Term
sheet |
Term
Sheet Product Supplement No. 192-A-III Registration Statement No. 333-155535 Dated May 4, 2011; Rule 433 |
Structured |
$ 7.20% per annum Auto Callable Yield Notes due May 18, 2012 Linked to the Lesser Performing of the Russell 2000® Index and the iShares® MSCI Brazil Index Fund |
General
Key Terms
Underlyings: |
The Russell 2000® Index (the Index) and the iShares® MSCI Brazil Index Fund (the Fund) (each an Underlying, and collectively, the Underlyings). For additional information about the MSCI Brazil Index, see Appendix A to this term sheet. |
Interest Rate: |
7.20% per annum over the term of the notes, paid monthly and calculated on a 30/360 basis |
Automatic Call: |
If on any Call Date, the closing level or closing price, as applicable, of each Underlying is greater than the applicable Starting Underlying Level, the notes will be automatically called. |
Payment if Called: |
If the notes are automatically called, on the applicable Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest to but excluding the applicable Call Settlement Date. |
Protection Amount: |
With respect to each Underlying, an amount that represents 40.00% of the Starting Underlying Level of such Underlying (in the case of the Fund, subject to adjustments) |
Pricing Date: |
On or about May 16, 2011 |
Settlement Date: |
On or about May 19, 2011 |
Observation Date: |
May 15, 2012 |
Maturity Date*: |
May 18, 2012 |
CUSIP: |
48125XPZ3 |
Monitoring Period: |
The period from and excluding the Pricing Date to and including the Observation Date |
Interest Payment Dates: |
Interest on the notes will be payable monthly in arrears on the 19th calendar day of each month, except for the final monthly interest payment, which will be payable on the Maturity Date or the relevant Call Settlement Date as applicable (each such day, an Interest Payment Date), commencing June 19, 2011. See Selected Purchase Considerations Monthly Interest Payments in this term sheet for more information. |
Payment at Maturity: |
If the notes are not automatically called, the payment at maturity, in excess of any accrued and unpaid interest, will be based on whether a Trigger Event has occurred and the performance of the Lesser Performing Underlying. If the notes are not automatically called, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest at maturity, unless:
If the notes are not automatically called and the conditions described in (a) and (b) are satisfied, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Underlying Level of the Lesser Performing Underlying is less than the Starting Underlying Level of such Underlying. Under these circumstances, your payment at maturity per $1,000 principal amount note, in addition to any accrued and unpaid interest, will be calculated as follows: $1,000 + ($1,000 x Lesser Performing Underlying Return) You will lose some or all of your principal at maturity if the notes are not automatically called and the conditions described in (a) and (b) are both satisfied. |
Trigger Event: |
A Trigger Event occurs if, on any day during the Monitoring Period, the closing level, or closing price, as applicable, of any Underlying is less than the Starting Underlying Level of such Underlying by more than the applicable Protection Amount. |
Underlying Return: |
With respect to each Underlying, the Underlying Return is calculated as follows: Ending
Underlying Level Starting Underlying Level |
Call Dates*: |
August 16, 2011 (first Call Date), November 16, 2011 (second Call Date) and February 16, 2012 (third Call Date) |
Call Settlement Dates*: |
August 19, 2011 (first Call Settlement Date), November 21, 2011 (second Call Settlement Date) and February 22, 2012 (third Call Settlement Date), each of which is the third business day after the applicable Call Date specified above |
Other Key Terms: |
See Additional Key Terms on the next page. |
* | Subject to postponement as described under Description of Notes Payment at Maturity and Description of Notes Postponement of a Determination Date Notes with a maturity of not more than one year in the accompanying product supplement no. 192-A-III and Supplemental Terms of Notes in this term sheet. |
Investing in the Auto Callable Yield Notes involves a number of risks. See Risk Factors beginning on page PS-9 of the accompanying product supplement no. 192-A-III and Selected Risk Considerations beginning on page TS-3 of this term sheet.
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 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 $36.10 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 $22.50 per $1,000 principal amount note. 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 $36.10 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 $40.00 per $1,000 principal amount note. See Plan of Distribution (Conflicts of Interest) beginning on page PS-95 of the accompanying product supplement no. 192-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.
May 4, 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. 192-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.
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. 192-A-III dated March 10, 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. 192-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. 192-A-III dated March
10, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211001693/e42021_424b2.pdf
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 and our refer to JPMorgan Chase & Co.
