Term sheet |
Term Sheet |
Structured |
$ |
General
Key Terms
Underlyings: |
The S&P 500® Index and the Russell 2000® Index (each an Underlying, and collectively, the Underlyings) |
Interest Rate: |
10.30% per annum, payable quarterly at a rate of 2.575% on each of the four (4) Interest Payment Dates |
Automatic Call: |
If on any Call Date, the closing level 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 50.00% of the Starting Underlying Level of such Underlying |
Pricing Date: |
On or about September 15, 2011 |
Settlement Date: |
On or about September 22, 2011 |
Observation Date*: |
September 17, 2012 |
Maturity Date*: |
September 24, 2012 |
CUSIP: |
48125X2H8 |
Monitoring Period: |
The period from but excluding the Pricing Date to and including the Observation Date |
Interest Payment Dates: |
Unless previously called, interest on the notes will be payable quarterly in arrears on the Call Settlement Dates and the maturity date (each, an Interest Payment Date). See Selected Purchase Considerations Quarterly 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 × 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, at any time during the Monitoring Period, the Index level of either 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*: |
December 15, 2011 (first Call Date), March 15, 2012 (second Call Date) and June 15, 2012 (third Call Date) |
Call Settlement Dates*: |
December 22, 2011 (first Call Settlement Date), March 22, 2012 (second Call Settlement Date) and June 22, 2012 (third Call Settlement Date) |
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 the 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-6 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.
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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, J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $20.00 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 $10.00 per $1,000 principal amount note. The concessions of approximately $10.00 per $1,000 principal amount note include concessions to be allowed to selling dealers and concessions 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 $20.00 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 $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.
September 15, 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 each Underlying, the closing level of such Underlying on the Pricing Date |
Ending Underlying Level: |
With respect to each Underlying, the closing level of such Underlying on the Observation Date |
Lesser Performing Underlying: |
The Underlying with the Lesser Performing Underlying Return |
Lesser Performing Underlying Return: |
The lower of the Underlying Return of the S&P 500® Index and the Underlying Return of the Russell 2000® Index |
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 a Call Date, we will redeem each note and deliver the applicable cash payment described above on the applicable Call Settlement Date specified on the front cover of this term sheet, subject to postponement as described below. If a scheduled Call Settlement Date is not a business day, then that Call Settlement Date will be the next succeeding business day following the scheduled Call Settlement Date. If, due to a market disruption event or otherwise, a Call Date is postponed so that it falls less than three business days prior to the applicable scheduled Call Settlement Date, the applicable Call Settlement Date will be the third business day following the Call Date, as postponed. If an applicable Call Settlement Date is adjusted as the result of a market disruption event or otherwise, the payment of interest due on that Call Settlement Date will be made on that Call Settlement Date as adjusted, with the same force and effect as if the Call Settlement Date had not been adjusted, but no additional interest will accrue or be payable as a result of the delayed payment;
(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;
(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 Notes with a maturity of not more than one year in the accompanying product supplement no. 192-A-III; and
(e) the first paragraph set forth under Description of Notes Interest Payments in the accompanying product supplement no. 192-A-III is deemed to be deleted. Instead, for each interest period, for each $1,000 principal amount note, the interest payment will be calculated as follows: $1,000 × interest rate (10.30%) × ¼.
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JPMorgan Structured Investments | TS-1 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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 S&P 500® Index and that the closing level of the Russell 2000® Index 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 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 1200 and reflect the Interest Rate of 10.30% per annum over the term of the notes and the Protection Amount of 50.00%. 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.
