Term Sheet |
Term Sheet to |
Structured |
$ Capped Index Knock-Out Notes Linked to the S&P 500® Index due October 11, 2012 |
General
Key Terms
Index: |
The S&P 500® Index (the Index) |
Knock-Out Event: |
A Knock-Out Event occurs if, on any day during the Monitoring Period, the Index Closing Level is less than the Initial Index Level by more than the Knock-Out Buffer Amount. |
Knock-Out Buffer Amount: |
20.00% |
Payment at
Maturity: |
If a Knock-Out Event has occurred, you will receive a cash payment at maturity that will reflect the performance of the Index, subject to the Maximum Return. Under these circumstances, your payment at maturity per $1,000 principal amount note will be calculated as follows: |
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$1,000 + ($1,000 × Index Return), subject to the Maximum Return |
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If a Knock-Out Event has occurred, you will lose some or all of your investment at maturity if the Ending Index Level is less than the Initial Index Level. |
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If a Knock-Out Event has not occurred, your payment at maturity per $1,000 principal amount note will equal $1,000 plus the product of (a) $1,000 and (b) the greater of (i) the Index Return and (ii) the Contingent Minimum Return, subject to the Maximum Return. For additional clarification, please see What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index? in this term sheet. |
Maximum Return: |
At least 20.00%. The actual Maximum Return and the actual maximum payment at maturity will be determined on the pricing date and will not be less than 20.00% and $1,200 per $1,000 principal amount note, respectively. |
Contingent Minimum Return: |
At least 11.30%. The actual Contingent Minimum Return will be determined on the pricing date and will not be less than 11.30%. |
Monitoring Period: |
The period from but excluding the pricing date to and including the Observation Date |
Index Return: |
Ending Index Level – Initial Index Level |
Initial Index Level: |
The Index Closing Level on the pricing date |
Ending Index Level: |
The Index Closing Level on the Observation Date |
Observation Date: |
October 5, 2012† |
Maturity Date: |
October 11, 2012† |
CUSIP: |
48125X3K0 |
† |
Subject to postponement in the event of a market disruption event and as described under Description of Notes — Payment at Maturity and Description of Notes — Postponement of a Determination Date in the accompanying product supplement no. 98-A-III |
Investing in the Capped Index Knock-Out Notes involves a number of risks. See Risk Factors beginning on page PS-7 of the accompanying product supplement no. 98-A-III and Selected Risk Considerations beginning on page TS-4 of this term sheet.
Neither the Securities and Exchange Commission 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 product supplement, 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, 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 page PS-18 of the accompanying product supplement no. 98-A-III. |
(2) |
Please see Supplemental Plan of Distribution in this term sheet for information about fees and commissions. |
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 19, 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. 98-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. 98-A-III dated June 1, 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. 98-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. 98-A-III dated June
1, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211003705/e43874_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.
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JPMorgan Structured Investments | TS-1 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |
What Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index?
The following table illustrates the hypothetical total return at maturity on the notes. The total return as used in this term sheet is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000 principal amount note to $1,000. The hypothetical total returns set forth below assume an Initial Index Level of 1200, a Contingent Minimum Return of 11.30% and a Maximum Return of 20.00% and reflect the Knock-Out Buffer Amount of 20.00%. The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns 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 |
Index Return |
Note Total |
Note Total Return |
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2160.00 |
80.00% |
20.00% |
20.00% |
2040.00 |
70.00% |
20.00% |
20.00% |
1920.00 |
60.00% |
20.00% |
20.00% |
1800.00 |
50.00% |
20.00% |
20.00% |
1680.00 |
40.00% |
20.00% |
20.00% |
1560.00 |
30.00% |
20.00% |
20.00% |
1440.00 |
20.00% |
20.00% |
20.00% |
1380.00 |
15.00% |
15.00% |
15.00% |
1335.60 |
11.30% |
11.30% |
11.30% |
1320.00 |
10.00% |
11.30% |
10.00% |
1260.00 |
5.00% |
11.30% |
5.00% |
1230.00 |
2.50% |
11.30% |
2.50% |
1200.00 |
0.00% |
11.30% |
0.00% |
1140.00 |
-5.00% |
11.30% |
-5.00% |
1080.00 |
-10.00% |
11.30% |
-10.00% |
1020.00 |
-15.00% |
11.30% |
-15.00% |
960.00 |
-20.00% |
11.30% |
-20.00% |
959.88 |
-20.01% |
N/A |
-20.01% |
900.00 |
-25.00% |
N/A |
-25.00% |
840.00 |
-30.00% |
N/A |
-30.00% |
720.00 |
-40.00% |
N/A |
-40.00% |
600.00 |
-50.00% |
N/A |
-50.00% |
480.00 |
-60.00% |
N/A |
-60.00% |
360.00 |
-70.00% |
N/A |
-70.00% |
240.00 |
-80.00% |
N/A |
-80.00% |
120.00 |
-90.00% |
N/A |
-90.00% |
0.00 |
-100.00% |
N/A |
-100.00% |
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(1) The Index Closing Level is greater than or equal to 960 (80.00% of the hypothetical Initial Index Level) on each day during the Monitoring Period. |
(2) The Index Closing Level is less than 960 (80.00% of the hypothetical Initial Index Level) on at least one day during the Monitoring Period. |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table above are calculated.
