Term
sheet |
Term
sheet to Product Supplement No. 39-A-VI Registration Statement No. 333-155535 Dated October 29, 2010; Rule 433 |
Structured |
JPMorgan
Chase & Co. $ Buffered Return Enhanced Notes Linked to the S&P 500® Index due November 30, 2012 |
General
Key Terms
Index: |
The S&P 500® Index (SPX) (the Index) |
Upside Leverage Factor: |
2 |
Payment
at Maturity: |
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by two, subject to a Maximum Total Return on the notes which will not be less than 18.00%* or greater than 22.00%*. For example, assuming the Maximum Total Return is 18.00%*, if the Index Return is equal to or greater than 9.00%, you will receive the Maximum Total Return on the notes of 18.00%*, which entitles you to a maximum payment at maturity of $1,180* for every $1,000 principal amount note that you hold. Accordingly, if the Index Return is positive, your payment at maturity per $1,000 principal amount note will be calculated as follows, subject to the Maximum Total Return: |
|
$1,000 + [$1,000 x (Index Return x 2)] *The actual Maximum Total Return will be set on the pricing date and will not be less than 18.00% or greater than 22.00%. Accordingly, the actual maximum payment at maturity per $1,000 principal amount note will not be less than $1,180 or greater than $1,220. |
|
If the Ending Index Level is equal to or less than the Initial Index Level by up to 10%, you will receive the principal amount of your notes at maturity. If the Ending Index Level is less than the Initial Index Level by more than 10%, you will lose 1% of the principal amount of your notes for every 1% that the Index declines beyond 10% and your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + [$1,000 x (Index Return + 10%)] |
|
If the Ending Index Level is less than the Initial Index Level by more than 10%, you could lose up to $900 per $1,000 principal amount note. |
Buffer Amount: |
10%, which results in a minimum payment of $100 per $1,000 principal amount note. |
Index Return: |
Ending
Index Level Initial Index Level |
Initial Index Level: |
The Index closing level on the pricing date, which is expected to be on or about November 23, 2010. |
Ending Index Level: |
The Index closing level on the Observation Date. |
Observation Date: |
November 27, 2012 |
Maturity Date: |
November 30, 2012 |
CUSIP: |
48124AV61 |
| 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. 39-A-VI. |
Investing in the Buffered Return Enhanced Notes involves a number of risks. See Risk Factors beginning on page PS-10 of the accompanying product supplement no. 39-A-VI 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. 39-A-VI and this term sheet if you so request by calling toll-free 866-535-9248.
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
Per note |
$ |
$ |
$ |
Total |
$ |
$ |
$ |
(1) | The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates. |
(2) | If the notes priced today and assuming a Maximum Total Return of 18.00%, J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $25.00 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 $2.00 per $1,000 principal amount note. The concessions of approximately $2.00 include concessions and other amounts to be allowed to selling dealers and concessions and other amounts 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 $25.00 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 to be allowed to other dealers, exceed $25.00 per $1,000 principal amount note. See Plan of Distribution beginning on page PS-174 of the accompanying product supplement no. 39-A-VI. |
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.
October 29, 2010
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. 39-A-VI dated February 22, 2010. This term sheet, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in Risk Factors in the accompanying product supplement no. 39-A-VI, 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.
39-A-VI dated February 22, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000670/e37841_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 or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
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|
JPMorgan
Structured Investments |
TS-1 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or in any of the component securities of the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 39-A-VI dated February 22, 2010.
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JPMorgan
Structured Investments |
TS-2 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index?
The following table, graph and examples illustrate the hypothetical total return at maturity on the notes. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns set forth below assume an Initial Index Level of 1180 and a Maximum Total Return of 18.00%. The actual Maximum Total Return will be set on the pricing date and will not be less than 18.00% or greater than 22.00%. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing in the following table, graph and in the examples on the following page have been rounded for ease of analysis.
