Term Sheet |
Term
Sheet to |
Structured |
JPMorgan Chase & Co. $ Fixed to Floating Rate Notes Linked to the Consumer Price Index due October 14, 2021 |
General
Key Terms
Maturity Date: |
October 14, 2021 |
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Interest: |
With respect to
each Interest Period, for each $1,000 principal amount note, the interest
payment will be calculated as follows: |
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Interest Rate: |
With respect to each Initial Interest Period (which we expect to be from October 14, 2011 through but excluding October 14, 2012), a rate equal to 4.00% per annum. With respect to each Interest Period thereafter, a rate per annum equal to the lesser of (a) the CPI Rate on each applicable Determination Date plus 1.00%, and (b) the Maximum Interest Rate of 7.00% per annum. In no case will the Interest Rate for any monthly Interest Period be less than the Minimum Interest Rate of 0.00% per annum. |
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Maximum Interest Rate: |
7.00% per annum |
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Minimum Interest Rate: |
0.00% per annum |
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Initial Interest Rate: |
4.00% per annum |
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Initial Interest Period(s): |
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 October 14, 2012. |
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CPI Rate: |
For any Interest Period (other than the Initial Interest Periods), the CPI Rate will be calculated as follows: |
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CPIt
- CPIt-12 CPIt-12 |
where: CPIt"
is the CPI level for the second calendar month prior to the calendar month of
the applicable Determination Date, which we refer to as the reference month;
and CPIt-12 is the CPI level for the twelfth month prior to the applicable reference month. |
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CPI or Consumer Price Index: |
The non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers, as published on Bloomberg CPURNSA or any successor source. |
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Determination Date(s): |
After the Initial Interest Periods, the second business day immediately preceding the beginning of the applicable Interest Period. For example, September 10, 2014 (which is two business days immediately prior to September 14, 2014) is the Determination Date of the CPI Rate with respect to interest due and payable on October 14, 2014. On the September 2014 Determination Date, interest will be based on changes between the CPI level in July 2013 and July 2014. |
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Interest Period(s): |
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 following Interest Payment Date. |
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Interest Payment Date(s): |
Interest, if any, will be payable monthly in arrears on the 14th calendar day of each month (each such date, an Interest Payment Date), commencing November 14, 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. |
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Payment at Maturity: |
On the Maturity Date, we will pay you the principal amount of your notes plus any accrued and unpaid interest. |
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CUSIP: |
48125X5K8 |
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Investing in the Fixed to Floating Rate Notes involves a number of risks. See Risk Factors beginning on page PS-15 of the accompanying product supplement no. 165-A-IV and Selected Risk Considerations beginning on page TS-2 of this term sheet.
Neither the Securities and Exchange Commission (SEC) nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this term sheet, the accompanying product supplement no. 165-A-IV or the accompanying prospectus supplements and prospectus. Any representation to the contrary is a criminal offense.
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Price to Public (1)(2)(3) |
Fees and Commissions (1)(2) |
Proceeds to Us |
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Per note |
At variable prices |
$ |
$ |
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Total |
At variable prices |
$ |
$ |
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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.
(2 ) If the notes priced today, J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., would receive a commission of approximately $30.00 per $1,000 principal amount note and would use a portion of that commission to allow selling concessions to other affiliated or unaffiliated dealers of approximately $15.00 per $1,000 principal amount note. This commission will include the projected profits that our affiliates expect to realize, some of which may be allowed to other unaffiliated dealers, for assuming risks inherent in hedging our obligations under the notes. The actual commission received by JPMS may be more or less than $30.00 and will depend on market conditions on the pricing date. In no event will the commission received by JPMS, which includes concessions that may be allowed to other dealers, exceed $50.00 per $1,000 principal amount note. See Plan of Distribution (Conflicts of Interest) beginning on page PS-45 of the accompanying product supplement no. 165-A-IV.
(3) JPMS proposes to offer the notes from time to time for resale in one or more negotiated transactions, or otherwise, at varying prices to be determined at the time of each sale, which may be at market prices prevailing at the time of sale, at prices related to such prevailing prices or at negotiated prices, provided that such prices will not be less than $980.00 per $1,000 principal amount note and not more than $1,000 per $1,000 principal amount note. See Plan of Distribution (Conflicts of Interest) beginning on page PS-45 of the accompanying product supplement no. 165-A-IV.
