View:
 |
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-155535 January 7, 2011 January 2011 J. P. Morgan Structured Investments [GRAPHIC OMITTED] The JPMorgan Efficiente (USD) Index Strategy Guide |
 |
Important Information
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.
To the extent there are any inconsistencies between this free writing prospectus
and the relevant term sheet or pricing supplement, the relevant term sheet or
pricing supplement, including any hyperlinked information, shall supersede this
free writing prospectus.
Securities linked to J.P. Morgan's Efficiente (USD) Index (the "Strategy") are
our senior unsecured obligations and are not secured debt. Investing in these
securities is not equivalent to a direct investment in the Strategy or any index
that forms part of the Strategy.
Investments in securities linked to the Strategy require investors to assess
several characteristics and risk factors that may not be present in other types
of transactions. In reaching a determination as to the appropriateness of any
proposed transaction, clients should undertake a thorough independent review of
the legal, regulatory, credit, tax, accounting and economic consequences of such
transaction in relation to their particular circumstances. This free writing
prospectus contains market data from various sources other than us and our
affiliates, and, accordingly, we make no representation or warranty as to the
market data's accuracy or completeness. All information is subject to change
without notice. We or our affiliated companies may make a market or deal as
principal in the securities mentioned in this document or in options, futures or
other derivatives based thereon.
Any historical composite performance records included in this free writing
prospectus are hypothetical and it should be noted that the constituents have
not traded together in the manner shown in the composite historical replication
of the indices included in this free writing prospectus. No representation is
being made that the indices will achieve a composite performance record similar
to that shown. In fact, there are frequently sharp differences between a
hypothetical historical composite performance record and the actual record that
the combination of those underlying elements subsequently achieved.
Use of Simulated Returns
Back-testing and other statistical analysis material that is provided in
connection with the explanations of the potential returns of the securities
linked to the Strategy use simulated analysis and hypothetical circumstances to
estimate how it may have performed prior to its actual existence. The results
obtained from such "back-testing" information should not be considered
indicative of the actual results that might be obtained from an investment or
participation in a financial instrument or transaction referencing the Strategy.
J.P. Morgan provides no assurance or guarantee that the securities linked to the
Strategy will operate or would have operated in the past in a manner consistent
with these materials. The hypothetical historical levels presented herein have
not been verified by an independent third party, and such hypothetical
historical levels have inherent limitations. Alternative simulations,
techniques, modeling or assumptions might produce significantly different
results and prove to be more appropriate. Actual results will vary, perhaps
materially, from the simulated returns presented in this free writing
prospectus.
|
 |
IRS Circular 230 Disclosure
We and our affiliates do not provide tax advice. Accordingly, any discussion of
U.S. tax matters contained herein is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation by
anyone unaffiliated with J.P. Morgan of any of the matters address herein or for
the purpose of avoiding U.S. tax-related penalties.
Investment suitability must be determined individually for each investor, and
the financial instruments described herein may not be suitable for all
investors. This information is not intended to provide and should not be relied
upon as providing accounting, legal, regulatory or tax advice. Investors should
consult with their own advisors as to these matters.
This material is not a product of J.P. Morgan Research Departments. Structured
Investments may involve a high degree of risk, and may be appropriate
investments only for sophisticated investors who are capable of understanding
and assuming the risks involved. J.P. Morgan and its affiliates may have
positions (long or short), effect transactions or make markets in securities or
financial instruments mentioned herein (or options with respect thereto), or
provide advice or loans to, or participate in the underwriting or restructuring
of the obligations of, issuers mentioned herein. J.P. Morgan is the marketing
name for the Issuer and its subsidiaries and affiliates worldwide. JPMS is a
member of FINRA, NYSE, and SIPC. Clients should contact their salespersons at,
and execute transactions through, a J.P. Morgan entity qualified in their home
jurisdiction unless governing law permits otherwise.
