calculation. The rules governing the Index,
the Strategies and these Underlying Constituents may be amended at any time by
JPMSL, in its sole discretion, and the rules also permit the use of discretion
by JPMSL in specific instances, such as the right to substitute another index
or asset as an Underlying Constituent or the right to remove a Strategy or an
Underlying Constituent. Unlike other indices, the maintenance of the Index,
the Strategies and these Underlying Constituents is not governed by an
independent committee. Although judgments, policies and determinations concerning
the Index, the Strategies and these Underlying Constituents are made by JPMSL,
JPMorgan Chase & Co., as the parent company of JPMSL, ultimately controls
JPMSL.
In addition, the policies and
judgments for which JPMSL is responsible could have an impact, positive or
negative, on the level of the Index and the value of your notes. JPMSL is
under no obligation to consider your interests as an investor in the notes.
Furthermore, the inclusion of the Strategies (and indirectly, these Underlying
Constituents) in the Index is not an investment recommendation by us or JPMSL
of the Strategies or these Underlying Constituents, or any of the securities,
futures contracts or other assets underlying the Strategies or these Underlying
Constituents.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-4 |
- JPMS AND ITS AFFILIATES MAY HAVE PUBLISHED RESEARCH,
EXPRESSED OPINIONS OR PROVIDED RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR
HOLDING THE NOTES. ANY SUCH RESEARCH, OPINIONS, OR RECOMMENDATIONS COULD
AFFECT THE MARKET VALUE OF THE NOTES JPMS and its affiliates publish research from time to
time on financial markets and other matters that may influence the value of the
notes, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the notes. JPMS and its affiliates may have
published research or other opinions that call into question the investment
view implicit in an investment in the notes. Any research, opinions or
recommendations expressed by JPMS or its affiliates may not be consistent with
each other and may be modified from time to time without notice. Investors
should make their own independent investigation of the merits of investing in
the notes and the Strategies and the securities, futures contracts and
currencies underlying the Strategies to which the notes are linked.
- NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS As a holder of the notes, you will
not receive any interest payments, and you will not have voting rights or
rights to receive cash dividends or other distributions or other rights that
holders of securities or futures contracts underlying the Strategies would
have.
- THE INDEX MAY NOT BE SUCCESSFUL AND MAY NOT OUTPERFORM ANY
ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED The Index follows and is
constructed on twenty-six notional rules-based proprietary strategies that
operate on the basis of pre-determined rules. No assurance can be given that
any investment strategy or combination of investment strategies on which the
Index is based will be successful or that the Index will outperform any
alternative strategy that might be employed.
- THE TARGET VOLATILITY OF THE MULTI-STRATEGY INDEX MAY NOT BE
ACHIEVED The
Multi-Strategy Index rebalances monthly by assigning weights to the Strategies
that are intended to achieve a target volatility of up to 5%. However, because
these weights are assigned based on historical volatility of the Strategies and
are subject to a maximum aggregate and individual weight of 200%, the actual
realized volatility of the Multi-Strategy Index may be greater than or less
than 5%, which may adversely affect the level of the Multi-Strategy Index and
the notes.
- THE REPORTED LEVELS OF THE MULTI-STRATEGY INDEX AND MOST OF
THE STRATEGIES WILL INCLUDE THE DEDUCTION OF AN ADJUSTMENT FACTOR One way in which the Multi-Strategy Index and most of
the Strategies differ from a typical index is that their daily reported levels
include a deduction from the aggregate values of their respective constituents
of an adjustment factor assessed at varying annual rates (0.80% per annum for the
Multi-Strategy Index and a range of adjustment factors depending on the
Strategy). Each adjustment factor is deducted daily. As a result of the
deduction of these multiple adjustment factors, the value of the Multi-Strategy
Index will trail the value of a hypothetical identically constituted synthetic
portfolio from which no such amounts are deducted.
- THE INDEX MAY NOT BE A FULLY DIVERSIFIED PORTFOLIO Diversification is generally
considered to reduce the amount of risk associated with generating returns.
There can be no assurance that the Index, a synthetic portfolio of Strategies,
will be sufficiently diversified at any time.