Additional Key Terms
Starting Underlying Level: |
With respect to the Index, the closing level of the Index on the Pricing Date (the Initial Index Level). With respect to the Fund, the closing price of the Fund on the Pricing Date divided by the Share Adjustment Factor for the Fund (the Initial Share Price). We refer to each of the Initial Index Level for the Index and the Initial Share Price for the Fund as a Starting Underlying Level. |
Ending Underlying Level**: |
With respect to the Index, the closing level of the Index on the Observation Date (the Ending Index Level). With respect to the Fund, the closing price of one share of the Fund on the Observation Date (the Final Share Price). We refer to each of the Ending Index Level for the Index and the Final Share Price for the Fund as an Ending Underlying Level. |
Share Adjustment Factor: |
With respect to the Fund, 1.0 on the Pricing Date and subject to adjustment under certain circumstances. See Description of Notes Payment at Maturity and General Terms of Notes Anti-Dilution Adjustments in the accompanying product supplement no. 192-A-III for further information about these adjustments. |
Lesser Performing Underlying: |
The Underlying with the Lesser Performing Underlying Return |
Lesser Performing Underlying Return: |
The lower of the Underlying Return of the Russell 2000® Index and the Underlying Return of the iShares® MSCI Brazil Index Fund |
** | Subject to adjustment in the event of a market disruption event or non-trading day as described under Description of Notes Postponement of a Determination Date Notes with a maturity of not more than one year in the accompanying product supplement no. 192-A-III. |
Supplemental Terms of the Notes
For purposes of the notes offered by this term sheet:
(a) the information set forth under Description of Notes Payment upon Optional Call in the accompanying product supplement no. 192-A-III is deemed to be deleted, and the notes will be automatically called as described under Key Terms Automatic Call on the front cover of this term sheet. If the notes are automatically called on any Call Date, we will redeem each note and deliver the applicable cash payment described above on the third business day after such Call Date, subject to postponement as described below;
(b) all references in the accompanying product supplement no. 192-A-III to Callable Yield Notes will be deemed to refer to Auto Callable Yield Notes and all references to Optional Call Dates will be deemed refer to Call Settlement Dates;
(c) all references in Certain U.S. Federal Income Tax Consequences in the accompanying product supplement no. 192-A-III to an Optional Call will be deemed to refer to an Automatic Call; and
(d) the Call Dates are Determination Dates as described in the accompanying product supplement no. 192-A-III and are subject to postponement as described under Description of Notes Postponement of a Determination Date in the accompanying product supplement no. 192-A-III.
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JPMorgan
Structured Investments |
TS-1 |
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments |
TS-2 |
by Non-U.S. Holders should be subject to withholding tax. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice. Non-U.S. Holders should also note that they may be withheld upon at a rate of up to 30% unless they have submitted a properly completed IRS Form W-8BEN or otherwise satisfied the applicable documentation requirements. Purchasers who are not initial purchasers of notes at the issue price should also consult their tax advisers with respect to the tax consequences of an investment in the notes, including possible alternative characterizations, as well as the allocation of the purchase price of the notes between the Deposit and the Put Option.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in either or both of the Underlyings or any of the equity securities included in or held by the Underlyings. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 192-A-III dated March 10, 2011.
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JPMorgan
Structured Investments |
TS-3 |
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JPMorgan
Structured Investments |
TS-4 |
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JPMorgan
Structured Investments |
TS-5 |
Historical Information
The following graphs show the historical weekly performance of the Russell 2000® Index and the iShares® MSCI Brazil Index Fund from January 6, 2006 through April 29, 2011. The closing level of the Russell 2000® Index on May 3, 2011 was 843.77. The closing price of the iShares® MSCI Brazil Index Fund on May 3, 2011 was $75.19.
We obtained the various closing levels and prices of the Underlyings below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of information obtained from Bloomberg Financial Markets. The historical levels and prices of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing level or closing price, as applicable, of any Underlying on any day during the Monitoring Period or the Observation Date. We cannot give you assurance that the performance of the Underlyings will result in the return of any of your initial investment.
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JPMorgan
Structured Investments |
TS-6 |
What Is the Total Return on the Notes at Maturity or Upon Automatic Call, Assuming a Range of Performances for the Lesser Performing Underlying?