Index Disclaimers
"Dow Jones(SM)," "UBS", "Dow Jones-UBS Commodity Index Excess Return(SM)," "Dow
Jones-UBS Commodity Index(SM)," and "DJ-UBSCI(SM)" are service marks of Dow
Jones and Company, Inc. and UBS Securities LLC ("UBS"), as the case may be, and
have been licensed for use for certain purposes by JPMorgan Chase and Co.
JPMorgan Chase and Co's securities based on the Dow Jones-UBS Commodity Index
Total Return(SM), are not sponsored, endorsed, sold or promoted by Dow Jones,
UBS, or any of their respective subsidiaries or affiliates, and none of Dow
Jones, UBS, or any of their respective subsidiaries or affiliates, makes any
representation regarding the advisability of investing in such product(s).
The MSCI indices are the exclusive property of MSCI Inc. ("MSCI"). "MSCI" and
the MSCI index names are service mark(s) of MSCI or its affiliates and have been
licensed for use for certain purposes by J.P. Morgan Chase and Co. (the
"Licensee"). The financial securities referred to herein are not sponsored,
endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any
such financial securities. Any relevant product supplement will contain a more
detailed description of the limited relationship MSCI has with the Licensee and
any related financial securities. No purchaser, seller or holder of this
product, or any other person or entity, should use or refer to any MSCI trade
name, trademark or service mark to sponsor, endorse, market or promote this
product without first contacting MSCI to determine whether MSCI's permission is
required. Under no circumstances may any person or entity claim any affiliation
with MSCI without the prior written permission of MSCI.
|
 |
Overview
The JPMorgan Efficiente (USD) Index (the "Index" or the "Strategy") is a J.P.
Morgan strategy that seeks to generate returns through the selection of up to
nine indices (the "Basket Constituents") based on the modern portfolio theory
approach to asset allocation. The Index tracks the excess returns of a synthetic
portfolio, selected from the Basket Constituents, above the return of the
JPMorgan Cash Index USD 3 Month ("Cash") and offers exposure to a diverse range
of asset classes and geographic regions.
Key features of the Index include:
[] synthetic investment in developed equity, emerging markets, alternative
investments and global debt;
[] dynamic exposure to a synthetic portfolio that is rebalanced quarterly
pursuant to a rules- based methodology with a targeted annualized
volatility of 8% or less;
[] algorithmic portfolio construction intended to address momentum and
correlation across markets; and
[] levels published on Bloomberg under the ticker EFJPUS8E.
The following graph sets forth the performance of the Index based on the
hypothetical back-tested weekly Index closing levels from January 2, 1995
through June 29, 2007, and the actual historical performance of the Index based
on the weekly Index closing level from July 6, 2007 through December 30, 2010.
The Index had annualized returns of 8.50% over this period (aggregating the
back-tested and historical data), and, based on the assumptions embedded in the
graph below, outperformed the MSCI World Index, the JPMorgan GBI (USD Hedged)
Global Bond Index, and the Dow Jones -- UBS Commodity Index Excess Return. There
is no guarantee that Efficiente will outperform the MSCI World Index, the
JPMorgan GBI (USD Hedged) Global Bond Index, the Dow Jones -- UBS Commodity
Index Excess Return or any alternative strategy during the term of your
investment in CDs linked to the Index.
Hypothetical performance of the JPMorgan Efficiente (USD) Index (Jan. 2,
1995--Dec. 30, 2010)
[GRAPHIC OMITTED]
Source: Bloomberg and J.P. Morgan
1
|
 |
Summary of hypothetical JPMorgan Efficiente (USD) Index returns (Jan. 2,
1995--Dec. 30, 2010)
Dow Jones -- JPMorgan GBI
Efficiente MSCI World UBS (USD Hedged)
- ----------------------------------------------------------------------
Annualized return 8.54% 4.65% 3.43% 6.18%
Annualized volatility 8.35% 15.96% 16.19% 2.81%
- ----------------------------------------------------------------------
Source: Bloomberg and J.P. Morgan
Note: Because the Index did not exist prior to July 6, 2007, all retrospective
levels provided above and in the graph on the previous page are simulated and
must be considered illustrative only. The simulated data was constructed using
certain procedures that may vary from the procedures used to calculate the Index
going forward, and on the basis of certain assumptions that may not hold during
future periods. The variations used in producing simulated historical data from
those used to calculate the Index going forward could produce variations in
returns of indeterminate direction and amount. Past hypothetical performance
results are neither indicative of nor a guarantee of future returns. Actual
results will vary, potentially materially, from the hypothetical historical
performance provided herein. Please see "Important Information" at the front of
this publication for a discussion of certain additional limitations of
back-testing and simulated returns.
