Term sheet
To prospectus dated November 21, 2008,
prospectus supplement dated November 21, 2008 and
product supplement no. 202-A-I dated January 25, 2011
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Term
Sheet to
Product
Supplement 202-A-I
Registration Statement No. 333-155535
Dated January 25, 2011; Rule 43
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Structured
Investments
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$
Notes Linked to the JPMorgan ETF Efficiente 5 Index due February 20, 2015
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General
- Senior unsecured obligations
of JPMorgan Chase & Co. maturing February 20, 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 JPMorgan ETF Efficiente
5 Index 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 JPMorgan ETF Efficiente 5 Index, any
of the Basket Constituents or any of the assets underlying the Basket Constituents.
- Minimum denominations
of $1,000 and integral multiples thereof
- The notes are expected
to price on or about February 17, 2011 and are expected to settle on or about
February 23, 2011.
Key
Terms
Index:
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JPMorgan ETF Efficiente
5 Index (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.
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You
are entitled to repayment of principal in full at maturity, subject to the
credit risk of JPMorgan Chase & Co. |
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 February
17, 2011
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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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February 17, 2015*
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Maturity Date:
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February 20, 2015*
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CUSIP:
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48125XBY1
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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. 202-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. 202-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. 202-A-I and Selected Risk Considerations
beginning on page TS-4 of this term sheet.
Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved
of the notes or passed upon the accuracy or the adequacy of this term sheet
or the accompanying prospectus supplement and prospectus. Any representation
to the contrary is a criminal offense.
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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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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
$55.30 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 $25.00 per $1,000 principal amount note. The
concessions of approximately $25.00 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 $55.30 and will depend on market conditions on the
pricing date. In no event will the commission received by JPMS, which
includes concessions 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-132 of the accompanying
product supplement no. 202-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.
January 25, 2011
Additional
Terms Specific to the Notes
JPMorgan Chase &
Co. has filed a registration statement (including a prospectus) with the Securities
and Exchange Commission, or SEC, for the offering to which this term sheet relates.
Before you invest, you should read the prospectus in that registration statement
and the other documents relating to this offering that JPMorgan Chase &
Co. has filed with the SEC for more complete information about JPMorgan Chase
& Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC website at www.sec.gov. Alternatively, JPMorgan Chase &
Co., any agent or any dealer participating in this offering will arrange to
send you the prospectus, the prospectus supplement, product supplement no. 202-A-I
and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer
to purchase the notes at any time prior to the time at which we accept such
offer by notifying the applicable agent. We reserve the right to change the
terms of, or reject any offer to purchase, the notes prior to their issuance.
In the event of any changes to the terms of the notes, we will notify you and
you will be asked to accept such changes in connection with your purchase.
You may also choose to reject such changes in which case we may reject your
offer to purchase.
You should read this term
sheet together with the prospectus dated November 21, 2008, as supplemented
by the prospectus supplement dated November 21, 2008 relating to our Series
E medium-term notes of which these notes are a part, and the more detailed information
contained in product supplement no. 202-A-I dated January 25, 2011. 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. 202-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 JPMorgan ETF Efficiente 5 Index in the Strategy Guide
at the following URL:
http://www.sec.gov/Archives/edgar/data/19617/000095010311000060/crt-dp20603_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.
The
JPMorgan ETF Efficiente 5 Index
The JPMorgan ETF Efficiente
5 Index (the Index) was developed and is maintained and calculated by J.P.
Morgan Securities Ltd. (JPMSL), one of our affiliates. JPMSL acts as the
calculation agent for the Index (the index calculation agent). The Index
is a notional dynamic basket that tracks the excess return of a portfolio of
12 exchange-traded funds (ETFs) (each an ETF Constituent, and collectively
the ETF Constituents), with dividends reinvested, and the JPMorgan Cash Index
USD 3 Month (the Cash Constituent) (each a Basket Constituent, and collectively
the Basket Constituents) above the return of the Cash Constituent. The Basket
Constituents represent a diverse range of asset classes and geographic regions.