The following table and examples illustrate the hypothetical total return on the notes at maturity or upon automatic call. The note total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity or upon automatic call plus the interest payments received to and including the maturity date or the relevant Call Settlement Date, as applicable, per $1,000 principal amount note to $1,000. The table and examples below assume that the Lesser Performing Underlying is the Russell 2000® Index and that the closing price of the iShares® MSCI Brazil Index Fund on each Call Date is greater than its Starting Underlying Level. We make no representation or warranty as to which of the Underlyings will be the Lesser Performing Underlying for purposes of calculating your actual payment at maturity, if applicable, or as to what the level or price, as applicable, of either Underlying will be on any Call Date. In addition, the following table and examples assume a Starting Underlying Level for the Lesser Performing Underlying of 850 and reflect the Interest Rate of 7.20% per annum over the term of the notes and the Protection Amount of 40.00%. The hypothetical total returns and total payments set forth below are for illustrative purposes only and may not be the actual total returns or total payments applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
Closing
Level |
Lesser
Performing |
Note
Total |
Note
Total |
Note
Total |
Note
Total Return |
Note
Total Return |
1530.00 |
80.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
1402.50 |
65.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
1275.00 |
50.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
1190.00 |
40.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
1105.00 |
30.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
1020.00 |
20.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
935.00 |
10.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
892.50 |
5.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
858.50 |
1.00% |
1.80% |
3.60% |
5.40% |
7.20% |
7.20% |
850.00 |
0.00% |
N/A |
N/A |
N/A |
7.20% |
7.20% |
807.50 |
-5.00% |
N/A |
N/A |
N/A |
7.20% |
2.20% |
765.00 |
-10.00% |
N/A |
N/A |
N/A |
7.20% |
-2.80% |
680.00 |
-20.00% |
N/A |
N/A |
N/A |
7.20% |
-12.80% |
595.00 |
-30.00% |
N/A |
N/A |
N/A |
7.20% |
-22.80% |
510.00 |
-40.00% |
N/A |
N/A |
N/A |
7.20% |
-32.80% |
501.50 |
-41.00% |
N/A |
N/A |
N/A |
N/A |
-33.80% |
425.00 |
-50.00% |
N/A |
N/A |
N/A |
N/A |
-42.80% |
340.00 |
-60.00% |
N/A |
N/A |
N/A |
N/A |
-52.80% |
255.00 |
-70.00% |
N/A |
N/A |
N/A |
N/A |
-62.80% |
170.00 |
-80.00% |
N/A |
N/A |
N/A |
N/A |
-72.80% |
85.00 |
-90.00% |
N/A |
N/A |
N/A |
N/A |
-82.80% |
0.00 |
-100.00% |
N/A |
N/A |
N/A |
N/A |
-92.80% |
(1) A Trigger Event occurs if the closing level or closing price, as applicable, of either Underlying is less than the Starting Underlying Level of such Underlying by more than 40.00% on any day during the Monitoring Period.
The following examples illustrate how the note total returns and total payments set forth in the table above are calculated.
Example 1: The level of the Lesser Performing Underlying increases from the Starting Underlying Level of 850 to a closing level of 858.50 on the first Call Date. Because the closing level of each Underlying on the first Call Date is greater than the applicable Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,018 per $1,000 principal amount note, consisting of interest payments of $18 per $1,000 principal amount note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
Example 2: The level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 850 to a closing level of 807.50 on the first Call Date and 765 on the second Review Date and increases from the Starting Underlying Level of 850 to a closing level of 892.50 on the third Review Date. Although the level of the Lesser Performing Underlying on each of the first two Review Dates (807.50 and 765) is less than the Starting Underlying Level of 850, because the closing level or closing price, as applicable, of each Underlying on the third Review Date is greater than the applicable Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,054 per $1,000 principal amount note, consisting of interest payments of $54 per $1,000 principal amount note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
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JPMorgan
Structured Investments |
TS-7 |
Example 3: The notes are not automatically called prior to maturity and the level of the Lesser Performing Underlying increases from the Starting Underlying Level of 850 to an Ending Underlying Level of 892.50. Because the notes are not automatically called prior to maturity and the Ending Underlying Level of the Lesser Performing Underlying of 892.50 is greater than its Starting Underlying Level of 850, regardless of whether a Trigger Event has occurred, the investor receives total payments of $1,072 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $72 per $1,000 principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior to maturity, a Trigger Event has not occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 850 to an Ending Underlying Level of 680. Because the notes are not automatically called prior to maturity and a Trigger Event has not occurred, even though the Ending Underlying Level of the Lesser Performing Underlying of 680 is less than its Starting Underlying Level of 850, the investor receives total payments of $1,072 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $72 per $1,000 principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 5: The notes are not automatically called prior to maturity, a Trigger Event has occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 850 to an Ending Underlying Level of 680. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 680 is less than its Starting Underlying Level of 850, the investor receives total payments of $72 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $872 per $1,000 principal amount note over the term of the notes and a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -20%)] + $72 = $872
Example 6: The notes are not automatically called prior to maturity, a Trigger Event has occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 850 to an Ending Underlying Level of 425. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 425 is less than its Starting Underlying Level of 850, the investor receives total payments of $572 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $72 per $1,000 principal amount note over the term of the notes and a payment at maturity of $500 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -50%)] + $72 = $572
Example 7: The notes are not automatically called prior to maturity, a Trigger Event has occurred and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 850 to an Ending Underlying Level of 0. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 0 is less than its Starting Underlying Level of 850, the investor receives total payments of $72 per $1,000 principal amount note over the term of the notes, consisting solely of interest payments of $72 per $1,000 principal amount note over the term of the notes, calculated as follows:
[$1,000 + ($1,000 × -100%)] + $72 = $72
These returns and the payouts on the notes shown above do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical total returns and payouts shown above would likely be lower.