"Annualized return" is calculated arithmetically and was not calculated on a
compound basis.
"Annualized volatility" means the standard deviation of each strategy's
arithmetic daily returns scaled for a one-year period based on the period from
January 2, 1995 through December 30, 2010.
"MSCI World" refers to the MSCI World Index, which is calculated, published, and
disseminated by MSCI Inc., and is designed to measure global developed market
equity performance.
"Dow Jones - UBS" refers to the Dow Jones -- UBS Commodity Index(SM) Excess
Return, which is calculated by Dow Jones in conjunction with UBS by applying the
impact of the changes to the future prices of commodities included in the Dow
Jones - UBS Commodity Index(SM) based on their relative weightings.
"JPMorgan GBI (USD Hedged)" refers to the JPMorgan GBI Global Bond Index Total
Return hedged into U.S. dollars. JPMorgan Government Bond Indices ("GBI"), of
which the GBI Index Total Return is a subset, consist of regularly traded,
fixed-rate, domestic government bonds of countries with liquid government debt
markets.
2
|
 |
Strategy description
The Index employs an allocation strategy that is based on modern portfolio
theory. The modern portfolio theory approach to asset allocation suggests how a
rational investor should allocate 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 optimal return of the
portfolio for a given amount of risk, using the volatility of returns of
hypothetical portfolios as the measure of risk.
Efficient frontier
[GRAPHIC OMITTED]
Source: J.P. Morgan
On a quarterly basis (each January, April, July, and October), J.P. Morgan
Securities Ltd., acting as the Efficiente calculation agent, will rebalance the
Index to take synthetic long positions in the Basket Constituents based on
mathematical rules that govern the Index and track the returns of the synthetic
portfolio above cash. The weights for each Basket Constituent will be adjusted
to comply with certain allocation constraints, including constraints on
individual Basket Constituents as well as the individual sectors. For more
information on the constraints related to the asset types and geographic regions
comprising the Index, see "What are the Basket Constituents?".
The Index seeks to identify the weights for each Basket Constituent that would
have resulted in the hypothetical portfolio with the highest return over the
previous six months while realizing an annualized volatility over the same
period of 8% or less. Thus, the portfolio exhibiting the highest return with an
annualized volatility of 8% or less is selected, and the weighting for such
portfolio is applied to the Basket Constituents. This forms the practical
application of the modern portfolio theory and the efficient frontier.
3
|
 |
On each observation date for the quarterly rebalancing of the Index, the
weighting algorithm implements a series of successive steps detailed below:
[] Efficiente identifies all Eligible Portfolios as described under "What are
the Basket Constituents?" and calculates the performance for each portfolio
for an observation period over the previous six months.
[] For each Eligible Portfolio, Efficiente calculates the annualized realized
volatility over that same observation period, and the results are sorted to
create the "efficient frontier. "
[] Efficiente selects the Eligible Portfolio with the strongest performance
that has an annualized realized volatility equal to or less than 8%, and
tracks the performance of this portfolio above Cash until the next
rebalancing date.
The Efficiente calculation agent will publish the index values for Efficiente on
Bloomberg, subject to the occurrence of a market disruption event. You can find
the current Index value on Bloomberg under the ticker EFJPUS8E.
There is no guarantee that the concept of an efficient frontier combined with
modern portfolio theory will generate positive returns for the Strategy or that
other theories applied to the portfolio of the nine (9) indices that comprise
the Strategy would not produce a better result than an investment linked to the
Strategy.