- THE INDEX COMPRISES NOTIONAL ASSETS AND LIABILITIES The exposures to the Strategies
and any of their Underlying Constituents are purely notional and will exist
solely in the records maintained by or on behalf of the index calculation
agent. There is no actual portfolio of assets to which any person is entitled
or in which any person has any ownership interest. Consequently, you will not
have any claim against any of the Strategies composing the Index or any of
their Underlying Constituents.
- THE INVESTMENT STRATEGY USED TO CONSTRUCT THE INDEX INVOLVES
MONTHLY REBALANCING
The Strategies are subject to monthly rebalancing. A synthetic portfolio that
does not rebalance monthly and is not subject to any weighting caps could see
greater compounded gains over time through exposure to a consistently and
rapidly appreciating portfolio consisting of the Strategies.
- THE NOTES MAY BE SUBJECT TO INCREASED VOLATILITY DUE TO THE
USE OF LEVERAGE
The Index and some of the Strategies (including the momentum strategies and
some of the bond carry strategies) may use leverage to increase the return from
any Strategy or Underlying Constituent, as applicable. It is possible, though
unlikely, that the maximum total weight of the Index and the Strategies will be
200%. Where the synthetic portfolio is leveraged, any price movements in the
Strategies or Underlying Constituents, as applicable, may result in greater
changes in the value of Strategies or Underlying Constituents, as applicable,
than if leverage was not used. In particular, the use of leverage will magnify
any negative performance of the Strategies or Underlying Constituents, as applicable,
which in turn could cause you to receive a lower payment at maturity than you
otherwise would have received. In addition, some of the Underlying
Constituents are composed of highly leveraged instruments, such as futures
contracts. The use of these futures contracts as components of these
Underlying Constituents may potentially result in higher volatility than would
occur in the absence of their usage.
- BECAUSE THE MOMENTUM STRATEGIES, THE CARRY STRATEGIES AND THE MEAN REVERSION STRATEGIES INCLUDE OR PERMIT NOTIONAL SHORT
POSITIONS, THE INDEX MAY BE SUBJECT TO ADDITIONAL RISKS Each Strategy that is a momentum
strategy, a carry strategy or a mean reversion strategy includes or permits
notional short positions in its Underlying Constituents. Unlike long
positions, short positions are subject to unlimited risk of loss because there
is no limit on the amount by which the price that the relevant asset may
appreciate before the short position is closed. It is possible that any
notional short position included in any such Strategy may appreciate
substantially with an adverse impact on the value of such Strategy and the
Index, and, consequently, on the amount you will receive at maturity for your
notes.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-5 |
- CHANGES IN THE VALUE OF THE STRATEGIES MAY OFFSET EACH OTHER
AND CORRELATION OF PERFORMANCES AMONG THE STRATEGIES MAY REDUCE PERFORMANCE OF
THE NOTES Because
the notes are linked to the Index, which is linked to the performance of the
Strategies, which collectively represent a diverse range of asset classes and
geographic regions, price movements among the Strategies representing different
asset classes or geographic regions may not correlate with each other. At a
time when the value of a Strategy representing a particular asset class or
geographic region increases, the value of other Strategies representing a
different asset class or geographic region may not increase as much or may
decline. Therefore, in calculating the level of the Index, increases in the level
of some of the Strategies may be moderated, or more than offset, by lesser
increases or declines in the level of other Strategies. However, high
correlation during periods of negative returns among Strategies that represent
any one sector or asset type and that have a substantial percentage weighting
in the Index could have an adverse effect on your return on your investment at
maturity.
- THE MULTI-STRATEGY INDEX AND THE
STRATEGIES HAVE A LIMITED OPERATING HISTORY The Multi-Strategy Index was established in November 2009.
The Strategies were established in
or prior to November 2009. Therefore, the Multi-Strategy Index and the
Strategies have limited historical performance. Back-testing or similar
analysis in respect of the Multi-Strategy Index and the Strategies must be
considered illustrative only and may be based on estimates or assumptions not
used by the index calculation agent when determining the Multi-Strategy Index
values.
- THE INDEX AND THE STRATEGIES ARE
EXCESS RETURN INDICES AND NOT TOTAL RETURN INDICES The Index is linked to 26 Strategies,
each of which is an excess return index. An excess return index reflects the
returns that are potentially available through an uncollateralized or unfunded
investment in the assets underlying such index. By contrast, a total return
index also reflects interest that could be earned on funds committed to the
trading of the underlying assets. Investing in the notes will therefore not
generate the same return as one would obtain from investing directly in the
relevant underlying assets or in a total return index related to such
underlying assets.
