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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-155535
October 11, 2011
October 2011
J.P. Morgan Structured Investments
The S-P 500([R]) Dividend
Aristocrats
Risk Control Excess Return Indices
Strategy Guide
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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 any relevant
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 the S-P 500([R]) Dividend Aristocrats Risk Control 8%
Excess Return Index or to the S-P 500([R]) Dividend Aristocrats Risk Control
10% Excess Return Index (together, the "Indices") are our senior unsecured
obligations and are not secured debt. Investing in these securities is not
equivalent to a direct investment in the Indices or the S-P 500([R]) Dividend
Aristocrats Total Return Index.
Investments in securities linked to the Indices 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.
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 Index 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 Indices.
J.P. Morgan provides no assurance or guarantee that the securities linked to
the Indices 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
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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 notes 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
"Standard and Poor's([R])," "S-P([R])," "S-P 500([R])," "S-P 500([R]) Dividend
Aristocrats," "S-P 500([R]) Dividend Aristocrats Risk Control 8% Excess Return
Index," and "S-P 500([R]) Dividend Aristocrats Risk Control 10% Excess Return
Index" are trademarks of the McGraw-Hill Companies, Inc. and have been licensed
for use by J.P. Morgan Securities LLC. This transaction is not sponsored,
endorsed, sold or promoted by S-P, and S-P makes no representation regarding
the advisability of purchasing securities generally or financial instruments
issued by JPMorgan Chase and Co. S-P has no obligation or liability in connection
with the administration, marketing, or trading of products linked to the S-P
500([R]) Dividend Aristocrats Risk Control Excess Return Indices.
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Overview
The S-P 500([R]) Dividend Aristocrats Risk Control 8% Excess Return Index and
the S-P 500([R]) Dividend Aristocrats Risk Control 10% Excess Return Index
(together, the "Dividend Aristocrats Risk Control Indices" or the "Indices")
provide investors with exposure to the U.S. equity market via "blue chip names"
in the S-P 500([R]) Dividend Aristocrats Total Return Index (the "Aristocrats
Index"), with a volatility control mechanism that targets a specific volatility
by varying the daily exposure of the applicable Dividend Aristocrats Risk
Control Index to the S-P
500([R]) Dividend Aristocrats Total Return Index. The volatility control
mechanism seeks to create a more consistent risk-return profile for the
Dividend Aristocrats Risk Control Indices.
The Dividend Aristocrats Risk Control Indices track the return of the S-P
500([R]) Dividend Aristocrats Total Return Index (the "Underlying Index") over
and above a short-term money market investment. In other words, the Dividend
Aristocrats Risk Control Indices calculate the return on an investment in the
S-P 500([R]) Dividend Aristocrats Total Return Index where the investment was
made through the use of borrowed funds. Thus, the return of the Dividend
Aristocrats Risk Control Indices will be equal to that of the investment in the
S-P 500([R]) Dividend Aristocrats Total Return Index less the associated
borrowing costs.
The exposure of the Dividend Aristocrats Risk Control Indices to the Underlying
Index can range from 0% to 150%, and is determined by the level of observed
volatility in equity returns. This exposure is dynamically adjusted on a daily
basis to target a specific level of volatility, though there is no guarantee
the Index will achieve this target. The S-P 500([R]) Dividend Aristocrats Risk
Control 8% Excess Return Index targets 8% volatility and is published to
Bloomberg under the ticker SPXD8UE. The S-P 500([R]) Dividend Aristocrats Risk
Control 10% Excess Return Index targets 10% volatility and is published to
Bloomberg under the ticker SPXD10UE.