September 29, 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. 165-A-IV 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. 165-A-IV dated February 16, 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. 165-A-IV, 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. 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
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this term sheet, the Company, we, us or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
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JPMorgan Structured Investments |
TS-1 |
Fixed to Floating Rate Notes Linked to the Consumer Price Index |
Selected Risk Considerations
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JPMorgan Structured Investments |
TS-2 |
Fixed to Floating Rate Notes Linked to the Consumer Price Index |
What is the Consumer Price Index?
The CPI for purposes of the notes is the non-seasonally adjusted U.S. City Average All Items Consumer Price Index for All Urban Consumers, reported monthly by the Bureau of Labor Statistics of the U.S. Labor Department (the BLS) and published on Bloomberg CPURNSA or any successor source. For additional information about the CPI see Description of Notes – The Consumer Price Index in the accompanying product supplement no. 165-A-IV.
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JPMorgan Structured Investments |
TS-3 |
Fixed to Floating Rate Notes Linked to the Consumer Price Index |
Hypothetical Interest Rates Based on Historical CPI Levels
Provided below are historical levels of the CPI as reported by the BLS for the period from January 2002 to August 2011. Also provided below are the hypothetical Interest Rates for hypothetical interest payments in the calendar months from January 2004 to November 2011that would have resulted from the historical levels of the CPI presented below, based on the spread of 1.00%, the Minimum Interest Rate of 0.00% per annum and assuming the Maximum Interest Rate of 7.00% per annum. We obtained the historical information included below from Bloomberg Financial Markets and we make no representation or warranty as to the accuracy of completeness of the information so obtained from Bloomberg Financial Markets.
The historical levels of the CPI should not be taken as an indication of future levels of the CPI, and no assurance can be given as to the level of the CPI for any reference month. The hypothetical Interest Rates that follow are intended to illustrate the effect of general trends in the CPI on the amount of interest payable to you on the notes and assume that the change in the CPI will be measured on a year-over-year basis. However, the CPI may not increase or decrease over the term of the notes in accordance with any of the trends depicted by the historical information in the table below, and the size and frequency of any fluctuations in the CPI level over the term of the notes, which we refer to as the volatility of the CPI, may be significantly different than the historical volatility of the CPI indicated in the table. Additionally, for ease of presentation, the hypothetical Interest Rates set forth below have only been calculated to the third decimal point and rounded to the nearest second decimal point, which is different from the rounding convention applicable to the notes. As a result, the hypothetical Interest Rates depicted in the table below should not be taken as an indication of the actual Interest Rates that will be paid with regard to the Interest Periods over the term of the notes.
These returns 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 total returns shown above would be lower.
Interest Calculation
Example 1: For the Initial Interest Period from and including October 14, 2011 to but excluding October 14, 2012, the Initial Interest Rate is fixed and is equal to 4.00% per annum. The interest payment per $1,000 principal amount note for the anticipated Interest Period from and including October 14, 2011 to but excluding November 14, 2011 will be $1.66. This monthly interest payment is calculated as follows:
$1,000 × 4.00% × (30/360) = $3.33
The example above is simplified and the calculation is rounded for ease of analysis.
Example 2: Assuming the initial fixed rate for the Initial Interest Periods did not apply, and March 10, 2011 was a Determination Date, the hypothetical Interest Rate would be 2.63% per annum, resulting in a hypothetical $2.19 interest payment per $1,000 principal amount note for the hypothetical Interest Period from and including March 14, 2011 to but excluding April 14, 2011. This monthly interest payment is calculated as follows:
$1,000 × 2.63% × (30/360) = $2.19
The Interest Rate of 2.63% per annum is calculated by adding 1.00% to the relevant CPI Rate. The CPI Rate is calculated based on the percent change in the CPI for the one year period from January 2010 (216.687) to January 2011 (220.223) as follows:
CPI Rate = |
220.223 – 216.687 |
= 1.63% per annum |
216.687 |
Adding 1.00% to the CPI Rate of 1.63% results in an anticipated Interest Rate applicable for that month of 2.63% per annum. The example above is simplified and the calculation is rounded for ease of analysis.
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JPMorgan Structured Investments |
TS-4 |
Fixed to Floating Rate Notes Linked to the Consumer Price Index |