- OWNING THE NOTES INVOLVES THE RISKS
ASSOCIATED WITH THE MULTI-STRATEGY INDEXS MOMENTUM INVESTMENT STRATEGY Each Strategy that is a momentum strategy employs a mathematical model that
seeks to capitalize on positive and negative trends in the prices of assets on
the assumption that if an asset performs well or poorly, it will continue to
perform well or poorly in the future. Consequently, a momentum investing strategy may perform
poorly in non-trending markets characterized by short term volatility. No assurance can be given
that a momentum investment strategy will be successful or that it will
outperform any alternative strategy.
- OWNING THE NOTES INVOLVES THE RISKS ASSOCIATED WITH
THE MULTI-STRATEGY INDEXS CARRY INVESTMENT STRATEGY Each Strategy that is a carry
strategy
employs an investment strategy that broadly seeks to capitalize on the observed value
differential between an asset that is on a relative basis lower priced or
higher yielding and an asset that on a relative basis is higher priced or lower
yielding.
However, if the underlying assets move against the direction expected by the
strategy, the strategy may perform poorly. No assurance can be given that a carry strategy will be successful
or that it will outperform any alternative strategy.
- OWNING THE NOTES INVOLVES
THE RISKS ASSOCIATED WITH THE MULTI-STRATEGY INDEXS MEAN REVERSION INVESTMENT STRATEGY Each Strategy that is a mean
reversion strategy seeks to
capitalize on the view that over short periods of time, markets are cyclical
meaning that an upward trend in the level of an Underlying Constituent is
usually followed by a downward trend or vice versa. However, any sustained
decline or increase in the level of the relevant index at a time when the mean
reversion theory would suggest that the index level should increase or decline
may result in unexpected losses, which could be significant. No assurance can
be given that a mean reversion strategy will be successful or that it will
outperform any alternative strategy.
- OWNING THE NOTES INVOLVES
THE RISKS ASSOCIATED WITH THE MULTI-STRATEGY INDEXS SHORT VOLATILITY STRATEGY The short volatility
strategy seeks to
capitalize from the long-term trend of the observed volatility of a broad
market equity index, such as the S&P 500® Index, tending to be
less than the volatility implied by prices in the equity options market, as
represented by the CBOE Volatility Index®. However, we cannot
guarantee that the implied volatility will always be greater than the realized
volatility, and the value of the short volatility strategy will decrease if the
implied volatility is less than the realized volatility. No assurance can be
given that a short volatility strategy will be successful or that it will outperform
any alternative strategy.
- THE BOND CARRY STRATEGIES ARE BASED
ON SYNTHETIC ZERO COUPON BONDS, WHICH MAY DIFFER FROM ACTUAL BONDS THAT ARE
PUBLICLY TRADED
Each Strategy that is a bond carry strategy tracks the performance of a
notional portfolio of synthetic zero coupon bonds (which could be long only or
long-short, depending on the particular bond carry strategy) denominated in
different currencies. These synthetic zero coupon bonds are purely
hypothetical and are not tradeable, and there is no publicly available source
for the prices of these bonds. The prices of these synthetic bonds, which are
used in the calculation of the value of the relevant Strategy, are
synthetically constructed to equal the present value of the principal amount to
be paid at maturity. These synthetic bonds may perform differently from actual
bonds that are publicly traded, and these Strategies may not perform as well as
another index or strategy that tracks actual, publicly traded bonds or other
measures of interest rates.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-6 |
- AN INVESTMENT IN THE NOTES CARRIES
THE RISKS ASSOCIATED WITH THE SELECTION METHODOLOGY USED FOR THE LONG CONSTITUENT IN THE COMMODITY CARRY STRATEGY The long constituent for the commodity carry strategy is
constructed, in part, using an algorithmic methodology which uses, along with
other criteria, the slope of the commodities futures curve in order to select a
particular futures contract for each eligible commodity in which to
synthetically gain exposure (the Selection Methodology). The futures contract
with respect to each eligible commodity with the highest level of
backwardation is selected, subject to certain limitations. Backwardation
refers to the situation where commodities futures contracts with a delivery
month further away in time have lower settlement prices than futures contracts
with a delivery month closer in time. If there is no futures contract for
one or more eligible commodities with backwardation, the Selection Methodology
will select the futures contract with the lowest level of contango for any such
commodities. Contango refers to the situation where the futures
contracts for a commodity with a delivery month further in time have higher
contract prices than futures contracts for the same commodity with a delivery
month closer in time. There is no guarantee that the commodities futures
market will be, and continue to be, in backwardation throughout the term of the
notes. The presence of contango in the commodity markets could result
in negative roll yields. The long constituent may perform poorly in
such markets and accordingly, the level of the commodity carry strategy and
your payment at maturity may be adversely affected.