Key features of the Indices include:
[] exposure to the S-P 500([R]) Dividend Aristocrats Total Return Index with
the benefit of a risk control mechanism that targets a specific annualized
volatility that is expected to be lower than the historical observed
volatility of the S-P 500([R]) Dividend Aristocrats Total Return Index
[] exposure adjusted on a daily basis with the ability to employ leverage of
up to 150% during periods of low volatility
[] closing levels published daily by Standard and Poor's on Bloomberg
The following graph illustrates the historical performance of the S-P 500([R])
Index and S-P 500([R]) Dividend Aristocrats Risk Control Indices based on
hypothetical back-tested closing levels from September 28, 2001 through August
24, 2010, and actual historical closing levels from August 25, 2010 through
September 30, 2011. For a summary of annualized return and observed volatility
for these indices over this period, please see the table below. There is no
guarantee that the S-P 500([R]) Dividend Aristocrats Risk Control Indices will
outperform the S-P 500([R]) Index, the S-P 500([R]) Dividend Aristocrats Total
Return Index or any alternative strategy during the term of your investment in
notes linked to the S-P 500([R]) Dividend Aristocrats Risk Control Indices.
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--------------------------------------------------------------------------------
Hypothetical and Historical Performance of the S-P 500([R]) Dividend
Aristocrats Risk Control Excess Return Indices (September 28, 2001 -- September
30, 2011)
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[GRAPHIC OMITTED]
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Summary of Hypothetical and Historical S-P 500([R]) Risk Dividend Aristocrats
Control Index (September 28, 2001 -- September 30, 2011)
--------------------------------------------------------------------------------
Annualized return Annualized volatility
-------------------------------------- ----------------- ---------------------
S-P 500([R]) Index 0.84% 21.80%
S-P 500([R]) Dividend Aristocrats Risk
Control 8% Excess Return Index 3.29% 7.99%
S-P 500([R]) Dividend Aristocrats Risk
Control 10% Excess Return Index 4.02% 9.98%
-------------------------------------- ----------------- ---------------------
Source: Bloomberg and J.P. Morgan
Note: Because the Dividend Aristocrats Risk Control Indices did not exist prior
to August 24, 2010, all retrospective levels provided above 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 be
true 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 Index's arithmetic
daily returns scaled for a one-year period based on the period from September
28, 2001 through September 30, 2011.
The Indices are excess return indices, representing unfunded positions in the
Underlying Indices. The borrowing weight is generally based on a synthetically
rolling 3-month bond, with reference to the 2-month and 3-month U.S. LIBOR
rates. The hypothetical cost of borrowing reflected in the Index may partially
or totally offset any gains from the dividend reinvestment feature included in
the S-P 500([R]) Dividend Aristocrats Total Return Index.
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Index Description
The S-P 500([R]) Dividend Aristocrats Risk Control Excess Return Indices are
intended to provide a performance benchmark that (1) invests in the S-P
500([R]) Dividend Aristocrats Total Return Index; (2) algorithmically adjusts
the leverage of its investment to attempt to decrease exposure in times of high
volatility and increase exposure in times of low volatility, with a constant
target volatility; and (3) is made with borrowed money and therefore funded at
a synthetically rolling 3-month LIBOR with reference to the 2-month and 3-month
U.S. LIBOR rates(1). This section will describe how the Aristocrats Risk
Control Indices attempt to achieve these goals.
The S-P 500([R]) Dividend Aristocrats Total Return Index
[] S-P 500([R]) Dividend Aristocrats Total Return Index, sponsored by Standard
and Poor's ("S-P"), aims to measure the performance of companies within the
S-P 500([R]) Index that have followed a policy of increasing dividend every
year for at least 25 consecutive years(2).
[] The index constituents are selected annually with a minimum of 40 stocks,
rebalanced to equal weights on a quarterly basis.
[] We believe that stable and increasing dividends are sometimes used by a
company's management as a signal of confidence in a company's prospects.
[] The Index is often viewed as a measure of the performance of "blue chip"
companies because the dividend payment track record required as an index
criteria can be viewed as an indication of corporate maturity and capital
strength. Because the index criteria are based on a track record of
increasing dividends, rather than on high dividend yields, the index is not
expected to have a high concentration in typical high dividend yield
sectors such as financials and utilities.
[] From September 28, 2001 through September 30, 2011, the hypothetical
historical performance of the Aristocrats Total Returns Index shows a total
return of 6.71% per annum as compared to 2.82% per annum for the S-P
500([R]) Total Return Index, with less volatility. Past hypothetical or
historical performance is not indicative of future results.