The Index rebalances monthly
a synthetic portfolio composed of the Basket Constituents. The Index is based
on the modern portfolio theory approach to asset allocation, which suggests
how a rational investor should allocate his capital across the available universe
of assets to maximize return for a given risk appetite. The Index uses the
concept of an efficient frontier to define the asset allocation of the Index.
An efficient frontier for a portfolio of assets defines the optimum return
of the portfolio for a given amount of risk. The Index uses the volatility of
returns of hypothetical portfolios as the measure of risk. This strategy is
based on the assumption that the most efficient allocation of assets is one
that maximizes returns per unit of risk. The index level of the ETF Efficiente
Index is determined by tracking the return of the synthetic portfolio above
the return of the Cash Constituent. The weights assigned to the Basket Constituents
within the synthetic portfolio are rebalanced monthly. The strategy assigns
the weights to the Basket Constituents based upon the returns and volatilities
of multiple hypothetical portfolios comprising the Basket Constituents measured
over the previous six months. The re-weighting methodology seeks to identify
the weight for each Basket Constituent that would have resulted in the hypothetical
portfolio with the highest return over the relevant measurement period, subject
to an annualized volatility over the same period of 5% or less. Thus, the portfolio
exhibiting the highest return with an annualized volatility of 5% or less is
then selected, with the weightings for such portfolio applied to the Basket
Constituents. In the event that none of the portfolios has an annualized volatility
equal to or less than 5%, this volatility threshold is increased by 1% and this
analysis performed again until a portfolio is selected.
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JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
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TS-1 |
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 following are the Basket
Constituents composing the Index and the maximum weighting constraints assigned
to the relevant sector and asset type to which each belongs:
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Sector Cap
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Basket Constituent
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Asset
Cap
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1
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Developed Equities
50%
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SPDR® S&P
500® ETF Trust
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20%
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2
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iShares®
Russell 2000 Index Fund
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10%
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3
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iShares®
MSCI EAFE Index Fund
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20%
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4
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Bonds
50%
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iShares®
Barclays 20+ Year Treasury Bond Fund
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20%
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5
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iShares®
iBOXX Investment Grade Corporate Bond Fund
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20%
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6
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iShares®
iBOXX High Yield Corporate Bond Fund
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20%
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7
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Emerging Markets
25%
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iShares®
MSCI Emerging Markets Index Fund
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20%
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8
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iShares®
Emerging Markets Bond Fund
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20%
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9
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Alternative
Investments
25%
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iShares®
Dow Jones Real Estate Index Fund
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20%
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10
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iShares®
S&P GSCI Commodity-Indexed Trust
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10%
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11
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SPDR® Gold
Trust
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10%
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12
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Inflation Protected
Bonds
and Cash
50%
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iShares®
Barclays TIPS Bond Fund
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50%
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13
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JPMorgan Cash Index
USD 3 Month
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50%
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See The JPMorgan ETF
Efficiente 5 Index in the accompanying product supplement no. 202-A-I for
more information on the Index and the Basket Constituents.
The value of the Index is
published each trading day under the Bloomberg ticker symbol EEJPUS5E.
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 EXCESS RETURN OF A PORTFOLIO OF TWELVE
ETFs AND ONE INDEX, REPRESENTING A DIVERSE RANGE OF ASSETS AND GEOGRAPHIC
REGIONS The return on the notes is linked to the performance of the
JPMorgan ETF Efficiente 5 Index. The Index tracks the excess return of a
portfolio of twelve ETFs and the Cash Constituent using an investment strategy
that is based on the modern portfolio theory of asset allocation, which suggests
how a rational investor should allocate his capital across the available universe
of assets to maximize return for a given risk appetite. The Index uses the
concept of an efficient frontier to define the asset allocation of the Index.