- THE VOLATILITY MATCHING USED IN THE
COMMODITY CARRY STRATEGY MAY NOT ACHIEVE ITS INTENDED RESULT The commodity carry strategy uses
a long-short strategy. In order to limit realized volatility, the commodity
carry strategy uses volatility matching by attempting to match the volatility
of the short constituent to the volatility of the long constituent. However,
there can be no guarantee that the volatility matching mechanism will
effectively lead to a reduced volatility of the commodity carry strategy.
- THE SHORT VOLATILITY STRATEGY MAY
LEAD TO LARGE NEGATIVE RETURNS IN PERIODS OF HIGH VOLATILITY The strategy of synthetically
selling volatility can lead to large negative returns in periods of high
volatility in the underlying equity index. Therefore, increased returns (or
volatility) of the underlying equity index will result in proportionally higher
negative returns in the short volatility strategy, which may adversely affect
the value of the notes and the amount you receive at maturity.
- AN INVESTMENT IN THE NOTES IS SUBJECT
TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS Some or all of the securities of
certain Underlying Constituents (the MSCI Daily Value Total Return Gross World
Index and the MSCI Daily Total Return Gross World Index (together, the MSCI Indices)) and the indices (the EURO STOXX 50®
Index and the Nikkei 225 Index) underlying some of the Underlying Constituents
have been issued by non-U.S. issuers. Investments in securities linked to the
value of such non-U.S. equity securities involve risks associated with the
securities markets in those countries, including risks of volatility in those
markets, government intervention in those markets and cross shareholdings in
companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than about
U.S. companies that are subject to the
reporting requirements of the SEC, and generally non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements and
securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in
foreign markets may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange laws.
- THE COMMODITY FUTURES CONTRACTS
UNDERLYING THE RELEVANT STRATEGIES ARE SUBJECT TO UNCERTAIN LEGAL AND
REGULATORY REGIMES
The commodity futures
contracts that underlie the relevant Strategies are subject to legal and
regulatory regimes in the United States and, in some cases, in other countries
that may change in ways that could adversely affect our ability to hedge our
obligations under the notes and affect the value of the Multi-Strategy Index.
Any future regulatory changes, including but not limited to changes resulting
from the Dodd-Frank Wall Street Reform and Consumer Protection Act (the
Dodd-Frank Act), which was enacted on July 21, 2010, may have a substantial
adverse effect on the value of your notes. Additionally, in accordance with
the Dodd-Frank Act, the U.S. Commodity Futures Trading Commission is drafting
regulations that will affect market participants position limits in certain
commodity-based futures contracts, such as futures contracts on certain energy
and agricultural based commodities. These proposed regulations, when final and
implemented, may reduce liquidity in the exchange-traded market for such
commodity-based futures contracts and may result in the index calculation agent
exercising its discretionary right to exclude or substitute constituents of the
Index, which may, in turn, have a negative effect on the level of the Index and
your payment at maturity. Please see The J.P. Morgan Alternative Index
Multi-Strategy 5 (USD) Extraordinary Events Affecting the Index and the
Underlying Constituents in the accompanying product supplement no. 186-A-I for
more information. In addition, we or our affiliates may be unable as a result
of such restrictions to effect transactions necessary to hedge our obligations
under the notes, in which case we may, in our sole and absolute discretion,
cause the note calculation agent to determine the value of the Additional
Amount for your notes early. If the Additional Amount for your notes is
determined early as the result of a commodity hedging disruption event, the
amount due and payable on your notes will be due and payable only at maturity
and the amount you receive at maturity will not reflect any further
appreciation of the Index after such early determination. Please see General
Terms of Notes Market Disruption Events and General Terms of Notes
Consequences of a Commodity Hedging Disruption Event in the accompanying
product supplement no. 186-A-I for more information.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-7 |
- INVESTMENTS RELATED TO THE VALUE OF
COMMODITIES TEND TO BE MORE VOLATILE THAN TRADITIONAL SECURITIES INVESTMENTS The market values of commodities
tend to be highly volatile. Commodity market values are not related to the
value of a future income or earnings stream, as tends to be the case with
fixed-income and equity investments, but are subject to variables of specific
application to commodities markets. These variables include changes in supply
and demand relationships, governmental programs and policies, national and
international monetary, trade, political and economic events, changes in
interest and exchange rates, speculation and trading activities in commodities
and related contracts, weather, and agricultural, trade, fiscal and exchange
control policies. These variables may create additional investment risks that
cause the value of the notes to be more volatile than the values of traditional
securities.
