View:
 |
GRAPHIC OMITTED
J.P. Morgan US Treasury Note Futures (G) Tracker
--------------------------------------------------------------------------------
Index Highlight -- April 2011
OVERVIEW
The JPMorgan US Treasury Note Futures (G) Tracker Index (the "Index") is a
proprietary J.P. Morgan strategy that seeks to replicate the returns of
maintaining a long position in 10-Year U.S. Treasury notes futures contracts.
GRAPHIC OMITTED
Hypothetical and Actual Historical Performance --March 30, 2001 to March 31,
2011(1)
GRAPH OMITTED
Recent Index Performance
-----------------------------------
Historical Return (1)
------------- ---------------------
March 2011 -0.02%
------------- ---------------------
February 2011 -0.43%
------------- ---------------------
January 2011 0.30%
------------- ---------------------
Key Features of the Index
[] Synthetic index which aims to replicate a rolling position in US 10 year
Treasury Futures;
[] Notionally rolled on a quarterly basis(2), prior to the expiry of the
current front month contract;
[] The futures contract is based on U. S. Treasury notes maturing between 6.5
years and 10 years from the delivery month;
[] Levels published on Bloomberg under the ticker RFJGUSBE
Hypothetical and Historical Total Returns (%) and Volatility (%) -- March 31,
2011
------------------------------ -----
Three Year Annualized 4.50%
Return(1)
------------------------------ -----
Five Year Annualized Return(1) 5.46%
------------------------------ -----
Ten Year 4.63%
Annualized Return(1)
------------------------------ -----
Ten Year 6.96%
Annualized Volatility(3)
------------------------------ -----
Ten Year 0.67
Sharpe Ratio(4)
------------------------------ -----
Notes
(1) Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested daily Index
closing levels from March 30, 2001 through August 27, 2009, and the actual
historical performance of the Index based on the daily Index closing level
from August 28, 2009 through March 31, 2011, as well as the performance of
the US Generic Government 10 Year Yield Index over the same period. There
is no guarantee of any future performance for these indices based on this
information. Source: Bloomberg and JPMorgan.
(2) On a quarterly basis (generally, the second to last business day in
February, May, August and November), J. P. Morgan Securities Ltd. , or
JPMSL, acting as the Index calculation agent, will rebalance the Index to
take synthetic long positions in the next 10 year Treasury Futures Contract
scheduled to expire immediately following the contract closest to
expiration.
(3) Calculated based on the annualized standard deviation for the ten year
period prior to March 31, 2011. (4) For the above analysis, the Sharpe
Ratio, which is a measure of risk-adjusted performance, is computed as the
ten year annualized historical return divided by the ten year annualized
volatility.
|
 |
Key Risks
[] Our affiliate, JPMSL, is the index calculation agent and may adjust the
Index in a way that affects its level. 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 investment. JPMSL is under no
obligation to consider your interest as an investor in financial
instruments linked to the Index.
[] The Index comprises notional assets only. You will not have any claim
against any of the 10-year Treasury futures underlying the Index or the
related Treasury securities.
[] Interest Rate Risk -- The level of the Index changes daily, at times
significantly based upon the current market prices of the volatile 10-year
Treasury futures contracts and the related Treasury notes. These market
prices are influenced by a variety of factors, particularly interest rate
changes, the yields on the Treasury futures/notes as compared to current
market interest rates and the actual or perceived credit quality of the
U.S. government.
[] The Index may be subject to high levels of volatility. Futures contracts on
the 10-year U.S. Treasury notes are highly leveraged and often display
higher volatility and less liquidity than the 10-year U.S. Treasury Notes.
[] The settlement price of 10 year Treasury Futures may not be readily
available.
[] The Index was established in August 2009 and therefore has a limited
operating history.
[] The Index may in the future be subject to an adjustment factor that could
negatively affect the level of the Index.
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing supplement.
Index Disclaimers
[] The Index was developed, complied, prepared and arranged by JPMorgan
through the expenditure of substantial time, effort and money and
constitutes valuable intellectual property and trade secrets of JPMorgan.
All right, title, and interest in and to the Index is vested in JPMorgan
and the Index cannot be used without JPMorgan's prior written consent.
Information herein is believed to be reliable but JPMorgan does not warrant
its completeness or accuracy.
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the "SEC")
for any offerings to which these materials relate. Before you invest in any
offering of securities by J.P. Morgan, you should read the prospectus in that
registration statement, the prospectus supplement, as well as the particular
product supplement, the relevant term sheet or pricing supplement, and any other
documents that J.P. Morgan will file with the SEC relating to such offering for
more complete information about J.P. Morgan and the offering of any securities.
You may get these documents without cost by visiting EDGAR on the SEC Website at
www.sec.gov. Alternatively, J.P. Morgan, any agent, or any dealer participating
in the particular offering will arrange to send you the prospectus and the
prospectus supplement, as well as any product supplement and term sheet or
pricing supplement, if you so request by calling toll-free (866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-155535
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
|