An efficient frontier for a portfolio of assets defines the optimum return
of the portfolio for a given amount of risk. The Index uses the volatility
of returns of hypothetical portfolios as the measure of risk. This strategy
is based on the assumption that the most efficient allocation of assets is
one that maximizes returns per unit of risk. See The JPMorgan ETF Efficiente
5 Index in the accompanying product supplement no. 202-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. 202-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.
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JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
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TS-2 |
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 January 24, 2011 and we had determined
the comparable yield on that date, it would have been an annual rate of 2.71%,
compounded semiannually. The actual comparable yield that we will determine
for the notes may be more or less than 2.71%, 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.
Selected
Risk Considerations
An investment in the notes
involves significant risks. Investing in the notes is not equivalent to investing
directly in the Index, any of its Basket Constituents or any of the securities,
commodities, commodity futures contracts or other assets underlying the Basket
Constituents. These risks are explained in more detail in the Risk Factors
section of the accompanying product supplement no. 202-A-I dated January 25,
2011.
- 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 Index, any of its Basket Constituents or any of the securities, commodities,
commodity futures contracts or other assets underlying the Basket Constituents
or contracts relating to the Index or any of the Basket 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 term 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 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 Index, and other affiliates of ours
are potentially adverse to your interests as an investor in the notes. In
addition, one of our affiliates, JPMS, is the sponsor of one of the Basket
Constituents of the Index (the Cash Constituent). JPMS is also the sponsor
of the JPMorgan EMBI Global Core Index, which is the index underlying the
iShares® JPMorgan USD Emerging Markets Bond Fund. JPMS may, as
a last resort, if there are no valid prices available for composite instruments
included in the JPMorgan EMBI Global Core Index, price such composite instruments
by asking JPMS traders to provide a market bid and ask. We will not have
any obligation to consider your interests as a holder of the notes in taking
any corporate action that might affect the values of the Cash Constituents,
the JPMorgan EMBI Core Index and the notes.
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JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-3 |
- 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 is responsible for calculating and
maintaining the Index and developing the guidelines and policies governing
its composition and calculation. The rules governing the Index 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
a Basket Constituent. Unlike other indices, the maintenance of the Index is
not governed by an independent committee. Although judgments, policies and
determinations concerning the Index 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 Basket Constituents
in the Index is not an investment recommendation by us or JPMSL of the Basket
Constituents or any of the securities, commodities, commodity futures contracts
or other assets underlying the Basket Constituents.
- 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
Basket Constituents and the securities, commodities, commodity futures contracts
and currencies underlying the Basket Constituents to which the notes are linked.
- 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.
- 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, commodities, commodity futures contracts or other assets underlying
the Basket Constituents would have.
- THE INDEX MAY NOT
BE SUCCESSFUL, OUTPERFORM ANY ALTERNATIVE STRATEGY THAT MIGHT BE EMPLOYED
IN RESPECT OF THE BASKET CONSTITUENTS OR ACHIEVE ITS TARGET VOLATILITY
The Index follows a notional rules-based proprietary strategy that
operates on the basis of pre-determined rules. No assurance can be given that
the investment strategy on which the Index is based will be successful or
that the Index will outperform any alternative strategy that might be employed
in respect of the Basket Constituents. Furthermore, no assurance can be given
that the JPMorgan ETF Efficiente 5 Index will achieve its target volatility
of 5%. The actual realized volatility of the JPMorgan ETF Efficiente 5 Index
may be greater or less than 5%.
- THE INDEX COMPRISES
NOTIONAL ASSETS AND LIABILITIES The exposures to the Basket 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 reference
assets that compose the Index. The Index tracks the excess return of a notional
dynamic basket of assets over the Cash Constituent and, as such, any allocation
to the Cash Constituent will result in this portion of the portfolio not being
invested. Unless an extraordinary event occurs, the Cash Constituent will
be subject to a maximum weight of 50% in the Index. See the risk factor in
this term sheet entitled The Basket Constituents Composing the Index
May Be Replaced by a Substitute ETF or Index for more information about
the consequences of an extraordinary event.