What are the Basket Constituents?
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.
Basket Constituents
- --------------------------------------------------------------------------------
Sector Sector Cap Assets Asset Cap
Developed 50% MSCI North America Gross TR Index 25%
Equity MSCI Europe Gross TR Index 25%
MSCI Pacific Gross TR Index 25%
Global Debt 50% JPMorgan GBI Global Bond TR Index Hedged into USD 25%
JPMorgan Cash Index USD 3 Month 50%
Emerging 50% JPMorgan Emerging Markets Bond Index Plus 25%
Markets Composite 25%
MSCI Emerging Markets Gross TR Index
Alternative 50% GPR/JPMorgan High Liquidity Global Property Index 25%
Investments Dow Jones - UBS Commodity Index TR 25%
- --------------------------------------------------------------------------------
Source: J.P. Morgan
Note: See the relevant disclosure statement for more information on the Index
and the Basket Constituents.
An Eligible Portfolio is any hypothetical portfolio comprised of the above
Basket Constituents that includes all nine (9) of the Basket Constituents and
also satisfies the following weighting constraints:
[] The minimum possible weight assigned to any Basket Constituent is 0%.
[] The weight assigned to each Basket Constituent is an integer multiple of
5%.
[] The maximum possible weight assigned to any Basket Constituent is 25%, with
the exception of the JPMorgan Cash Index USD 3 Month (maximum possible
weight of 50%).
[] The maximum possible weight assigned to any sector is 50%.
[] The sum of the weights assigned to all Basket Constituents will be equal to
100%.
4
|
 |
Historical analysis
The Index aims to provide returns while maintaining exposure across a diverse
spectrum of asset classes and geographic regions. Although this is not an
indication of future performance, the Index has outperformed three of the
underlying asset classes over the period from January 1995 to the present, while
effectively maintaining an annualized volatility near the targeted 8%.
Diversified exposure
As illustrated in the table below, equities (as represented by the MSCI World
Index), commodities (as represented by the Dow Jones - UBS Commodity Index
Excess Return(SM)), and bonds (as represented by the JPMorgan GBI USD Hedged
Index TR) have historically displayed very low, and in some cases, negative,
correlation. Correlation can be described as a measure of the degree to which
two components change relative to each other. A diversified approach to
investing would stipulate maintaining exposure to a variety of asset classes to
attempt to generate positive returns in a wide range of market environments.
Due to the rebalancing methodology and the constraints set forth previously in
"What are the Basket Constituents?", Efficiente can shift exposure based on the
current market environment and potentially exploit any low correlation exhibited
by the Basket Constituents. The hypothetical correlations below illustrate that
returns of the Index have not historically been overly dependent on any one
asset class.
Summary of hypothetical correlations for Efficiente (January 2, 1995 through
December 30, 2010)
JPMorgan Dow Jones -- UBS JPMorgan GBI
Efficiente (USD) Commodity Index (USD Hedged)
Strategy Index MSCI World Index Excess Return(SM) Index TR
- ----------------------------------------------------------------------------------
JPMorgan
Efficiente (USD) 100% 73% 50% (0.28%)
Index
MSCI World Index 100% 35% (18%)
Dow Jones - UBS
Commodity Index 100% (13%)
Excess Return(SM)
JPMorgan GBI
(USD Hedged) 100%
Index TR
- ----------------------------------------------------------------------------------
Source: Bloomberg and J.P. Morgan
Note: Based on the daily returns (back-tested and actual) between January 2,
1995 and December 30, 2010. Calculated as of January 4, 2011. The correlations
shown above are for informational purposes only. Historical performance
(back-tested and actual) of the Index and of the Basket Constituents is not
indicative of future performance of the Index or of the Basket Constituents.
Future correlations may be greater or lesser than the correlations experienced
in the past as displayed in the summary above.
