Term
Sheet |
Term
sheet to Product Supplement No. 165-A-III Registration Statement No. 333-155535 Dated January 26, 2011; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ Leveraged Capped Floating Rate Notes Linked to 3-Month USD LIBOR due February 8, 2021 |
General
Key Terms
Maturity Date: |
February 8, 2021 |
Interest: |
With respect to each Interest Period, for
each $1,000 principal amount note, the interest payment will be calculated
as follows: |
Interest Rate: |
With respect to each Interest Period, a rate per annum equal to (a) 3Month USD LIBOR multiplied by (b) the Leverage Factor on each applicable Interest Reset Date. Notwithstanding the foregoing, in no event will the Interest Rate be less than the Minimum Interest Rate of 2.50% per annum or greater than the Maximum Interest Rate of 7.00% per annum. |
Minimum Interest Rate: |
2.50% per annum |
Maximum Interest Rate: |
7.00% per annum |
Leverage Factor: |
1.5 |
3-Month USD LIBOR: |
3-Month USD LIBOR refers to the London Interbank Offer Rate for deposits in U.S. dollars with a Designated Maturity of 3 months that appears on the Reuters page LIBOR01 (or any successor page) under the heading 3Mo at approximately 11:00 a.m., London time, on the applicable Interest Reset Date, as determined by the calculation agent. If on the applicable Interest Reset Date, 3-Month USD LIBOR cannot be determined by reference to Reuters page LIBOR01 (or any successor page), then the calculation agent will determine 3-Month USD LIBOR in accordance with the procedures set forth under Description of Notes Interest The Underlying Rates LIBOR Rate in the accompanying product supplement no. 165-A-III. |
Interest Reset Date: |
Two London Business Days immediately prior to the beginning of the applicable Interest Period. |
Interest Periods: |
The period beginning on and including the issue date of the notes and ending on but excluding the first Interest Payment Date and each successive period beginning on and including an Interest Payment Date and ending on but excluding the next succeeding Interest Payment Date. |
Interest Payment Dates: |
Interest will be payable quarterly in arrears on the 8th calendar day of each February, May, August and November (each such date, an Interest Payment Date), commencing May 8, 2011, to and including the Maturity Date. If an Interest Payment Date is not a Business Day, payment will be made on the immediately following Business Day, provided that any interest payable on such Interest Payment Date, as postponed, will accrue to but excluding such Interest Payment Date, as postponed, and the next Interest Period, if applicable, will commence on such Interest Payment Date, as postponed. |
Payment at Maturity: |
On the Maturity Date, you will receive your initial investment in the notes back plus any accrued and unpaid interest. |
Day-Count Fraction: |
90/360 |
London Business Day: |
Any day other than a day on which banking institutions in London, England are authorized or required by law, regulation or executive order to close. |
Business Day: |
Any day other than a day on which banking institutions in London, England or The City of New York are authorized or required by law, regulation or executive order to close or a day on which transactions in U.S. dollars are not conducted. |
CUSIP: |
48125XCQ7 |
Investing in the Leveraged Capped Floating Rate Notes involves a number of risks. See Risk Factors beginning on page PS-11 of the accompanying product supplement no. 165-A-III and Selected Risk Considerations beginning on page TS-2 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. 165-A-III 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 SEC nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet, the accompanying product supplement no. 165-A-III 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 |
$1,000 |
$ |
$ |
Total |
$ |
$ |
$ |
(1) | The price to the public includes the estimated cost of hedging our obligations under the notes. |
(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 $11.00 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 $11.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMS exceed $12.50 per $1,000 principal amount note. Please see Plan of Distribution (Conflicts of Interest) beginning on page PS-32 of the accompanying product supplement no. 165-A-III. |
The agent for this offering, JPMS, is an affiliate of ours. See Plan of Distribution (Conflicts of Interest) beginning on page PS-32 of the accompanying product supplement no. 165-A-III.