- THE LEVEL OF THE INDEX
WILL INCLUDE THE DEDUCTION OF A FEE One way in which the Index
may differ from a typical index is that its level will include a deduction
from the performance of the Basket Constituents over the Cash Constituent
of a fee of 0.50% per annum. This fee will be deducted daily. As a result
of the deduction of this fee, the level of the Index will trail the value
of a hypothetical identically constituted synthetic portfolio from which no
such fee is deducted.
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JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-4 |
- OWNING THE NOTES INVOLVES
THE RISKS ASSOCIATED WITH THE INDEXS MOMENTUM INVESTMENT
STRATEGY The Index employs a mathematical model intended to implement
what is generally known as a momentum investment strategy, which seeks to
capitalize on positive market price trends based on the supposition that positive
market price trends may continue. This strategy is different from a strategy
that seeks long-term exposure to a portfolio consisting of constant components
with fixed weights. The Index may fail to realize gains that could occur
as a result of holding assets that have experienced price declines, but after
which experience a sudden price spike.
- THE INVESTMENT STRATEGY
USED TO CONSTRUCT THE INDEX INVOLVES MONTHLY REBALANCING AND WEIGHTING CAPS
THAT ARE APPLIED TO THE BASKET CONSTITUENTS The Basket Constituents
are subject to monthly rebalancing and maximum weighting caps by asset type
and on subsets of assets. By contrast, a synthetic portfolio that does not
rebalance monthly and is not subject to any weighting caps in this manner
could see greater compounded gains over time through exposure to a consistently
and rapidly appreciating portfolio consisting of the Basket Constituents.
Therefore, your return on the notes may be less than the return you could
realize on an alternative investment that was not subject to rebalancing and
weighting caps.
- CHANGES IN THE VALUES
OF THE BASKET CONSTITUENTS MAY OFFSET EACH OTHER Because the notes are
linked to the Index, which is linked to the performance of the Basket Constituents,
which collectively represent a diverse range of asset classes and geographic
regions, price movements between the Basket Constituents representing different
asset classes or geographic regions may not correlate with each other. At
a time when the value of a Basket Constituent representing a particular asset
class or geographic region increases, the value of other Basket Constituents
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 values of some of the Basket Constituents may be moderated,
or more than offset, by lesser increases or declines in the values of other
Basket Constituents.
- CORRELATION OF PERFORMANCES
AMONG THE BASKET CONSTITUENTS MAY REDUCE PERFORMANCE OF THE NOTES Performances
of the Basket Constituents may become highly correlated from time to time
during the term of the notes, including, but not limited to, a period in which
there is a substantial decline in a particular sector or asset type represented
by the Basket Constituents and that has a higher weighting in the Index relative
to any of the other sectors or asset types, as determined by the Indexs strategy.
High correlation during periods of negative returns among Basket Constituents
representing any one sector or asset type and which Basket Constituents have
a substantial percentage weighting in the Index could cause you to only receive
a return of your principal amount at maturity.
- THE INDEX HAS A LIMITED
OPERATING HISTORY AND MAY PERFORM IN UNANTICIPATED WAYS The Index was established on October 29, 2010, and therefore has a limited operating
history. Any back-testing or similar analysis in respect of the Index must
be considered illustrative only and may be based on estimates or assumptions
not used by the index calculation agent when determining the level of the
Index. Past performance should not be considered indicative of future performance.
- AN INVESTMENT IN THE
NOTES IS SUBJECT TO RISKS ASSOCIATED WITH NON-U.S. SECURITIES MARKETS, INCLUDING
EMERGING MARKETS Some or all of the equity securities that are held
by the iShares® MSCI EAFE Index Fund and the iShares®
MSCI Emerging Markets Index Fund have been issued by non-U.S. companies. In
addition, the iShares® iBOXX Investment Grade Corporate Bond Fund
and the iShares® iBOXX High Yield Corporate Bond Fund may include
U.S. dollar-denominated bonds of foreign corporations. Investments in securities
linked to the value of non-U.S. securities involve risks associated with the
securities markets in those countries, including risks of volatility in those
markets, governmental intervention in those markets and cross shareholdings
in companies in certain countries. Moreover, the bonds held by the iShares®
JPMorgan USD Emerging Markets Bond Fund have been issued by 33 countries.