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Ending Underlying
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Lesser Performing |
Note Total Return at
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Note Total |
Note Total Return at
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2160.00 |
80.00% |
1st Call Settlement |
10.300% |
10.300% |
1980.00 |
65.00% |
10.300% |
10.300% |
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1800.00 |
50.00% |
10.300% |
10.300% |
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1680.00 |
40.00% |
10.300% |
10.300% |
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1560.00 |
30.00% |
10.300% |
10.300% |
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1440.00 |
20.00% |
10.300% |
10.300% |
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1320.00 |
10.00% |
10.300% |
10.300% |
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1260.00 |
5.00% |
10.300% |
10.300% |
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1212.00 |
1.00% |
10.300% |
10.300% |
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1200.00 |
0.00% |
N/A |
10.300% |
10.300% |
1140.00 |
-5.00% |
N/A |
10.300% |
5.30% |
1080.00 |
-10.00% |
N/A |
10.300% |
0.30% |
960.00 |
-20.00% |
N/A |
10.300% |
-9.70% |
900.00 |
-25.00% |
N/A |
10.300% |
-14.70% |
780.00 |
-35.00% |
N/A |
10.300% |
-24.70% |
720.00 |
-40.00% |
N/A |
10.300% |
-29.70% |
600.00 |
-50.00% |
N/A |
10.300% |
-39.70% |
599.88 |
-50.01% |
N/A |
N/A |
-39.71% |
480.00 |
-60.00% |
N/A |
N/A |
-49.70% |
360.00 |
-70.00% |
N/A |
N/A |
-59.70% |
240.00 |
-80.00% |
N/A |
N/A |
-69.70% |
120.00 |
-90.00% |
N/A |
N/A |
-79.70% |
0.00 |
-100.00% |
N/A |
N/A |
-89.70% |
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(1) A Trigger Event occurs if the Index level of either Underlying is less than the Starting Underlying Level of such Underlying by more than 50.00% at any time 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 1200 to a closing level of 1212 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 a payment of $1,025.75 per $1,000 principal amount note, consisting of an interest payment of $25.75 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 1200 to a closing level of 1140 on the first Call Date and 1080 on the second Call Date and increases from the Starting Underlying Level of 1200 to a closing level of 1260 on the third Call Date. Although the level of the Lesser Performing Underlying on each of the first two Call Dates (1140 and 1080) is less than the Starting Underlying Level of 1200, because the closing level of each Underlying on the third Call Date is greater than the applicable Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,077.25 per $1,000 principal amount note, consisting of interest payments of $77.25 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-2 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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 1200 to an Ending Underlying Level of 1260. Because the notes are not automatically called prior to maturity and the Ending Underlying Level of the Lesser Performing Underlying of 1260 is greater than its Starting Underlying Level of 1200, regardless of whether a Trigger Event has occurred, the investor receives total payments of $1,103.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $103.00 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 1200 to an Ending Underlying Level of 720. Because the notes are not called prior to maturity and a Trigger Event has not occurred, even though the Ending Underlying Level of the Lesser Performing Underlying of 720 is less than its Starting Underlying Level of 1200, the investor receives total payments of $1,103.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $103.00 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 1200 to an Ending Underlying Level of 720. 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 720 is less than its Starting Underlying Level of 1200, the investor receives total payments of $703.00 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $103.00 per $1,000 principal amount note over the term of the notes and a payment at maturity of $600 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -40%)] + $103.00 = $703.00
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 1200 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 1200, the investor receives total payments of $103.00 per $1,000 principal amount note over the term of the notes, consisting solely of interest payments of $103.00 per $1,000 principal amount note over the term of the notes, calculated as follows:
[$1,000 + ($1,000 × -100%)] + $103.00 = $103.00
The hypothetical returns and the hypothetical 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-3 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Selected Purchase Considerations
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JPMorgan Structured Investments | TS-4 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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 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-5 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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JPMorgan Structured Investments | TS-6 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Historical Information
The following graphs show the historical weekly performance of the S&P 500® Index and the Russell 2000® Index from January 6, 2006 through September 9, 2011. The closing level of the S&P 500® Index on September 14, 2011 was 1188.68. The closing level of the Russell 2000® Index on September 14, 2011 was 704.12.
We obtained the various closing levels 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 of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Underlying on the Pricing Date or the Observation Date or the Index level of any Underlying at any time during the Monitoring Period. We cannot give you assurance that the performance of the Underlyings will result in the return of any of your initial investment.
Supplemental Plan of Distribution
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 fifth business day following the expected Pricing Date of the notes (this settlement cycle being referred to as T+5). 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 advisors.
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JPMorgan Structured Investments | TS-7 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |