Term Sheet |
Term Sheet to |
Structured |
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General
Key Terms
Index Fund: |
The iShares® MSCI EAFE Index Fund (the Index Fund) |
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Knock-Out Event: |
A Knock-Out Event occurs if, on any day during the Monitoring Period, the closing price of one share of the Index Fund is less than the Initial Share Price by more than the Knock-Out Buffer Amount. |
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Knock-Out Buffer Amount: |
30.00% |
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Payment at Maturity: |
If a Knock-Out Event has occurred, you will receive a cash payment at maturity that will reflect the performance of the Index Fund, subject to the Maximum Return. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 × Share Return), subject to the Maximum Return |
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If a Knock-Out Event has occurred, you will lose some or all of your investment at maturity if the Final Share Price is less than the Initial Share Price. |
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If a Knock-Out Event has not occurred, you will receive a cash payment at maturity that will reflect the performance of the Index Fund, subject to the Contingent Minimum Return and the Maximum Return. If a Knock-Out Event has not occurred, your payment at maturity per $1,000 principal amount note will equal $1,000 plus the product of (a) $1,000 and (b) the greater of (i) the Contingent Minimum Return and (ii) the Share Return, subject to the Maximum Return. For additional clarification, please see What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index Fund? in this term sheet. |
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Maximum Return: |
At least 20.00%. The actual Maximum Return and the actual maximum payment at maturity will be set on the pricing date and will not be less than 20.00% and $1,200 per $1,000 principal amount note, respectively. |
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Contingent Minimum Return: |
At least 12.20%. The actual Contingent Minimum Return will be determined on the pricing date and will not be less than 12.20%. |
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Monitoring Period: |
The period from and excluding the pricing date to and including the Observation Date |
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Share Return: |
Final Share Price Initial Share
Price |
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Initial Share Price: |
The closing price of one share of the Index Fund on the pricing date, divided by the Share Adjustment Factor |
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Final Share Price: |
The closing price of one share of the Index Fund on the Observation Date |
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Share Adjustment Factor: |
Set initially at 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. 182-A-I for further information. |
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Observation Date: |
April 30, 2012 |
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Maturity Date: |
May 3, 2012 |
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CUSIP: |
48124A5Z6 |
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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. 182-A-I |
Investing in the Capped Index Fund Knock-Out Notes involves a number of risks. See Risk Factors beginning on page PS-6 of the accompanying product supplement no. 182-A-I and Selected Risk Considerations beginning on page TS-2 of this term sheet.
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.
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Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
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Per note |
$ |
$ |
$ |
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Total |
$ |
$ |
$ |
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(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 20.00%, J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $13.00 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 $1.00 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 $13.00 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 that may be allowed to other dealers, exceed $15.00 per $1,000 principal amount note. See Use of Proceeds beginning on page PS-19 of the accompanying product supplement no. 182-A-I, as supplemented by Supplemental Use of Proceeds in this term sheet, and Plan of Distribution beginning on page PS-56 of the accompanying product supplement no. 182-A-I. |
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.
December 17, 2010
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. 182-A-I 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. 182-A-I dated February 4, 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. 182-A-I, 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. 182-A-I dated
February 4, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000426/e37702_424b2.pdf
Prospectus supplement dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_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.
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JPMorgan
Structured Investments |
TS-1 |
The discussion in the preceding paragraph, when read in combination with the section entitled Certain U.S. Federal Income Tax Consequences in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index Fund, the Underlying Index or any of the component securities of the Index Fund or the Underlying Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 182-A-I dated February 4, 2010.
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JPMorgan
Structured Investments |
TS-2 |
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JPMorgan
Structured Investments |
TS-3 |
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JPMorgan
Structured Investments |
TS-4 |
The following table illustrates 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 Share Price of $57.00, a Contingent Minimum Return of 12.20% and a Maximum Return of 20% and reflect the Knock-Out Buffer Amount of 30%. 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 and examples have been rounded for ease of analysis.
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Total Return |
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Final Share |
Share Return |
Knock Out Event |
Knock Out Event |
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$102.600 |
80.00% |
20.00% |
20.00% |
$94.050 |
65.00% |
20.00% |
20.00% |
$85.500 |
50.00% |
20.00% |
20.00% |
$79.800 |
40.00% |
20.00% |
20.00% |
$74.100 |
30.00% |
20.00% |
20.00% |
$71.250 |
25.00% |
20.00% |
20.00% |
$68.400 |
20.00% |
20.00% |
20.00% |
$65.550 |
15.00% |
15.00% |
15.00% |
$63.950 |
12.20% |
12.20% |
12.20% |
$62.700 |
10.00% |
12.20% |
10.00% |
$59.850 |
5.00% |
12.20% |
5.00% |
$58.425 |
2.50% |
12.20% |
2.50% |
$57.000 |
0.00% |
12.20% |
0.00% |
$54.150 |
-5.00% |
12.20% |
-5.00% |
$51.300 |
-10.00% |
12.20% |
-10.00% |
$48.450 |
-15.00% |
12.20% |
-15.00% |
$45.600 |
-20.00% |
12.20% |
-20.00% |
$42.750 |
-25.00% |
12.20% |
-25.00% |
$39.900 |
-30.00% |
12.20% |
-30.00% |
$39.330 |
-31.00% |
N/A |
-31.00% |
$34.200 |
-40.00% |
N/A |
-40.00% |
$28.500 |
-50.00% |
N/A |
-50.00% |
$22.800 |
-60.00% |
N/A |
-60.00% |
$17.100 |
-70.00% |
N/A |
-70.00% |
$11.400 |
-80.00% |
N/A |
-80.00% |
$5.700 |
-90.00% |
N/A |
-90.00% |
$0.000 |
-100.00% |
N/A |
-100.00% |
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Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: A Knock-Out Event has not occurred, and the closing price of one share of the Index Fund increases from the Initial Share Price of $57.00 to a Final Share Price of $58.425. Because a Knock-Out Event has not occurred and the Share Return of 2.50% is less than the Contingent Minimum Return of 12.20%, the investor receives a payment at maturity of $1,122 per $1,000 principal amount note.
Example 2: A Knock-Out Event has not occurred, and the closing price of one share of the Index Fund decreases from the Initial Share Price of $57.00 to a Final Share Price of $48.45. Because a Knock-Out Event has not occurred and the Share Return of -15% is less than the Contingent Minimum Return of 12.20%, the investor receives a payment at maturity of $1,122 per $1,000 principal amount note.
Example 3: A Knock-Out Event has not occurred, and the closing price of one share of the Index Fund increases from the Initial Share Price of $57.00 to a Final Share Price of $65.55. Because a Knock-Out Event has not occurred and the Share Return of 15% is greater than the Contingent Minimum Return of 12.20% but less than the Maximum Return of 20%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 15%) = $1,150
Example 4: A Knock-Out Event has occurred, and the closing price of one share of the Index Fund decreases from the Initial Share Price of $57.00 to a Final Share Price of $51.30. Because a Knock-Out Event has occurred and the Share Return is -10%, the investor receives a payment at maturity of $900 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -10%) = $900
Example 5: A Knock-Out Event has occurred, and the closing price of one share of the Index Fund increases from the Initial Share Price of $57.00 to a Final Share Price of $62.70. Because a Knock-Out Event has occurred and the Share Return of 10% is less than the Maximum Return of 20%, the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 10%) = $1,100
Example 6: The closing price of one share of the Index Fund increases from the Initial Share Price of $57.00 to a Final Share Price of $85.50. Because the Share Return of 50% is greater than the Maximum Return of 20%, regardless of whether a Knock-Out Event has occurred, the investor receives a payment at maturity of $1,200 per $1,000 principal amount note, the maximum payment on the notes.
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JPMorgan
Structured Investments |
TS-5 |
The following graph sets forth the historical performance of the iShares® MSCI EAFE Index Fund based on the weekly historical closing price of one share of the Index Fund from January 7, 2005 through December 10, 2010. The closing price of one share of the Index Fund on December 16, 2010 was $57.89. We obtained the closing prices of one share of the Index Fund 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 prices set forth in the graph below have been adjusted for a 3-for-1 stock split that went effective on June 9, 2005. The historical prices of one share of the Index Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Index Fund on any day during the Monitoring Period or the closing price of one share of the Index Fund on the Observation Date. We cannot give you assurance that the performance of the Index Fund will result in the return of any of your initial investment.
Supplemental Use of Proceeds
For purposes of the notes offered by this term sheet, the second paragraph under Use of Proceeds in the accompanying product supplement no. 182-A-I is deemed to be replaced by the following paragraph:
The commissions received by JPMS will include the projected profit that our affiliates expect to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our or our affiliates control, our projected profit resulting from such hedging may result in a profit that is more or less than expected, or could result in a loss. See also Use of Proceeds in the accompanying prospectus.
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JPMorgan
Structured Investments |
TS-6 |