Investments in the notes, which are linked in part to the economic stability
and development of such countries, involve risks associated with investments
in, or the securities markets in, those countries. The impact of any of these
risks may enhance or offset some or all of any change resulting from another
factor or factors. See Risk Factors in the accompanying product supplement
for more information on these risks.
- THE NOTES ARE SUBJECT
TO CURRENCY EXCHANGE RISK Because the prices of some or all of the securities
composing two of the thirteen Basket Constituents (the iShares®
MSCI EAFE Index Fund and the iShares® MSCI Emerging Markets Index
Fund) (the Component Securities) are converted into U.S. dollars for purposes
of calculating the value of the relevant Basket Constituent, your notes will
be exposed to currency exchange rate risk with respect to each of the relevant
currencies. Your net exposure will depend on the extent to which such currencies
strengthen or weaken against the U.S. dollar and the weight of the Component
Securities denominated in each such currency. If, taking into account such
weighting, the U.S. dollar strengthens against such currencies, the value
of the relevant Basket Constituents will be adversely affected and the payment
at maturity may be reduced.
- THERE ARE RISKS ASSOCIATED
WITH THE ETF CONSTITUENTS Although shares of the ETF Constituents are
listed for trading on NYSE Arca, Inc. (the NYSE Arca) and a number of similar
products have been traded on various national securities exchanges for varying
periods of time, there is no assurance that an active trading market will
continue for the shares of the ETF Constituents or that there will be liquidity
in the trading market. The ETF Constituents are subject to management risk,
which is the risk that the investment strategies of their investment advisers,
the implementation of which is subject to a number of constraints, may not
produce the intended results. These constraints could adversely affect the
market prices of the shares of the ETF Constituents, and consequently, the
value of the notes.
|
JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-5 |
- THERE ARE DIFFERENCES
BETWEEN THE ETF
CONSTITUENTS
AND THEIR UNDERLYING INDICES The ETF Constituents do not fully
replicate their underlying indices and may hold securities not included in
their underlying indices, and their performances will reflect additional transaction
costs and fees that are not included in the calculation of their underlying
indices, all of which may lead to a lack of correlation between the ETF Constituents
and their underlying indices. In addition, corporate actions with respect
to the sample of securities (such as mergers and spin-offs) may impact the
variance between the ETF Constituents and their underlying indices. Finally,
because the shares of the ETF Constituents are traded on the NYSE Arca and
are subject to market supply and investor demand, the market value of one
share of any of the ETF Constituents may differ from the net asset value per
share of such ETF Constituent. For all of the foregoing reasons, the performances
of the ETF Constituents may not correlate with the performances of their underlying
indices.
THE NOTES ARE SUBJECT
TO SIGNIFICANT RISKS ASSOCIATED WITH FIXED-INCOME SECURITIES, INCLUDING INTEREST
RATE-RELATED AND CREDIT-RELATED RISKS Five of the Basket Constituents
(the iShares® Barclays 20+ Year Treasury Bond Fund, the iShares®
iBOXX Investment Grade Corporate Bond Fund, the iShares®
iBOXX High Yield Corporate Bond Fund, the iShares® Emerging
Markets Bond Fund and the iShares® Barclays TIPS Bond Fund,
which we collectively refer to as the Bond ETFs) are bond ETFs that attempt
to track the performance of indices composed of fixed income securities. Investing
in the notes linked indirectly to these Basket Constituents differs significantly
from investing directly in bonds to be held to maturity as the values of the
Bond ETFs change, at times significantly, during each trading day based upon
the current market prices of their underlying bonds. The market prices of
these bonds are volatile and significantly influenced by a number of factors,
particularly the yields on these bonds as compared to current market interest
rates and the actual or perceived credit quality of the issuer of these bonds.