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JPMorgan
Structured Investments |
TS-8 |
Appendix A
The iShares® MSCI Brazil Index Fund
We have derived all information contained in this term sheet regarding the iShares® MSCI Brazil Index Fund, including, without limitation, its make up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, iShares®, Inc., BlackRock Institutional Trust Company, N.A. (BTC) and BlackRock Fund Advisors (BFA). The iShares® MSCI Brazil Index Fund is an investment portfolio maintained and managed by iShares®, Inc. BFA is currently the investment adviser to the iShares® MSCI Brazil Index Fund. The iShares® MSCI Brazil Index Fund is an exchange-traded fund (ETF) that trades on the NYSE Arca under the ticker symbol EWZ. We make no representations or warranty as to the accuracy or completeness of the information derived from these public sources.
iShares®, Inc. is a registered investment company that consists of numerous separate investment portfolios, including the iShares® MSCI Brazil Index Fund. Information provided to or filed with the SEC by iShares®, Inc. pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to SEC file numbers 033-97598 and 811-09102, respectively, through the SECs website at http://www.sec.gov. For additional information regarding iShares®, Inc., BFA and the iShares® MSCI Brazil Index Fund, please see the Prospectus dated January 1, 2011. In addition, information about iShares® and the iShares® MSCI Brazil Index Fund may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the iShares® website at www.ishares.com. We make no representation or warranty as to the accuracy or completeness of such information. Information contained in the iShares® website is not incorporated by reference in, and should not be considered a part of, this term sheet.
Investment Objective and Strategy
The iShares® MSCI Brazil Index Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in the Brazilian market, as measured by the MSCI Brazil Index. The iShares® Brazil Index Fund holds equity securities traded primarily in Brazil. The MSCI Brazil Index was developed by MSCI Inc. (MSCI) as an equity benchmark for Brazilian stock performance, and is designed to measure equity market performance in Brazil. For more information about the MSCI Brazil Index, see The MSCI Brazil Index below.
As of March 31, 2011, the iShares® MSCI Brazil Index Funds three largest equity securities were Petrobras Petroleo Brasileiro SA, Preferred; Petrobras Petroleo Brasileiro SA and Cia Vale do Rio Doce, Preferred-Class A. Its three largest sectors were materials, financials and energy.
The iShares® MSCI Brazil Index Fund uses a representative sampling strategy (as described below under Representative Sampling) to try to track the MSCI Brazil Index. The iShares® MSCI Brazil Index Fund generally invests at least 95% of its assets in the securities of the MSCI Brazil Index and in depositary receipts representing securities included in the MSCI Brazil Index. The iShares® MSCI Brazil Index Fund will at all times invest at least 80% of its assets in the securities of the MSCI Brazil Index or in depositary receipts representing securities included in the MSCI Brazil Index. The iShares® MSCI Brazil Index Fund may invest the remainder of its assets in other securities, including securities not in the MSCI Brazil Index, futures contracts, options on futures contracts, other types of options and swaps related to the MSCI Brazil Index, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA or its affiliates.
Representative Sampling
BFA uses a representative sampling indexing strategy to manage the iShares® MSCI Brazil Index Fund. Representative sampling is an indexing strategy that involves investing in a representative sample of securities that collectively has an investment profile similar to the MSCI Brazil Index. Securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the MSCI Brazil Index. The iShares® MSCI Brazil Index Fund may or may not hold all of the securities in the MSCI Brazil Index.