5
|
 |
Targeting volatility
As described in "Strategy description," the Index targets an annualized realized
volatility of 8%. The graph below sets forth the hypothetical six-month realized
volatility of the Index as well as the MSCI World Index, the Dow Jones -- UBS
Commodity Index Excess Return, and the JPMorgan GBI (USD Hedged) Total Return
Index between January 1995 and September 2010.
Volatility is a measurement of the variability of returns based on historical
performance. The historical, or "realized," volatility of a portfolio can be
measured in a number of ways. For the purposes of the graph below, volatility is
calculated from the historical returns of the indices over a six-month
observation period. For any given day, the "six-month annualized volatility" is
the annualized standard deviation of each index's arithmetic daily returns for
the 126-index day period preceding that day. For example, the first data point
on the graph, representing July 5, 1995, displays the annualized standard
deviation of the daily returns during the 126 index days up to and including
July 5, 1995. The second point on the graph displays the annualized standard
deviation of the daily returns for the 126 index days up to and including July
6, 1995. This calculation is repeated for each 126-index day period beginning
July 5, 1995 and ending September 30, 2010 in order to populate the entire graph
and display over thirteen years' worth of six-month annualized volatility data.
Hypothetical six-month annualized volatility (July 5, 1995--December 30, 2010)
[GRAPHIC OMITTED]
Source: Bloomberg and J.P. Morgan
Note: The hypothetical, historical six-month annualized volatility levels of
Efficiente, the JPMorgan GBI (USD Hedged) Total Return Index, the Dow Jones --
UBS Commodity Index Excess Return and the MSCI World Index are presented for
informational purposes only. The back-tested, hypothetical, historical six-month
annualized volatility has inherent limitations. These volatility results were
achieved by means of a retroactive application of a back-tested volatility model
designed with the benefit of hindsight. No representation is made that in the
future Efficiente, the JPMorgan GBI (USD Hedged) Total Return Index, the Dow
Jones - UBS Commodity Index Excess Return and the MSCI World Index will have the
volatilities as shown above. There is no guarantee that Efficiente will
outperform any alternative investment strategy, including the JPMorgan GBI (USD
Hedged) Total Return Index, the Dow Jones - UBS Commodity Index Excess Return,
and the MSCI World Index. Alternative modeling techniques or assumptions might
produce significantly different results and may prove to be more appropriate.
Actual six-month annualized volatilities will vary, perhaps materially, from
this analysis. Please see "Important Information" at the front of this
publication for a discussion of certain additional limitations of back-testing
and simulated returns.
6
|
 |
Hypothetical historical sector weightings
The following graph sets forth the hypothetical back-tested allocation of each
Sector based on the rebalancing mechanics set forth under the "Strategy
description." The hypothetical allocation was calculated on a quarterly basis.
For a detailed description of which Basket Constituents make up each sector
displayed in this graph, please see "What are the Basket Constituents?".
Hypothetical allocations
[GRAPHIC OMITTED]
Source: J.P. Morgan
Note: The hypothetical allocations obtained from such back-testing should not be
considered indicative of the actual weights that would be assigned to the
Sectors or the applicable Basket Constituents during your investment in the
Strategy. J.P. Morgan provides no assurance or guarantee that the actual
performance of the Strategy would result in allocations among the Sectors or the
applicable Basket Constituents consistent with the hypothetical allocations
displayed in the preceding graphs. Actual results will vary, perhaps materially,
from the analysis implied in the hypothetical historical allocations contained
in this analysis. Please see "Important Information" at the front of this
publication for a discussion of certain additional limitations of back-testing
and simulated returns.
7
|
 |
The following graphs show the allocation across certain asset classes as defined
below and are intended to demonstrate how the average allocation of the Index
changes during different market environments. These hypothetical allocations
were calculated by averaging the quarterly allocations during the period
beginning July 3, 2000 through and including January 1, 2003 and from the period
beginning July 1, 2003 to and including April 2, 2007.
For this graph, the sector "Emerging Markets" has been subdivided into JPMorgan
Emerging Markets Bond Index Plus Composite, which we refer to as EM Bonds, and
MSCI Emerging Markets Gross TR Index, which we refer to as EM Equities.