The market prices of the bonds underlying each of the iShares®
iBOXX Investment Grade Corporate Bond Fund and the iShares®
iBOXX High Yield Corporate Bond Fund are determined by reference to the bid
and ask quotations provided by 9 contributing banks, one of which is us. JPMS
is also the sponsor of the JPMorgan EMBI Global Core Index, which is the index
underlying the iShares® JPMorgan USD Emerging Markets Bond
Fund. JPMS may, as a last resort, if there are no valid prices available for
instruments included in the JPMorgan EMBI Global Core Index, price such instruments
by asking JPMS traders to provide a market bid and ask.
In general, fixed-income
securities are significantly affected by changes in current market interest
rates. As interest rates rise, the price of fixed-income securities, including
those underlying the Bond ETFs, is likely to decrease. Securities with longer
durations tend to be more sensitive to interest rate changes, usually making
them more volatile than securities with shorter durations.
Interest
rates are subject to volatility due to a variety of factors, including:
- sentiment
regarding underlying strength in the U.S. economy and global economies;
- expectations
regarding the level of price inflation;
- sentiment
regarding credit quality in the U.S. and global credit markets;
- central
bank policies regarding interest rates; and
- the performance
of U.S. and foreign capital markets.
In addition, the prices of
the underlying bonds are significantly influenced by the creditworthiness of
the issuers of the bonds. The bonds underlying the Bond ETFs may have their
credit ratings downgraded, including in the case of the bonds included in the
iShares® iBOXX Investment Grade Corporate Bond Fund, a downgrade
from investment grade to non-investment grade status, or have their credit spreads
widen significantly. Following a ratings downgrade or the widening of credit
spreads, some or all of the underlying bonds may suffer significant and rapid
price declines. These events may affect only a few or a large number of the
underlying bonds.
The iShares® Emerging Markets Bond Fund is composed of U.S.
dollar-denominated bonds of sovereign and quasi-sovereign entities of emerging
market countries and the iShares® iBOXX Investment Grade Corporate
Bond Fund, the iShares® iBOXX High Yield Corporate Bond Fund
may include U.S. dollar-denominated bonds of foreign corporations. See Risk
Considerations An Investment in the Notes Is Subject to Risks Associated
with Non-U.S. Securities Markets, Including Emerging Markets in this term
sheet.
Further, the iShares® iBOXX High Yield Corporate Bond Fund is
designed to provide a representation of the U.S. dollar high yield corporate
market and is therefore subject to high yield securities risk, being the risk
that securities that are rated below investment grade (commonly known as junk
bonds, including those bonds rated at BB+ or lower by S&P or Fitch
or Ba1 by Moodys) may be more volatile than higher-rated securities of
similar maturity. High yield securities may also be subject to greater levels
of credit or default risk than higher-rated securities. The value of high yield
securities can be adversely affected by overall economic conditions, such as
an economic downturn or a period of rising interest rates, and high yield securities
may be less liquid and more difficult to sell at an advantageous time or price
or to value than higher-rated securities. In particular, high yield securities
are often issued by smaller, less creditworthy companies or by highly leveraged
(indebted) firms, which are generally less able than more financially stable
firms to make scheduled payments of interest and principal.
Finally, the iShares® Barclays TIPS Bond Fund includes inflation-protected
bonds, which typically have lower yields than conventional fixed-rate bonds
because of their inflation adjustment feature. For the iShares®
Barclays TIPS Bond Fund, if inflation is low, the benefit received from the
inflation-protected feature of the underlying bonds may not sufficiently compensate
you for this reduced yield.
|
JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-6 |
- THE COMMODITY FUTURES
CONTRACTS UNDERLYING THE iSHARES® S&P GSCI COMMODITY-INDEXED
TRUST OR RELATED TO GOLD UNDERLYING THE SPDR® GOLD TRUST ARE
SUBJECT TO LEGAL AND REGULATORY REGIMES The commodity futures contracts
that underlie the iShares® S&P GSCI Commodity-Indexed
Trust or related to gold underlying the SPDR® Gold Trust 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 Index. Such regimes may result in the note calculation agent
exercising its discretionary right to exclude or substitute Basket Constituents,
which may, in turn, have a negative effect on the level of the Index and your
payment at maturity. 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 for more information.
