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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated December 14, 2011
J.P.Morgan
JPMorgan Alerian MLP Index ETNs
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OVERVIEW
JPMorgan Alerian MLP Index Exchange Traded Notes ("ETNs") provide convenient
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). The ETN coupons are reported on Form 1099s and therefore
eliminate the administrative burden associated with K-1 forms. 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 senior, unsecured obligations of JPMorgan Chase and Co.
Current Yield4
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Sources: Bloomberg, JPMorgan. Calculated as of December 12, 2011. "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.
ETN Details
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Ticker AMJ
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Intraday Indicative Value Ticker AMJ.IV(3)
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Index Alerian MLP Index (AMZ)
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Current Yield 5.24%(4)
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Market Capitalization $3,272,870,100(5)
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Primary Exchange NYSE Arca
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Tracking Fee 0.85% per annum
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Maturity Date May 24, 2024
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CUSIP 46625H365
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Index Total Returns (%), Standard Deviations (%), and Correlation
3 Year Return Standard Deviation
3 Month Return 1 Year Return Annualized Annualized Correlation
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Alerian MLP Index 9.45% 10.87% 36.94% 20.57% 1.00
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S-P 500 Index 7.01% 1.76% 14.48% 23.46% 0.70
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S-P 500 Utilities Index 6.05% 16.51% 11.30% 18.02% 0.60
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S-P GSCI Index -2.67% 2.18% 5.85% 26.98% 0.54
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S-P/BGCantor U.S. Treasury Bond Index 0.57% 7.49% 3.46% 4.54% -0.33
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Dow Jones US REIT Index 0.49% 3.89% 22.62% 45.77% 0.54
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Sources: Bloomberg, JPMorgan. Calculated as of December 12, 2011. 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. Please see the relevant pricing supplement for details.
4. Current yield equals the most recent coupon, with ex-dividend data on or
before December 12, 2011, annualized and divided by the closing price of the
ETN on December 12, 2011 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
December 12, 2011, the Market Capitalization of the ETNs was $3,272,868,450
which equals the number of ETNs issued as of December 12, 2011 multiplied by
the closing price of the ETNs on December 12, 2011. A portion of the ETNs
issued as of December 12, 2011 is held by an affiliate of JPMorgan Chase and Co.
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December 14, 2011
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The Alerian MLP Index
The Alerian MLP Index ("Index") is a market-cap weighted, float-adjusted index
created to provide a comprehensive benchmark for investors to track the
performance of the energy MLP sector. The Index components are selected by
Alerian Capital Management, LLC ("Alerian").
Alerian is a registered investment advisor that exclusively manages portfolios
focused on midstream energy MLPs.
Top 10 Index Components
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Name Ticker Weight
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Enterprise Products Partners LP EPD 15.57%
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Kinder Morgan Energy Partners LP KMP 10.40%
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Plains All American Pipeline LP PAA 5.34%
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Magellan Midstream Partners LP MMP 4.60%
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Energy Transfer Equity LP ETE 4.34%
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Linn Energy LLC LINE 4.04%
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Kinder Morgan Management LC KMR 3.81%
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ONEOK Partners LP OKS 3.76%
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Energy Transfer Equity LP ETE 3.59%
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Buckeye Partners LP BPL 3.37%
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Source: Alerian, as of December 12, 2011.
Historical Total Return Index Performance
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Sources: Bloomberg, JPMorgan. As of December 12, 2011. Each of these indices
was calculated based on a level for such index set equal to 100% on December
13, 2008. Historical performance of the Index is not indicative of future
performance of the Index or the ETNs. Fluctuations in the Index may be more or
less than that for the value of the ETNs. All returns displayed above reflect
the index performance including dividends, and are calculated without deducting
any applicable transaction fees. There is no guarantee that the Index or the
ETNs will outperform any alternative investment strategy. Your payment at
maturity or upon early repurchase of the ETNs, as more fully described in the
relevant pricing supplement is based on the VWAP Level of the Alerian MLP Index
which excludes dividends. The VWAP Level of the Index will most likely differ
from its closing level.
MLP Overview:
What are MLPs? Master Limited Partnerships ("MLPs") are limited partnerships
that are publicly traded on a U.S. securities exchange. The majority of MLPs
currently operate in the energy infrastructure industry, owning assets such as
pipelines that transport crude oil, natural gas and other refined petroleum
products. MLPs typically generate fee-based revenues, which tend not to be
directly tied to changes in commodity prices.
Why invest in MLPs? MLPs provide relatively low correlation to a wide range of
asset classes including equities and commodities and have produced attractive
historical yields compared to other income-oriented investments.
Benefits of Investing in the ETNs
Exposure to a portfolio of energy MLPs through a single investment.
Income via quarterly coupons linked to the cash distributions, if any, paid on
the MLPs in the Index, less fees.
No K-1 forms will be received by investors in the ETNs. The coupons are
reported as ordinary income on Form 1099.
There is no leverage to the MLPs in the ETN performance .
What are the main risks in the ETNs? The ETNs may result in a loss.
The ETNs are exposed to the credit risk of JPMorgan Chase and Co.
The ETNs may not have an active trading market and may not continue to be
listed over their term.
The payment at maturity or upon early repurchase of the ETNs will be based on
the VWAP Level of the Index and not on the closing level of the Index. The VWAP
Level of the Index will most likely differ from the closing level of the Index
or the IIV.
The coupon payments on the ETNs will be variable and may be zero. The Accrued
Tracking Fee reduces the potential coupons and/or the payment at maturity or
upon early repurchase.
The Issuer's obligation to repurchase the ETNs is on a weekly basis, and is
subject to substantial minimum size restrictions.
You will not know how much you will receive upon early repurchase at the time
that you elect we repurchase your ETNs.
The risks identified above are not exhaustive. You should also review
carefully the related "Risk Factors" section of the relevant product supplement
and the "Selected Risk Considerations" in the relevant pricing supplement.
Contact Details
Telephone: 800-576-3529
Website: www.jpmorganetns.com
Email: alerian_etn@jpmorgan.com
Disclaimer
SEC Legend: JPMorgan Chase and Co. has filed a registration statement (including
a prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration
statement and the other documents relating to this offering that JPMorgan Chase
and Co. has filed with the SEC for more complete information about JPMorgan Chase
and Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase and Co.,
any agent or any dealer participating in this offering will arrange to send you
the prospectus and each prospectus supplement as well as any product
supplement, pricing supplement and term sheet if you so request by calling
toll-free 800-576-3529.
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-177923
To the extent there are any inconsistencies between this free writing
prospectus and the relevant pricing supplement, the relevant pricing
supplement, including any hyperlinked information, shall supersede this free
writing prospectus.
Investment suitability must be determined individually for each investor. 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
their own advisors on these matters.
IRS Circular 230 Disclosure: JPMorgan Chase and Co. and its affiliates do not
provide tax advice. Accordingly, any discussion of U.S. tax matters contained
herein (including any attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing or recommendation
by anyone unaffiliated with JPMorgan Chase and Co. of any of the matters address
herein or for the purpose of avoiding U.S. tax-related penalties. The tax
consequences of the ETNs are uncertain.
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