View:
Download DOC
Download PDF
Download XLS
  August 2011
Preliminary Terms No. 44
Registration Statement No. 333-155535
Dated August 19, 2011
Filed pursuant to Rule 433

INTEREST RATE STRUCTURED INVESTMENTS

Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR

As further described below, with respect to the initial interest periods (which we expect to be from August 30, 2011 through but excluding August 30, 2014), interest on the notes will be payable quarterly in arrears at a rate equal to 3.00% per annum. With respect to each interest period (other than the initial interest periods), interest on the notes will be payable quarterly in arrears at a rate per annum equal to 3-Month USD LIBOR plus 1.25%; provided that such interest rate will not be less than the minimum interest rate of 0.00% per annum or greater than the maximum interest rate of 7.00% per annum. All payments on the notes are subject to the credit risk of JPMorgan Chase & Co.

SUMMARY TERMS      
Issuer: JPMorgan Chase & Co.
Aggregate principal amount: $                             . May be increased prior to the original issue date but we are not required to do so.
Issue price: $1,000 per note (see “Commissions and Issue Price” below)
Stated principal amount: $1,000 per note
Pricing date: August     , 2011 (expected to price on or about August 25, 2011)
Original issue date: August 30, 2011 (     business days after the pricing date)
Maturity date: August 30, 2021
Payment at maturity: The payment at maturity per note will be the stated principal amount plus accrued and unpaid interest, if any
3-Month USD LIBOR: 3-Month USD LIBOR refers to the London Interbank Offer Rate for deposits in U.S. dollars with a Designated Maturity of 3 months that appears on the Reuters page “LIBOR01” (or any successor page) under the heading “3Mo” at approximately 11:00 a.m., London time, on the applicable interest reset date, as determined by the calculation agent. If on the applicable interest reset date, 3-Month USD LIBOR cannot be determined by reference to Reuters page “LIBOR01” (or any successor page), then the calculation agent will determine 3-Month USD LIBOR in accordance with the procedures set forth under “Description of Notes — Interest — The Underlying Rates — LIBOR Rate” in the accompanying product supplement no. 165-A-IV.
Interest: With respect to each interest period, for each $1,000 principal amount note, the interest payment will be calculated as follows: $1,000 × interest rate × day-count fraction.
Interest rate: With respect to each initial interest period (which we expect to be from August 30, 2011 through but excluding August 30, 2014), a rate equal to 3.00% per annum, and with respect to each interest period thereafter, a rate per annum equal to 3–Month USD LIBOR plus 1.25%, as determined on each applicable interest reset date, provided that such rate will not be less than the minimum interest rate of 0.00% per annum or greater than the maximum interest rate of 7.00%.
Minimum interest rate: 0.00% per annum for each interest period (other than an initial interest period)
Maximum interest rate: 7.00% per annum for each interest period (other than an initial interest period)
Initial interest rate: 3.00% per annum
Initial interest periods: The period beginning on and including the issue date of the notes and ending on but excluding the first interest payment date and each successive period, until the interest period beginning on August 30, 2014, beginning on and including an interest payment date and ending on but excluding the subsequent interest payment date.
Interest periods: The period beginning on and including the issue date of the notes and ending on but excluding the first interest payment date and each successive period beginning on and including an interest payment date and ending on but excluding the next succeeding interest payment date.
Interest payment dates: Interest will be payable quarterly in arrears on the 30th calendar day of each May, August and November and the last calendar day in February (each such date, an “interest payment date”), commencing November 30, 2011, to and including the maturity date. If an interest payment date is not a business day, payment will be made on the immediately following business day, provided that any interest payable on such interest payment date, as postponed, will accrue to but excluding such interest payment date, as postponed, and the next interest period, if applicable, will commence on such interest payment date, as postponed.
Interest reset date: After the initial interest periods, two London business days immediately prior to the beginning of the applicable interest period.
Day-count fraction: 90/360
Redemption: Not applicable
Specified currency: U.S. dollars
CUSIP / ISIN: 48125XQ74 / US48125XQ742
Book-entry or certificated note: Book-entry
London business day: Any day other than a day on which banking institutions in London, England are authorized or required by law, regulation or executive order to close.
Business day: Any day other than a day on which banking institutions in London, England or The City of New York are authorized or required by law, regulation or executive order to close or a day on which transactions in U.S. dollars are not conducted.
Agent: J.P. Morgan Securities LLC (“JPMS”)
Calculation agent: JPMS
Trustee: Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
Commissions and Issue Price: Price to Public(1) Agent’s Commissions(2) Proceeds to Issuer
Per Note $1,000 $22.50 $977.50
Total $ $ $
(1)   

The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates, which includes our affiliates’ expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. For additional related information, please see “Use of Proceeds” beginning on PS-28 of the accompanying product supplement no. 165-A-IV.
(2)   

JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission and will use all of that commission to allow selling concessions to Morgan Stanley Smith Barney LLC (“MSSB”) that will depend on market conditions on the pricing date. In no event will the commission received by JPMS and the selling concessions to be allowed to MSSB exceed $22.50 per $1,000 stated principal amount note. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-45 of the accompanying product supplement no. 165-A-IV.

Investing in the notes involves a number of risks. See “Risk Factors” on page PS-15 of the accompanying product supplement no. 165-A-IV and “Risk Factors” beginning on page 3 of these preliminary terms.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

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.