Ending
Index |
Index Return |
Total
Return on |
Payment
at |
1888.00 |
60.00% |
18.00% |
$1,180 |
1770.00 |
50.00% |
18.00% |
$1,180 |
1652.00 |
40.00% |
18.00% |
$1,180 |
1534.00 |
30.00% |
18.00% |
$1,180 |
1416.00 |
20.00% |
18.00% |
$1,180 |
1357.00 |
15.00% |
18.00% |
$1,180 |
1298.00 |
10.00% |
18.00% |
$1,180 |
1286.20 |
9.00% |
18.00% |
$1,180 |
1239.00 |
5.00% |
10.00% |
$1,100 |
1209.50 |
2.50% |
5.00% |
$1,050 |
1191.80 |
1.00% |
2.00% |
$1,020 |
1180.00 |
0.00% |
0.00% |
$1,000 |
1121.00 |
-5.00% |
0.00% |
$1,000 |
1062.00 |
-10.00% |
0.00% |
$1,000 |
1003.00 |
-15.00% |
-5.00% |
$950 |
826.00 |
-30.00% |
-20.00% |
$800 |
708.00 |
-40.00% |
-30.00% |
$700 |
590.00 |
-50.00% |
-40.00% |
$600 |
472.00 |
-60.00% |
-50.00% |
$500 |
354.00 |
-70.00% |
-60.00% |
$400 |
236.00 |
-80.00% |
-70.00% |
$300 |
118.00 |
-90.00% |
-80.00% |
$200 |
0.00 |
-100.00% |
-90.00% |
$100 |
The following graph demonstrates the hypothetical total return on the notes at maturity for a sub-set of the Index Returns detailed in the table above (-30% to 30%). Your investment may result in a loss of up to 90% of your principal at maturity.
Buffered
Return Enhanced Notes Linked to the S&P 500® Index
Total Return at Maturity
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JPMorgan
Structured Investments |
TS-3 |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table on the previous page are calculated.
Example 1: The level of the Index increases from the Initial Index Level of 1180 to an Ending Index Level of 1239. Because the Ending Index Level of 1239 is greater than the Initial Index Level of 1180 and the Index Return of 5% multiplied by 2 does not exceed the hypothetical Maximum Total Return of 18.00%, the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 2)] = $1,100
Example 2: The level of the Index decreases from the Initial Index Level of 1180 to an Ending Index Level of 1062. Although the Index Return is negative, because the Ending Index Level of 1062 is less than the Initial Index Level of 1180 by not more than the Buffer Amount of 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index increases from the Initial Index Level of 1180 to an Ending Index Level of 1416. Because the Ending Index Level of 1416 is greater than the Initial Index Level of 1180 and the Index Return of 20% multiplied by 2 exceeds the hypothetical Maximum Total Return of 18.00%, the investor receives a payment at maturity of $1,180 per $1,000 principal amount note, the maximum payment on the notes.
Example 4: The level of the Index decreases from the Initial Index Level of 1180 to an Ending Index Level of 826. Because the Index Return is negative and the Ending Index Level of 826 is less than the Initial Index Level of 1180 by more than the Buffer Amount of 10%,the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-30% + 10%)] = $800
Example 5: The level of the Index decreases from the Initial Index Level of 1180 to an Ending Index Level of 0. Because the ndex Return is negative and the Ending Index Level of 0 is less than the Initial Index Level of 1180 by more than the Buffer Amount of 10%, the investor receives a payment at maturity of $100 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-100% + 10%)] = $100
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JPMorgan
Structured Investments |
TS-4 |
Historical Information
The following graph sets forth the historical performance of the S&P 500® Index based on the weekly Index closing level from January 7, 2005 through October 22, 2010. The Index closing level on October 28, 2010 was 1183.78. 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 historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level on the pricing date or on the Observation Date. We cannot give you assurance that the performance of the Index will result in the full return of your initial investment in excess of $100 per $1,000 principal amount note.
Supplemental Underwriting Information
We expect that delivery of the notes will be made against payment for the notes on or about the settlement date set forth on the front cover of this term sheet, which will be the fourth business day following the expected pricing date of the notes (this settlement cycle being referred to as T+4). Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to that trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on the pricing date or the succeeding business day will be required to specify an alternate settlement cycle at the time of any such trade to prevent a failed settlement and should consult their own advisers.
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JPMorgan
Structured Investments |
TS-5 |