Correlation
The MSCI Brazil Index is a theoretical financial calculation, while the iShares® MSCI Brazil Index Fund is an actual investment portfolio. The performance of the iShares® MSCI Brazil Index Fund and the MSCI Brazil Index may vary due to transaction costs, non-U.S. currency valuation, asset valuations, corporate actions (such as mergers and spin-offs), timing variances, and differences between the iShares® MSCI Brazil Index Funds portfolio and the MSCI Brazil Index resulting from legal restrictions (such as diversification requirements) that apply to the iShares® MSCI Brazil Index Fund but not to the MSCI Brazil Index or the use of representative sampling. Tracking error is the difference between the performance (return) of a funds portfolio and that of its underlying index. BFA expects that, over time, the iShares® MSCI Brazil Index Funds tracking error will not exceed 5%. The iShares® MSCI Brazil Index Fund, using a representative sampling strategy, can be expected to have a greater tracking error than a fund using a replication strategy. Replication is a strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index.
Industry Concentration Policy
The iShares® MSCI Brazil Index Fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the MSCI Brazil Index is concentrated. For purposes of this limitation, securities of the U.S. government (including its agencies and instrumentalities) and repurchase agreements collateralized by U.S. government securities are not considered to be issued by members of any industry.
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JPMorgan
Structured Investments |
TS-9 |
Holdings Information
As of March 31, 2011, 99.43% of the iShares® MSCI Brazil Index Funds holdings consisted of equity securities, 0.12% consisted of cash and 0.46% was in other assets, including dividends booked but not yet received. The following tables summarize the iShares® MSCI Brazil Index Funds top holdings in individual companies and by sector as of such date.
Top holdings in individual securities as of March 31, 2011
Company
|
Percentage
of Total Holdings |
|
Petrobras Petroleo Brasileiro SA, Preferred |
11.32% |
|
Petrobras Petroleo Brasileiro SA |
9.21% |
|
Cia Vale do Rio Doce, Preferred-Class A |
9.00% |
|
Itau Unibanco Banco Multiplo SA |
8.50% |
|
Cia Vale do Rio Doce, ADR |
6.59% |
|
Banco Bradesco SA, Preferred |
5.07% |
|
Cia de Bebidas das Americas, Preferred |
3.28% |
|
Itausa-Investimentos Itau, Preferred |
2.86% |
|
OGX Petroleo e Gas Participa |
2.38% |
|
BM&F Bovespa SA |
2.23% |
Top holdings by sector as of March 31, 2011
Sector
|
Percentage
of Total Holdings |
|
Energy |
24.35% |
|
Financials |
23.86% |
|
Materials |
23.69% |
|
Consumer Staples |
8.60% |
|
Utilities |
5.72% |
|
Consumer Discretionary |
4.45% |
|
Industrials |
3.20% |
|
Telecommunication Services |
2.87% |
|
Information Technology |
1.83% |
|
Health Care |
0.86% |
|
Other/Undefined |
0.57% |
The information above was compiled from the iShares® website. We make no representation or warranty as to the accuracy or completeness of such information. Information contained in the iShares® website is not incorporated by reference in, and should not be considered a part of, this term sheet.
Disclaimer
The notes are not sponsored, endorsed, sold or promoted by BTC. BTC makes no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. BTC has no obligation or liability in connection with the operation, marketing, trading or sale of the notes.
The MSCI Brazil Index
We have derived all information contained in this term sheet regarding the MSCI Brazil Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, MSCI. We make no representation or warranty as to the accuracy or completeness of such information. The MSCI Brazil Index is calculated, maintained and published by MSCI. MSCI has no obligation to continue to publish, and may discontinue publication of, the MSCI Brazil Index.
The MSCI Brazil Index is a free float-adjusted, capitalization-weighted index that BM&FBOVESPA (The Brazilian exchange) and is nondiversified. The MSCI Brazil Index is reported by Bloomberg L.P. under the ticker symbol MXBR. Component companies must meet objective criteria for inclusion in the MSCI Brazil Index, taking into consideration unavailable strategic shareholdings and limitations to foreign ownership. The MSCI Brazil Index has a base date of December 31, 1987.
For more information on the index calculation methodology used to formulate the MSCI Brazil Index (and which is also used to formulate the indices included in the MSCI Global Index Series), see the section entitled The MSCI Indices beginning on page PS-43 of the accompanying product supplement no. 192-A-III. References to the MSCI Indices contained in the above-referenced section will be deemed to include the MSCI Brazil Index for purposes of this Appendix A.
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JPMorgan
Structured Investments |
TS-10 |