|
[GRAPHIC OMITTED]
JPMorgan Alerian MLP Index ETNs
--------------------------------------------------------------------------------
OVERVIEW
JPMorgan Alerian MLP Index Exchange Traded Notes ("ETNs") provide access to
midstream energy MLPs. The ETNs pay a variable quarterly coupon linked to the
cash distributions paid on the MLPs in the index, less accrued tracking
fees(1). Investors can trade the ETNs on the NYSE Arca exchange or receive a
cash payment at the scheduled maturity or upon early repurchase(2), based on
the performance of the index. The ETNs are unsecured and unsubordinated
obligations of JPMorgan Chase and Co. For information about recent events please
see "Recent Developments" on page PS-1 of the reopening supplement to this
offering.
MAXIMUM ISSUANCE LIMITATION
The ETNs are subject to a maximum issuance limitation of 129,000,000 number of
ETNs, which may cause the ETNs to trade at a premium in relation to their IIV
(defined below). Investors that pay a premium for the ETNs could incur
significant losses if that investor sells its ETNs at a time when some or all
of the premium is no longer present. JPMorgan Chase and Co. issued the remaining
11,050,000 ETNs authorized for issuance on June 19, 2012.
Current Yield(4)
[GRAPHIC OMITTED]
Sources: Bloomberg, JPMorgan. Calculated as of July 12, 2012. "REITs ETF",
"Utilities ETF", and "Bond ETF" refer to the iShares Dow Jones U.S. Real Estate
Index Fund, the Utilities Select Sector SPDR Fund, and the iShares Barclays
Aggregate Bond Fund, respectively. The current yield equals the most recent
dividend or coupon, with ex-dividend data on or before the date shown above,
annualized and divided by the closing price of the investment on the date shown
above. Yields shown are not indicative of ETN coupons, if any.
[GRAPHIC OMITTED]
ETN Details
------------------------------------- -----------------------
Ticker AMJ
------------------------------------- -----------------------
Intraday Indicative Value Ticker AMJ.IV(3)
------------------------------------- -----------------------
Index Alerian MLP Index (AMZ)
------------------------------------- -----------------------
Current Yield 5.31%(4)
------------------------------------- -----------------------
Market Capitalization $5,037,450,000(5)
------------------------------------- -----------------------
Current Maximum Market Capitalization $5,037,450,000 (6)
------------------------------------- -----------------------
Primary Exchange NYSE Arca
------------------------------------- -----------------------
Tracking Fee 0.85% per annum
------------------------------------- -----------------------
Maturity Date May 24, 2024
------------------------------------- -----------------------
CUSIP 46625H365
------------------------------------- -----------------------
Index Total Returns (%), Standard Deviations (%), and Correlation
3 Year Return Standard Deviation
3 Month Return 1 Year Return Annualized Annualized Correlation
------------------------------------- -------------- ------------- ------------- ------------------ -----------
Alerian MLP Index 1.93% 10.97% 27.64% 16.55% 1.00
------------------------------------- -------------- ------------- ------------- ------------------ -----------
SandP 500 Index 0.66
-3.28% 3.90% 17.30% 19.08%
------------------------------------- -------------- ------------- ------------- ------------------ -----------
SandP 500 Utilities Index 0.56
8.47% 15.08% 16.03% 14.62%
------------------------------------- -------------- ------------- ------------- ------------------ -----------
SandP GSCI Index 0.51
-9.77% -10.94% 7.04% 22.04%
------------------------------------- -------------- ------------- ------------- ------------------ -----------
SandP/BGCantor U.S. Treasury Bond Index -0.35
2.17% 6.38% 4.77% 3.81%
------------------------------------- -------------- ------------- ------------- ------------------ -----------
Dow Jones US REIT Index 6.16% 9.03% 34.74% 27.55% 0.60
------------------------------------- -------------- ------------- ------------- ------------------ -----------
Sources: Reuters, JPMorgan. Calculated as of July 12, 2012. The standard
deviation and correlation are based on monthly returns over the past 3 years.
The returns, standard deviations and correlations are provided for
informational purposes only. Correlation refers to correlation of the relevant
index to the Alerian MLP Index. The returns are total returns which reflect the
performance of each index including dividends. Historical performance of the
Index is not indicative of future performance of the Index or the ETNs. There
is no guarantee that the Index or the ETNs will outperform any investment
strategy.
1. The "Accrued Tracking Fee" for a given coupon period, as more fully
described in the relevant pricing supplement, represents an amount equal to the
Tracking Fee of 0.85% per annum accrued for that coupon period multiplied by
the Current Indicative Value on the Index Business Day prior to the date of
determination, plus the aggregate amounts, if any, by which the previous
Accrued Tracking Fees have exceeded the cash distributions, if any, made by the
underlying MLPs.
2. Investors may request on a weekly basis that the Issuer repurchase a minimum
of 50,000 notes prior to the maturity date, subject to the procedures described
in the relevant pricing supplement. Early repurchases will be subject to a
Repurchase Fee of 0.125% , as further described in the relevant pricing
supplement.
3. The intraday indicative value of the ETNs (the "IIV") is meant to
approximate the intrinsic economic value of an ETN. The IIV calculation will be
provided for reference purposes only. It is not intended as a price or
quotation. The IIV will be based on the intraday indicative values of the
Index, and may not be equal to the payment at maturity or upon early
repurchase. It is possible that the maximum issuance limitation of 129,000,000
number of ETNs may cause the ETNs to trade at a significant premium in relation
to the IIV. ETN investors should always consult their advisors before
purchasing or selling the ETNs, particularly if the ETNs are trading at a
premium over the IIV. Please see the relevant reopening pricing supplement for
details.
4. Current yield equals the most recent coupon, with ex-dividend data on or
before May 29, 2012, annualized and divided by the closing price of the ETN on
July 12, 2012 and rounded to two decimal places for ease of presentation. The
coupons are based on the cash distributions, if any, paid on the underlying
MLPs, less the Accrued Tracking Fee. The coupons are variable and may be zero.
5. This number, in some cases, has been rounded for ease of presentation. As of
July 12, 2012, the Market Capitalization of the ETNs was $5,037,450,000 which
equals the closing price of the ETNs on July 12, 2012 multiplied by the number
of ETNs issued as of July 12, 2012, including any ETNs held by an affiliate of
JPMorgan Chase and Co.
6. As of July 12, 2012, the current maximum market capitalization of the ETNs
was $5,037,450,000 which equals the maximum number of ETNs authorized for
issuance of 129,000,000 multiplied by the closing price of the ETNs on July 12,
2012.
July 19, 2012
|