Average allocations
Average allocation: July 3, 2000--January 1, 2003
[GRAPHIC OMITTED]
Average allocation: July 1, 2003--April 2, 2007
[GRAPHIC OMITTED]
Source: J.P. Morgan
Note: The hypothetical allocations obtained from such back-testing should not be
considered indicative of the actual weights that would be assigned to the
Sectors or the applicable Basket Constituents during your investment in the
Strategy. J.P. Morgan provides no assurance or guarantee that the actual
performance of the Strategy would result in allocations among the Sectors or the
applicable Basket Constituents consistent with the hypothetical allocations
displayed in the preceding graphs. Actual results will vary, perhaps materially,
from the analysis implied in the hypothetical historical allocations contained
in this analysis. Please see "Important Information" at the front of this
publication for a discussion of certain additional limitations of back-testing
and simulated returns.
8
|
 |
Risks associated with the Strategy
THE STRATEGY COMPRISES NOTIONAL ASSETS AND LIABILITIES--The exposures to the
dynamic basket that tracks the excess returns of the Basket Constituents above
the JPMorgan Cash Index USD 3 Month are purely notional. There is no actual
portfolio of assets to which any person is entitled or in which any person has
any ownership interest.
THERE ARE RISKS ASSOCIATED WITH A MOMENTUM-BASED INVESTMENT STRATEGY--The
Strategy employs a mathematical model intended to implement what is known as a
momentum based 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 Strategy may fail to realize gains that could occur from holding assets that
have experienced price declines, but experience a sudden price spike thereafter.
CORRELATION OF PERFORMANCES AMONG THE BASKET CONSTITUENTS MAY REDUCE PERFORMANCE
OF THE STRATEGY--Performances amongst the Basket Constituents may become highly
correlated from time to time during the term of your investment. High
correlation during periods of negative returns among Basket Constituents
representing any one sector or asset type which have a substantial weighting in
the Strategy could have a material adverse effect on the performance of the
Strategy.
THE COMMODITY FUTURES CONTRACTS UNDERLYING THE DOW JONES - UBS COMMODITY INDEX
TOTAL RETURN(SM) ARE SUBJECT TO UNCERTAIN LEGAL AND REGULATORY REGIMES--The
commodity futures contracts that underlie the Dow Jones - UBS Commodity Index
Total Return(SM) are subject to legal and regulatory regimes that may change in
ways that could adversely affect our ability to hedge our obligations under the
Strategy or your investment linked to the Strategy. Under these circumstances,
we may, in our sole and absolute discretion, determine your payment at maturity
early. Because we will not make this early determination payment until the
maturity date, the amount you receive at maturity will not reflect any further
appreciation of the Strategy after such early determination.
OUR AFFILIATE, J.P. MORGAN SECURITIES LTD., OR JPMSL, IS THE CALCULATION AGENT
AND MAY ADJUST THE STRATEGY 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 Strategy and the value of your investment. JPMSL
is under no obligation to consider your interest as an investor in securities
linked to the Strategy.
OTHER KEY RISKS:
[] The Strategy may not be successful, may not outperform any alternative
strategy related to the Basket Constituents, or may not achieve its target
volatility of 8%.
[] The investment strategy involves quarterly rebalancing and maximum
weighting caps that are applied to the Basket Constituents by asset type
and geographical region.
[] Changes in the value of the Basket Constituents may offset each other.
[] An investment in securities linked to the Strategy is subject to risks
associated with non-U.S. securities markets, including emerging markets.
[] The securities linked to the Strategy are subject to currency exchange
risk.
[] The Index was established on July 2, 2007, and therefore has a limited
operating history.
[] J.P. Morgan Securities Inc., one of our affiliates, is the sponsor of three
of the Basket Constituents (the JPMorgan Emerging Markets Bond Index Plus
Composite, the JPMorgan GBI Global Bond Total Return Index Hedged into USD
and the JPMorgan Cash Index USD 3 Month).
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.
9
|