YOU SHOULD READ THIS DOCUMENT TOGETHER WITH THE RELATED PRODUCT SUPPLEMENT NO. 165-A-IV, PROSPECTUS SUPPLEMENT AND PROSPECTUS, EACH OF WHICH CAN BE ACCESSED VIA THE HYPERLINKS BELOW, BEFORE YOU DECIDE TO INVEST.

Product supplement no. 165-A-IV dated February 16, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211001097/e42221_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

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free (800) 869-3326.


Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR

The Notes

The notes offered are senior unsecured obligations of JPMorgan Chase & Co. With respect to the initial interest periods (which we expect to be from August 30, 2011 through but excluding August 30, 2014), interest on the notes will be payable quarterly in arrears at a rate equal to 3.00% per annum. With respect to each interest period (other than the initial interest periods), interest on the notes will be payable quarterly in arrears at a rate per annum equal to 3-Month USD LIBOR plus 1.25%; provided that such interest rate will not be less than the minimum interest rate of 0.00% per annum or greater than the maximum interest rate of 7.00% per annum. All payments on the notes are subject to the credit risk of JPMorgan Chase & Co.

Historical Information

The following graph sets forth the daily historical performance of 3-Month USD LIBOR from January 2, 1996 through August 17, 2011. We obtained the rates used to construct the graph 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.

3-Month USD LIBOR, as it appeared on Reuters page “LIBOR01” at approximately 11:00 a.m., London time on August 17, 2011 was 0.29778%.

The historical rates should not be taken as an indication of future performance, and no assurance can be given as to 3-Month USD LIBOR on any interest reset date. We cannot give you assurance that the performance of 3-Month USD LIBOR will result in any positive interest payments or a return of more than the principal amount of your notes plus the initial interest payments.

August 2011 Page 2


Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR

Risk Factors

The notes involve risks not associated with an investment in ordinary floating rate notes. An investment in the notes entails significant risks not associated with similar investments in a conventional debt security, including, but not limited to, fluctuations in 3-Month USD LIBOR, and other events that are difficult to predict and beyond the issuer’s control. This section describes the most significant risks relating to the notes. For a complete list of risk factors, please see the accompanying product supplement 165-A-IV. You should carefully consider whether the notes are suited to your particular circumstances before you decide to purchase them.

August 2011 Page 3


Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR
August 2011 Page 4


Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR

Supplemental Information Concerning Plan of Distribution; Conflicts of Interest

We expect to deliver the notes against payment therefor in New York, New York on August 30, 2011, which will be the      scheduled business day following the date of the pricing of the notes. Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on the date of pricing or on or prior to the third business day prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the notes in the secondary market, but is not required to do so.

We or our affiliate may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the notes and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Use of Proceeds” beginning on page PS-24 of the accompanying product supplement no. 165--A-IV.

August 2011 Page 5


Fixed to Floating Rate Notes due 2021
Based on 3-Month USD LIBOR

Tax Considerations

The notes will be treated as “variable rate debt instruments” that provide for a single fixed rate followed by a qualified floating rate (“QFR”) for U.S. federal tax purposes and are expected to be issued with original issue discount (“OID”). Under applicable Treasury Regulations, solely for the purpose of determining any OID on the notes, the initial fixed rate is converted to a QFR (the “replaced QFR”). The replaced QFR must be such that the fair market value of the notes on the issue date is approximately the same as the fair market value of otherwise identical notes that provide for the replaced QFR (rather than the fixed rate) for the initial periods. In determining any OID on the notes, the notes must then be converted into “equivalent” fixed rate debt instruments by substituting each QFR provided under the terms of the notes (including the replaced QFR) with a fixed rate equal to the value of the QFR on the issue date of the notes. Once the notes have been converted into an “equivalent” fixed rate debt instrument pursuant to the foregoing rules, the amount of OID and “qualified stated interest” (as defined in “United States Federal Taxation — Tax Consequences to U.S. Holders — Original Issue Discount” in the accompanying prospectus supplement) are determined for the “equivalent” fixed rate debt instrument by applying the general OID rules to the “equivalent” fixed rate debt instrument. Accordingly, a U.S. Holder (as defined in “United States Federal Taxation — Tax Consequences to U.S. Holders” in the accompanying prospectus supplement) of notes will account for such OID and qualified stated interest, as if the U.S. Holder held the “equivalent” fixed rate debt instrument. For each accrual period, appropriate adjustments will be made to the amount of any qualified stated interest or OID assumed to have been accrued or paid with respect to the “equivalent” fixed rate debt instrument in the event that such amounts differ from the actual amount of qualified stated interest or OID accrued or paid on the notes during the accrual period. Both U.S. Holders and Non-U.S. Holders (as defined in “United States Federal Taxation — Tax Consequences to Non-U.S. Holders” in the accompanying prospectus supplement) should read the section of the accompanying prospectus supplement entitled “United States Federal Taxation.”

You should consult your tax advisers regarding all aspects of the U.S. federal tax consequences of an investment in the notes, as well as any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.

Where You Can Find More Information

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 document 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. 165-A-IV dated February 16, 2011.

This document, 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, stand-alone 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. 165-A-IV. 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):

Our Central Index Key, or CIK, on the SEC website is 19617.

Contact Information

Morgan Stanley Smith Barney clients may contact their local Morgan Stanley Smith Barney branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087.

August 2011 Page 6