- THE NOTES ARE SUBJECT TO CURRENCY
EXCHANGE RISK
Because some of the Strategies are based on foreign currency exchange rates and
the prices of the securities or futures contracts included in the Underlying
Constituents of some of the other Strategies are converted into U.S. dollars
for purposes of calculating the value of the relevant Strategy, your notes will
be exposed to currency exchange rate risk. The exchange rate between two
currencies is at any moment a result of the supply and demand for those
currencies. Of particular importance to potential currency exchange risk are:
- existing and expected rates of
inflation;
- existing and expected interest rate
levels;
- the balance of payments in the
countries issuing the relevant currencies; and
- the extent of governmental surplus or
deficit in the countries issuing the relevant currencies.
All of these factors are, in turn,
sensitive to the monetary, fiscal and trade policies pursued by the countries
issuing the relevant currencies and those of other countries important to
international trade and finance.
- THE NOTES ARE SUBJECT TO INTEREST
RATE RISK Some of
the Strategies are based on changes in, or differences between, interest
rates. Interest rates are subject to volatility due to a variety of factors,
including:
- sentiment regarding underlying
strength in the relevant economy and global economies;
- expectation regarding the level of
price inflation;
- sentiment regarding credit quality in
the relevant economy and global credit markets;
- central bank policy regarding
interest rates; and
- performance of capital markets.
Fluctuations in interest rates could
affect the value of these Strategies, the Index and the notes.
- LACK OF LIQUIDITY The notes will not be listed on any
securities exchange. JPMS intends to offer to purchase the notes in the
secondary market but is not required to do so. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell the
notes easily. Because other dealers are not likely to make a secondary market
for the notes, the price at which you may be able to trade your notes is likely
to depend on the price, if any, at which JPMS is willing to buy the notes.
- MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE NOTES In addition to the Index closing value on any day, the
value of the notes will be affected by a number of economic and market factors
that may either offset or magnify each other, including:
- the volatility in the Index, the
Strategies and the Underlying Constituents;
- the time to maturity of the notes;
- the dividend rate on the equity
securities underlying some of the Underlying Constituents;
- the market price of the physical commodities
upon which the futures contracts that compose the Underlying Constituents are
based;
- interest and yield rates in the
market generally;
- foreign currency exchange rates;
- economic, financial, political,
regulatory, geographical, agricultural, meteorological and judicial events that
affect the commodities underlying the Underlying Constituents or markets
generally and which may affect the value of the commodity futures contracts,
and thus the closing levels of the Underlying Constituents; and
- our creditworthiness, including
actual or anticipated downgrades in our credit ratings.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-8 |
What Is the Total Return on the Notes at Maturity,
Assuming a Range of Performances for the Multi-Strategy Index?
The following table and examples illustrate the
payment at maturity (including, where relevant, the payment of the Additional
Amount) for a $1,000 principal amount note for a hypothetical range of
performances for the Index Return from -80% to +80% and assume a
Participation Rate of 100% and an Initial Index Value of 100. The actual Participation Rate will be
determined on the pricing date and will not be less than 100%. The
following results are based solely on the hypothetical example cited and assume
that a commodity hedging disruption event has not occurred during the term of
the notes. The hypothetical payments at
maturity set forth below are for illustrative purposes only and may not be the
actual payments at maturity applicable to a purchaser of the notes. The
numbers appearing in the following table and examples have been rounded for
ease of analysis.
|
Ending Index
Value
|
Index
Return
|
Index Return ×
Participation Rate (100%)
|
Additional
Amount
|
|
Principal
|
|
Payment at Maturity
|
|
180.00
|
80.00%
|
80.00%
|
$800.00
|
+
|
$1,000.00
|
=
|
$1,800.00
|
170.00
|
70.00%
|
70.00%
|
$700.00
|
+
|
$1,000.00
|
=
|
$1,700.00
|
160.00
|
60.00%
|
60.00%
|
$600.00
|
+
|
$1,000.00
|
=
|
$1,600.00
|
150.00
|
50.00%
|
50.00%
|
$500.00
|
+
|
$1,000.00
|
=
|
$1,500.00
|
140.00
|
40.00%
|
40.00%
|
$400.00
|
+
|
$1,000.00
|
=
|
$1,400.00
|
130.00
|
30.00%
|
30.00%
|
$300.00
|
+
|
$1,000.00
|
=
|
$1,300.00
|
120.00
|
20.00%
|
20.00%
|
$200.00
|
+
|
$1,000.00
|
=
|
$1,200.00
|
115.00
|
15.00%
|
15.00%
|
$150.00
|
+
|
$1,000.00
|
=
|
$1,150.00
|
110.00
|
10.00%
|
10.00%
|
$100.00
|
+
|
$1,000.00
|
=
|
$1,100.00
|
105.00
|
5.00%
|
5.00%
|
$50.00
|
+
|
$1,000.00
|
=
|
$1,050.00
|
100.00
|
0.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
95.00
|
-5.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
90.00
|
-10.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
85.00
|
-15.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
80.00
|
-20.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
70.00
|
-30.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
60.00
|
-40.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
50.00
|
-50.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
40.00
|
-60.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
30.00
|
-70.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
20.00
|
-80.00%
|
N/A
|
$0.00
|
+
|
$1,000.00
|
=
|
$1,000.00
|
|
Hypothetical
Examples of Amounts Payable at Maturity
The following examples illustrate how the total
returns set forth in the table above are calculated.
Example 1: The value of the Index increases from the Initial
Index Value of 100 to an Ending Index Value of 120. Because the Ending Index Value of 120 is greater
than the Initial Index Value of 100, the Additional Amount is equal to $200 and
the payment at maturity is equal to $1,200 per $1,000 principal amount note,
calculated as follows:
$1,000 + ($1,000 × [(120-100)/100] × 100%) = $1,200
Example 2: The value of the Index decreases from the Initial
Index Value of 100 to an Ending Index Value of 85. Because the Ending Index Value of 85 is lower than
the Initial Index Value of 100, the payment at maturity per $1,000 principal
amount note is the principal amount of $1,000.
Example 3: The value of the Index neither increases nor
decreases from the Initial Index Value of 100. Because the Ending Index Value of 100 is equal to
the Initial Index Value of 100, the payment at maturity is equal to $1,000 per
$1,000 principal amount note.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-9 |
The following
graph demonstrates the hypothetical total return on the notes at maturity for a
subset of the Index Returns detailed in the table on the previous page (-30% to
40%). The numbers appearing in the graph have been rounded for ease of
analysis.
Hypothetical Back-tested Data and Historical Information
The
following graph sets forth the hypothetical back-tested performance of the
Index based on the hypothetical back-tested weekly Index closing values from January 7, 2005 through November 30, 2009, and the historical performance of the Index based on the
weekly Index closing values from November 30, 2009 through November 19, 2010. The Index was established on November 30, 2009. The Index closing value on November 22, 2010 was 101.88. We obtained the Index closing values 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 and historical values of the
Index should not be taken as an indication of future performance, and no
assurance can be given as to the Index closing value on the pricing date or the
Observation Date. We cannot give you assurance that the performance of the
Index will result in the return of any of your initial investment at maturity.
The hypothetical back-tested performance of the Multi-Strategy Index set forth
in the following graph was calculated on materially the same basis as the performance
of the Multi-Strategy Index is now calculated but does not represent the actual
historical performance of the Index. Hypothetical daily performance data for the
Multi-Strategy Index is net of an adjustment factor of 0.80% per annum.
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. No representation is made that an investment in the notes will
or is likely to achieve returns similar to those shown.
Alternative 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.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-10 |