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
|
|
Term Sheet to
Product Supplement 186-A-I
Registration Statement No.
333-155535
Dated February 2, 2011; Rule 433 |
Structured
Investments
|
|
$
Notes Linked to the J.P. Morgan Alternative Index
Multi-Strategy 5 (USD)
due August 11, 2014 |
General
- Senior unsecured obligations of JPMorgan
Chase & Co. maturing August
11, 2014*
- 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 February 4, 2011 and are expected to settle on or about
February 9, 2011.
Key Terms
Index:
|
J.P. Morgan Alternative Index
Multi-Strategy 5 (USD) (the Multi-Strategy Index or the Index)
|
Payment at Maturity:
|
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. |
Additional Amount:
|
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.
|
Participation Rate:
|
At least 100%. The actual
Participation Rate will be determined on the pricing date and will not be
less than 100%.
|
Index Return:
|
Ending Index Value Initial Index Value
Initial Index Value
|
Initial Index Value:
|
The Index closing value on the
pricing date, which is expected to be on or about February 4, 2011
|
Ending Index Value:
|
The Index closing value on the
Observation Date
|
Observation Date:
|
August 6, 2014*
|
Maturity Date:
|
August 11,
2014*
|
CUSIP:
|
48125XDF0
|
*
|
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
|
|
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.
|
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.
|
|
Price to Public (1)
|
Fees and Commissions (2)
|
Proceeds to Us
|
|
Per note
|
$
|
$
|
$
|
|
Total
|
$
|
$
|
$
|
|
(1)
|
The
price to the public includes the estimated cost of hedging our obligations
under the notes through one or more of our affiliates.
|
(2)
|
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 $28.50 per $1,000 principal amount note and may use a portion
of that commission to allow selling concessions to other dealers of
approximately $1.00 per $1,000 principal amount note. This commission
includes the projected profits that our affiliates expect to realize for
assuming risks inherent in hedging our obligations under the notes. The actual
commission received by JPMS may be more or less than $28.50 and will depend
on market conditions on the pricing date. In no event will the commission
received by JPMS, which includes concessions that may be allowed to other
dealers, exceed $35.00 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.
|
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.
February 2, 2011
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%.
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
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
|
Asset Class
|
Strategy*
|
Momentum
|
Equities
|
US Equity Momentum Strategy
European Equity Momentum
Strategy
Japan Equity Momentum Strategy
|
Interest Rates
|
Money Market Momentum US Strategy
Money Market Momentum Europe Strategy
Money Market Momentum Japan Strategy
|
FX
|
EURUSD FX Momentum Strategy
USDJPY FX Momentum Strategy
EURJPY FX Momentum Strategy
USDCAD FX Momentum Strategy
AUDUSD FX Momentum Strategy
EURGBP FX Momentum Strategy
|
Commodities
|
Commodity Momentum Energy
Strategy
Commodity Momentum
Non-Energy Strategy
|
Table 2
Investment
Strategy
|
Asset Class
|
Strategy*
|
Carry
|
Equities
|
Equity Value Carry Strategy
Equity Small Cap Carry
Strategy
|
Interest Rates
|
Bond 2Y Carry Long Strategy
Bond 10Y Carry Long Strategy
Bond 2Y Carry Long-Short
Strategy
Bond 10Y Carry Long-Short
Strategy
|
FX
|
G10 FX Carry Strategy
|
Commodities
|
Commodity Carry
|
|
JPMorgan
Structured Investments
Notes Linked to the J.P. Morgan Alternative Index Multi-Strategy 5 (USD)
|
TS-2 |
Table
3
Investment Strategy
|
Asset Class
|
Strategy*
|
Satellite
|
Equities
|
Mean Reversion US Strategy
Mean Reversion Europe
Strategy
Mean Reversion Japan
Strategy
Short Volatility Strategy
|
* 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 February
1, 2011 and we had determined the
comparable yield on that date, it would have been an annual rate of 2.39%, compounded
semiannually. The actual comparable yield that we will determine for the notes
may be more or less than 2.39%, 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.
|
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 6, 2006 through November 30, 2009, and the historical performance of the Index based on the weekly
Index closing values from November 30, 2009 through January 28, 2011. The Index was established on November 30 , 2009. The Index closing value on February 1, 2011 was 104.22. 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 |