----------
(1) The hypothetical cost of borrowing reflected in the Index may partially or
totally offset any gains from the dividend reinvestment feature included in the
S-P 500([R]) Dividend Aristocrats Total Return Index.
(2) The Aristocrats Index is constructed to have at least 40 names. If there
are less than 40 names in the S-P 500([R]) Index that have followed a policy of
increasing dividends every year for at least 25 years, S-P relaxes this
criterion in order to reach 40 names. As of September 30, 2011 there were 42
names in the Index. For further details on the construction of Aristocrats
Index please review the applicable product supplement.
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Hypothetical Performance of the S-P 500([R]) Total Return Index and the S-P
500([R]) Dividend Aristocrats Total Return Index (September 28, 2001 --
September 30, 2011)
--------------------------------------------------------------------------------
[GRAPHIC OMITTED]
Source: Bloomberg and J.P. Morgan. 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. There is no assurance the Index will outperform the S-P
500([R]) Total Return Index, the S-P 500([R]) Dividend Aristocrats Risk Control
Index, or any alternative investment strategy.
--------------------------------------------------------------------------------
Summary of Hypothetical S-P 500([R]) Risk Dividend Aristocrats Control Index
(September 28, 2001 -- September 30, 2011)
--------------------------------------------------------------------------------
Annualized return Annualized volatility
--------------------------------------- ----------------- ---------------------
S-P 500([R]) Total Return Index 2.82% 21.80%
S-P 500([R]) Dividend Aristocrats Total
Return Index 6.71% 20.07%
--------------------------------------- ----------------- ---------------------
Hypothetical, historical performance measures: Represent the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing from September 28, 2001 through
August 24, 2010, and the actual historical performance of the Index based on
the daily Index closing level from August 25, 2010 through September 30, 2011,
as well as the performance of the S-P 500([R]) Total Return Index over the same
period. For purposes of these examples, each index was set equal to 100 at the
beginning of the relevant measurement period and returns calculated
arithmetically (not compounded). There is no guarantee the relevant Index will
outperform the S-P 500([R]) Total Return Index, the S-P 500([R]) Dividend
Aristocrats Total Return Index or any alternative investment strategy. Sources:
Bloomberg and JPMorgan.
Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the S-P 500([R]) Total Return Index and the S-P
500([R]) Dividend Aristocrats Total Return Index. Volatility represents the
annualized standard deviation of the relevant Index's arithmetic daily returns
since March 30, 2001.
For information on the companies currently composing the S-P 500([R]) Dividend
Aristocrats Total Return Index, please see the section titled "S-P 500([R])
Dividend Aristocrats Total Return Index Current Composition" below.
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Dynamic Exposure to facilitate Targeted Volatility
The exposure to the S-P 500([R]) Dividend Aristocrats Total Return Index can
range for each of the Indices between 0% and 150% and is determined by the
level of observed volatility in equity returns. The exposure to the S-P
500([R]) Dividend Aristocrats Total Return Index is adjusted on a daily basis
to target a specific level of volatility. Volatility is a measurement of the
variability of returns based on historical performance and, in the case of the
Indices, is calculated using exponential weightings to give more significance
to recent observations. In addition, a short-term measure and a long-term
measure of volatility are used to cause the Index to deleverage quickly, but
increase exposure more gradually on a relative basis. If the volatility level
reaches a threshold that is above the target volatility, exposure to the S-P
500([R]) Dividend Aristocrats Total Return Index is reduced and the cash level
is increased to maintain the target volatility. If the risk level is too low,
the Index will employ a leverage factor greater than 100% to maintain the
target volatility.
The following graph illustrates the hypothetical back-tested exposure for the
Dividend Aristocrats Risk Control Indices to the Underlying Index as well as
the observed volatility. For the purposes of this graph, volatility is
calculated according to Standard and Poor's([R]) official methodology used in the
calculation of the S-P 500([R]) Dividend Aristocrats Risk Control Index.