- INVESTMENTS RELATED
TO THE VALUE OF COMMODITIES TEND TO BE MORE VOLATILE THAN TRADITIONAL NOTE
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 that are specific to commodities
markets. These factors may have a larger impact on commodity prices and commodity-linked
instruments than on traditional notes. These variables may create additional
investment risks that cause the value of the notes to be more volatile than
the values of traditional notes. These and other factors may affect the values
of the constituents included from time to time in the Index, and thus the
value of your notes, in unpredictable or unanticipated ways. The high volatility
and cyclical nature of commodity markets may render these investments inappropriate
as the focus of an investment portfolio.
- HIGHER FUTURE PRICES
OF THE COMMODITY FUTURES CONTRACTS CONSTITUTING THE iSHARES®
S&P GSCI COMMODITY-INDEXED TRUST RELATIVE TO THEIR CURRENT PRICES
MAY DECREASE THE AMOUNT PAYABLE AT MATURITY As the exchange-traded
futures contracts that compose the iShares® S&P GSCI
Commodity-Indexed Trust approach expiration, they are replaced by contracts
that have a later expiration. If the market for these contracts is (putting
aside other considerations) in backwardation, where the prices
are lower in the distant delivery months than in the nearer delivery months,
the sale of the October contract would take place at a price that is higher
than the price of the November contract, thereby creating a roll yield.
There can be no assurance that backwardation will exist at times that are
advantageous, with respect to your interests as a holder of the notes, to
the valuation of the iShares® S&P GSCI Commodity-Indexed
Trust. Moreover, certain commodities, such as gold, have historically traded
in contango markets. Contango markets are those in which the prices
of contracts are higher in the distant delivery months than in the nearer
delivery months. The presence of contango in the commodity markets could result
in negative roll yields, which could adversely affect the price
of shares of the iShares® S&P GSCI Commodity-Indexed
Trust and, therefore, the level of the Index and the value of your notes.
- RISKS ASSOCIATED WITH
THE REAL ESTATE INDUSTRY WILL AFFECT THE VALUE OF YOUR NOTES The
iShares® Dow Jones Real Estate Index Fund, one of the Basket
Constituents composing the Index, holds a variety of real estate-related securities.
The following are some of the conditions that might impact the value of the
securities held by the iShares® Dow Jones Real Estate Index
Fund and the value of the iShares® Dow Jones Real Estate Index
Fund, and accordingly, the level of the Index and the value of your notes:
- a decline
in the value of real estate properties;
- increases
in property and operating taxes;
- increased
competition or overbuilding;
- a lack
of available mortgage funds or other limits on accessing capital;
- tenant
bankruptcies and other credit problems;
- changes
in zoning laws and governmental regulations;
- changes
in interest rates; and
- uninsured
damages from floods, earthquakes or other natural disasters.
The difficulties described
above could cause an upturn or a downturn in the real estate industry generally
or regionally and could cause the value of the securities held by the iShares®
Dow Jones Real Estate Index Fund and thus the value of the iShares®
Dow Jones Real Estate Index Fund to decline or remain flat during the
term of the notes, which may adversely affect the level of the Index and the
value of your notes.
- AN INVESTMENT IN THE
NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS
The equity securities
held by the iShares®
Russell 2000 Index Fund
and included in the Russell
2000® Index
have been issued by companies with relatively small market capitalization.
The stock prices of smaller companies may be more volatile than stock prices
of large capitalization companies. Small capitalization companies may be less
able to withstand adverse economic, market, trade and competitive conditions
relative to larger companies. Small capitalization companies are less likely
to pay dividends on their stocks, and the presence of a dividend payment could
be a factor that limits downward stock price pressure under adverse market
conditions. The stocks of small capitalization companies may be thinly traded
and thus may be difficult for the iShares®
Russell 2000 Index Fund
to buy and sell.
|
JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-7 |
- THE MARKET PRICE OF
GOLD WILL AFFECT THE VALUE OF THE NOTES Because the Index is linked
in part to the performance of the price of gold, we expect that generally
the market value of the notes will depend in part on the market price of gold.
The price of gold is primarily affected by the global demand for and supply
of gold. The market for gold bullion is global, and gold prices are subject
to volatile price movements over short periods of time and are affected by
numerous factors, including macroeconomic factors such as the structure of
and confidence in the global monetary system, expectations regarding the future
rate of inflation, the relative strength of, and confidence in, the U.S. dollar
(the currency in which the price of gold is usually quoted), interest rates,
gold borrowing and lending rates, and global or regional economic, financial,
political, regulatory, judicial or other events. Gold prices may be affected
by industry factors such as industrial and jewelry demand as well as lending,
sales and purchases of gold by the official sector, including central banks
and other governmental agencies and multilateral institutions which hold gold.
Additionally, gold prices may be affected by levels of gold production, production
costs and short-term changes in supply and demand due to trading activities
in the gold market.
- THE BASKET CONSTITUENTS
COMPOSING THE INDEX MAY BE REPLACED BY A SUBSTITUTE ETF OR INDEX
Following the occurrence of certain extraordinary events with respect to a
Basket Constituent, the affected Basket Constituent may be replaced by a substitute
ETF or index. If the index calculation agent determines in its discretion
that no suitable substitute ETF or index is available for an affected Basket
Constituent (other than the Cash Constituent), then the index calculation
agent will replace such Basket Constituent with the Cash Constituent as its
substitute. Under such circumstances, the aggregate weight of the Cash Constituent
in the Index may be greater than the maximum 50% weight limit allocated to
the Cash Constituent because a portion of such aggregate weight would be subject
to the separate maximum weight limit specific to the affected Basket Constituent.
The substitution of a Basket Constituent may affect the performance of the
Index, and therefore, the return on the notes, as the replacement Basket Constituent
may perform significantly better or worse than the affected Basket Constituent.
- 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 and the Basket Constituents;
- the time
to maturity of the notes;
- the dividend
rate on the equity securities underlying some of the Basket Constituents;
- the market
price of gold and the market price of the physical commodities upon which
the commodity futures contracts that compose some of the Basket 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 Basket
Constituents or markets generally and which may affect the value of the
commodity futures contracts, and thus the closing levels of the Basket
Constituents; and
- our creditworthiness,
including actual or anticipated downgrades in our credit ratings.
|
JPMorgan
Structured Investments
Notes Linked to the JPMorgan ETF Efficiente 5 Index
|
TS-8 |
What
Is the Total Return on the Notes at Maturity, Assuming a Range of Performances
for the 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 examples 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 JPMorgan ETF Efficiente 5 Index
|
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 levels from January 6, 2006 through October
22, 2010 and the historical performance of the Index based on the Index closing
levels from October 29, 2010 through January 21, 2011. The Index was established
on October 29, 2010. The Index closing level on January 24, 2011 was 99.00.
We obtained the Index closing levels below from Bloomberg Financial Markets.
We make no representation or warranty as to the accuracy or completeness of
the information obtained from Bloomberg Financial Markets.
The hypothetical back-tested
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 levels on
the pricing date or the Observation Date. The data for the hypothetical back-tested
performance of the Index set forth in the following graph were calculated on
materially the same basis on which the performance of the Index is now calculated
but does not represent the actual historical performance of the Index.
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 JPMorgan ETF Efficiente 5 Index
|
TS-10 |