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 26, 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. 165-A-III dated October 18, 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. 165-A-III, 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):
Product supplement no. 165-A-III
dated October 18, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210004437/e40448_424b2.htm
Prospectus supplement dated
November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_424b2.pdf
Prospectus dated November
21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005658/e33655_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
Selected Risk Considerations
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|
JPMorgan
Structured Investments |
TS-2 |
|
|
JPMorgan
Structured Investments |
TS-3 |
|
|
JPMorgan
Structured Investments |
TS-4 |
Hypothetical Interest Rate for an Interest Period
The following table illustrates the Interest Rate determination for an Interest Period for a hypothetical range of performance for 3-Month USD LIBOR and reflects the Leverage Factor of 1.5, the Minimum Interest Rate of 2.50% per annum and the Maximum Interest Rate of 7.00% per annum. The hypothetical 3-Month USD LIBORs and interest payments set forth in the following examples are for illustrative purposes only and may not be the actual 3-Month USD LIBOR or interest payment applicable to a purchaser of the notes.
Hypothetical
3-Month USD LIBOR
|
|
Leverage
Factor
|
|
Hypothetical
Interest Rate
|
10.00% |
× |
1.5 |
= |
7.00%* |
9.00% |
× |
1.5 |
= |
7.00%* |
8.00% |
× |
1.5 |
= |
7.00%* |
7.00% |
× |
1.5 |
= |
7.00%* |
6.00% |
× |
1.5 |
= |
7.00%* |
5.00% |
× |
1.5 |
= |
7.00%* |
4.00% |
× |
1.5 |
= |
6.00% |
3.00% |
× |
1.5 |
= |
4.50% |
2.00% |
× |
1.5 |
= |
3.00% |
1.00% |
× |
1.5 |
= |
2.50%** |
0.00% |
× |
1.5 |
= |
2.50%** |
*The Interest Rate cannot be greater than the Maximum Interest Rate of 7.00% per annum.
**The Interest Rate cannot be less than the Minimum Interest Rate of 2.50% per annum.
Hypothetical Examples of Interest Rate Calculation
The following examples illustrate how the hypothetical Interest Rates set forth in the table above are calculated, assuming 90 calendar days in each Interest Period.
Example 1: 3-Month USD LIBOR is 4.00%. The Interest Rate is 6.00% per annum calculated as follows:
4.00% × 1.5 = 6.00%
The quarterly interest payment per $1,000 principal amount note is calculated as follows:
$1,000 × 6.00% × (90/360) = $15.00
Example 2: 3-Month USD LIBOR is 7.00%. Because (a) 3-Month USD LIBOR of 7.00% multiplied by (b) the Leverage Factor of 1.5 exceeds the Maximum Interest Rate of 7.00% per annum, the Interest Rate is the Maximum Interest Rate of 7.00% per annum and the quarterly interest payment per $1,000 principal amount note is calculated as follows:
$1,000 × 7.00% × (90/360) = $17.50
Example 3: 3-Month USD LIBOR is 0.00%. The Interest Rate is 2.50% per annum because the Minimum Interest Rate is 2.50% per annum.
The quarterly interest payment per $1,000 principal amount note is calculated as follows:
$1,000 × 2.50% × (90/360) = $6.25
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JPMorgan
Structured Investments |
TS-5 |
Historical Information
The following graph sets forth the daily historical performance of 3-Month USD LIBOR from January 2, 2001 through January 25, 2011. We obtained the rates used to construct the graph 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.
3-Month USD LIBOR, as appeared on Reuters page LIBOR01 at approximately 11:00 a.m., London time on January 25, 2011 was 0.30438%.
The historical rates should not be taken as an indication of future performance, and no assurance can be given as to 3-Month USD LIBOR on any Interest Reset Date. We cannot give you assurance that the performance of 3-Month USD LIBOR will result in any positive Interest Payments or a return of more than the principal amount of your notes.
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|
JPMorgan
Structured Investments |
TS-6 |