--------------------------------------------------------------------------------
Hypothetical Index leverage and volatility (September 28, 2001 -- September 30,
2011)
--------------------------------------------------------------------------------
[GRAPHIC OMITTED]
Source: Bloomberg and J.P. Morgan. Volatility is calculated from the historical
returns, as applicable to the relevant measurement period, of the S-P 500([R])
Dividend Aristocrats Total Return Index, the S-P 500([R]) Dividend Aristocrats
Risk Control 8% Excess Return Index,
and the S-P 500([R]) Dividend Aristocrats Risk Control 10% Excess Return Index.
Volatility represents the annualized standard deviation of the relevant Index's
arithmetic daily returns since September 2001. The index leverage is the
hypothetical back-tested amount of exposure of the Index to the S-P 500([R])
Dividend Aristocrats Total Return Index and should not be considered indicative
of the actual leverage that would be assigned during an investment in the
Index.
Note: The historical volatility levels of the S-P 500([R]) Dividend Aristocrats
Total Return Index are presented for informational purposes only and have
inherent limitations. No representation is made that in the future the S-P
500([R]) Dividend Aristocrats Total Return Index will have volatility shown
above. Alternative modeling techniques or assumptions might produce
significantly different results and may prove to be more appropriate.
The hypothetical leverage factors obtained from such back-testing should not be
considered indicative of the actual leverage that would result during your
investment in the Index. No representation is made that the actual performance
of the Index would result in leverage factors consistent with the hypothetical
leverage factors displayed in the preceding graph. Actual annualized
volatilities and leverage factors 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.
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--------------------------------------------------------------------------------
S-P 500[R] Dividend Aristocrats Index Current Composition (as of September
2011)
--------------------------------------------------------------------------------
Constituent Name (Symbol) Constituent Name (Symbol)
------------------------------------- ---------------------------------
[] 3M Co (MMM) [] Family Dollar Stores Inc (FDO)
[] AFLAC Inc (AFL) [] Grainger, W.W. Inc (GWW)
[] Abbott Laboratories (ABT) [] Hormel Foods Corp (HRL)
[] Air Products and Chemicals Inc (APD) [] Johnson and Johnson (JNJ)
[] Archer-Daniels-Midland Co (ADM) [] Kimberly-Clark (KMB)
[] Automatic Data Processing (ADP) [] Leggett and Platt (LEG)
[] Bard, C.R. Inc (BCR) [] Lowe's Cos Inc (LOW)
[] Becton, Dickinson and Co (BDX) [] McCormick and Co (MKC)
[] Bemis Co Inc (BMS) [] McDonald's Corp (MCD)
[] Brown-Forman Corp B (BF/B) [] McGraw-Hill Cos Inc (MHP)
[] CenturyLink Inc (CTL) [] PPG Industries Inc (PPG)
[] Chubb Corp (CB) [] PepsiCo Inc (PEP)
[] Cincinnati Financial Corp (CINF) [] Pitney Bowes Inc (PBI)
[] Cintas Corp (CTAS) [] Procter and Gamble (PG)
[] Clorox Co (CLX) [] Sherwin-Williams Co (SHW)
[] Coca-Cola Co (KO) [] Sigma-Aldrich Corp (SIAL)
[] Consolidated Edison Inc (ED) [] Stanley Black and Decker (SWK)
[] Dover Corp (DOV) [] Target Corp (TGT)
[] Ecolab Inc (ECL) [] VF Corp (VFC)
[] Emerson Electric Co (EMR) [] Wal-Mart Stores (WMT)
[] Exxon Mobil Corp (XOM) [] Walgreen Co (WAG)
Risks associated with the S-P 500([R]) Dividend Aristocrats Risk Control Excess
Return Indices
THE INDICES HAVE A LIMITED HISTORY AND MAY PERFORM IN UNEXPECTED WAYS -- The
Indices began publishing on August 24, 2010 and, therefore, have a limited
history. S-P has calculated the returns that hypothetically might have been
generated had the Indices existed in the past, but those calculations are
subject to many limitations. Unlike historical performance, such hypothetical
calculations do not reflect actual trading, liquidity constraints, fees and
other costs. In addition, the models used to calculate these hypothetical
returns are based on certain data, assumptions and estimates. Different models
or models using different data, assumptions or estimates might result in
materially different hypothetical performance.