Example 1: A Knock-Out Event has not occurred, and the level of the Index increases from the Initial Index Level of 1200 to an Ending Index Level of 1230. Because a Knock-Out Event has not occurred and the Index Return of 2.50% is less than the hypothetical Contingent Minimum Return of 11.30%, the investor receives a payment at maturity of $1,113 per $1,000 principal amount note.
Example 2: A Knock-Out Event has not occurred, and the level of the Index decreases from the Initial Index Level of 1200 to an Ending Index Level of 1140. Because a Knock-Out Event has not occurred and the Index Return of -5% is less than the hypothetical Contingent Minimum Return of 11.30%, the investor receives a payment at maturity of $1,113 per $1,000 principal amount note.
Example 3: A Knock-Out Event has not occurred, and the level of the Index increases from the Initial Index Level of 1200 to an Ending Index Level of 1380. Because a Knock-Out Event has not occurred and the Index Return of 15% is greater than the hypothetical Contingent Minimum Return of 11.30% but less than the hypothetical Maximum Return of 20.00%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 15%) = $1,150
Example 4: A Knock-Out Event has occurred, and the level of the Index decreases from the Initial Index Level of 1200 to an Ending Index Level of 1080. Because a Knock-Out Event has occurred and the Index Return is -10%, the investor receives a payment at maturity of $900 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -10%) = $900
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JPMorgan Structured Investments | TS-2 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |
Example 5: A Knock-Out Event has occurred, and the level of the Index increases from the Initial Index Level of 1200 to an Ending Index Level of 1380. Because a Knock-Out Event has occurred and the Index Return of 15% is less than the hypothetical Maximum Return of 20.00%, the investor receives a payment at maturity of $1,150 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 15%) = $1,150
Example 6: The level of the Index increases from the Initial Index Level of 1200 to an Ending Index Level of 1800. Because the Index Return of 50% is greater than the hypothetical Maximum Return of 20.00%, regardless of whether a Knock-Out Event has occurred, the investor receives a payment at maturity of $1,200 per $1,000 principal amount note, the hypothetical maximum payment on the notes.
The hypothetical returns and 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 returns and hypothetical payouts shown above would likely be lower.
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JPMorgan Structured Investments | TS-3 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |
Selected Purchase
Considerations
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or any of the component securities of the Index. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 98-A-III dated June 1, 2011.
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JPMorgan Structured Investments | TS-4 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |
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JPMorgan Structured Investments | TS-5 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |
Historical Information
The following graph sets forth the historical performance of the S&P 500® Index based on the weekly historical Index Closing Levels from January 6, 2006 through September 16, 2011. The Index Closing Level on September 16, 2011 was 1216.01. We obtained the Index Closing Levels 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.
The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index Closing Level on the pricing date, the Observation Date, or any day during the Monitoring Period. We cannot give you assurance that the performance of the Index will result in the return of any of your initial investment.
Supplemental Plan of Distribution
JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission that will depend on market conditions on the pricing date. In no event will that commission exceed $10.00 per $1,000 principal amount note. See Plan of Distribution (Conflicts of Interest) beginning on page PS-77 of the accompanying product supplement no. 98-A-III.
For a different portion of the notes to be sold in this offering, an affiliated bank will receive a fee and another affiliate of ours will receive a structuring and development fee. In no event will the total amount of these fees exceed $10.00 per $1,000 principal amount note.
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JPMorgan Structured Investments | TS-6 |
Capped Index Knock-Out Notes Linked to the S&P 500® Index |