THE INDICES MAY NOT BE SUCCESSFUL, MAY NOT OUTPERFORM THE S-P 500([R]) DIVIDEND
ARISTOCRATS TOTAL RETURN INDEX AND MAY NOT ACHIEVE THEIR TARGET VOLATILITY --
The Indices employ a mathematical algorithm designed to control the level of
risk of the S-P 500([R]) Dividend Aristocrats Total Return Index by
establishing a specific volatility target and dynamically adjusting the
exposure to the S-P 500([R]) Dividend Aristocrats Risk Control Total Return
Index based on its observed historical volatility. No assurance can be given
that the volatility strategy will be successful or that the Indices will
outperform the S-P 500([R]) Dividend Aristocrats Total Return Index or any
alternative strategy that might be employed to reduce
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the level of risk of the S-P 500([R]) Dividend Aristocrats Total Return Index.
We also can give you no assurance that the Indices will achieve their specific
target volatility.
THE S-P 500([R]) DIVIDEND ARISTOCRATS RISK CONTROL EXCESS RETURN INDICES ARE
NOT TOTAL RETURN INDICES AND ARE SUBJECT TO SHORT-TERM MONEY MARKET FUND
BORROWING COSTS -- As "excess return" indices, the S-P 500([R]) Dividend
Aristocrats Risk Control Excess Return Indices calculate the return on a
leveraged or deleveraged investment in the S-P 500([R]) Dividend Aristocrats
Total Return Index where the investment was made through the use of borrowed
funds. Investments linked to these "excess return" indices, which represents an
unfunded position in the Underlying Index, will be subject to short-term money
market fund borrowing costs and will not include the "total return" feature or
cash component of a "total return" index, which represents a funded position in
the S-P 500([R]) Dividend Aristocrats Total Return Index.
THE INDICES DYNAMICALLY ADJUST EXPOSURE TO THE S-P 500([R]) DIVIDEND
ARISTOCRATS TOTAL RETURN INDEX BASED ON HISTORIC VOLATILITY THAT CAN LEAD TO AN
UNDEREXPOSURE TO THE PERFORMANCE OF THE S-P 500([R]) DIVIDEND ARISTOCRATS TOTAL
RETURN INDEX -- The Index represents a portfolio consisting of the S-P 500([R])
Dividend Aristocrats Total Return Index and a borrowing cost component accruing
interest based on a synthetically rolling 3-month bond, with reference to the
2-month and 3-month U.S. LIBOR rates. The Indices dynamically adjusts exposure
to the S-P 500([R]) Dividend Aristocrats Total Return Index based on the S-P
500([R]) Dividend Aristocrats Total Return Index's historic volatility. The
Indices' exposure to the S-P 500([R]) Dividend Aristocrats Total Return Index
will decrease when historical volatility causes the risk level of the S-P
500([R]) Dividend Aristocrats Total Return Index to reach a high threshold. If,
at any time, the Indices exhibit low exposure to the S-P 500([R]) Dividend
Aristocrats Total Return Index and the S-P 500([R]) Dividend Aristocrats Total
Return Index subsequently appreciates significantly, the Indices will not
participate fully in this appreciation.
OUR AFFILIATE, J.P. MORGAN SECURITIES LLC, HELPED DEVELOP THE S-P 500([R])
DIVIDEND ARISTOCRATS RISK CONTROL EXCESS RETURN INDICES -- J.P. Morgan
Securities LLC ("JPMS"), one of our affiliates, worked with S-P in developing
the guidelines and policies governing the composition and calculation of the
S-P 500([R]) Dividend Aristocrats Risk Control Excess Return Indices. Although
judgments, policies and determinations concerning the S-P 500([R]) Dividend
Aristocrats Risk Control Excess Return Indices were made by JPMS, JPMorgan
Chase and Co., as the parent company of JPMS, ultimately controls JMPS.
In addition, the policies and judgments for which JPMS was responsible could
have an impact, positive or negative, on the level of the S-P 500([R]) Dividend
Aristocrats Risk Control Excess Return Indices. JPMS is under no obligation to
consider your interests as an investor.
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 product
supplement.
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