Term sheet
To prospectus dated November 21, 2008,
prospectus supplement dated November 21, 2008 and
product supplement no. 192-A-III dated March 10, 2011
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Term
Sheet
Product Supplement No. 192-A-III
Registration Statement No. 333-155535
Dated August 1, 2011; Rule 433 |
Structured
Investments
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$
10.00% per annum Callable Yield Notes due August 31, 2012 Linked to the
Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
General
- The notes are designed for investors
who seek a higher interest rate than the current yield on a conventional debt
security with the same maturity issued by us or an issuer with a comparable
credit rating. Investors should be willing to forgo the potential to participate
in the appreciation of either the Russell 2000® Index or the Market
Vectors Gold Miners ETF and to forgo dividend payments. Investors should
be willing to assume the risk that the notes may be called and the investors
will receive less interest than if the notes were not called and the risk
that, if the notes are not called, the investors may lose some or all of their
principal at maturity.
- The notes will pay 10.00% per annum interest
over the term of the notes, assuming no Optional Call. However, the
notes do not guarantee any return of principal at maturity. Instead,
if the notes are not called, the payment at maturity will be based on the
performance of the Lesser Performing Underlying and whether the closing level
or closing price, as applicable, of either Underlying is less than the Starting
Underlying Level of such Underlying by more than the Protection Amount on
any day during the Monitoring Period, as described below. Any payment on
the notes is subject to the credit risk of JPMorgan Chase & Co.
- The notes may be called, in whole but
not in part, at our option on any of the Optional Call Dates set forth below.
If the notes are called pursuant to an Optional Call, payment on the Optional
Call Date for each $1,000 principal amount note will be a cash payment of
$1,000, plus any accrued and unpaid interest, as described below.
Senior unsecured obligations of JPMorgan Chase &
Co. maturing August 31, 2012*
- The payment at maturity is not
linked to a basket composed of the Underlyings. The payment at maturity is
linked to the performance of each of the Underlyings individually, as described
below.
- Minimum denominations of $1,000 and integral
multiples thereof
Key
Terms
Underlyings: |
The Russell 2000® Index (the Index)
and the Market Vectors Gold Miners ETF (the Fund) (each an Underlying,
and collectively, the Underlyings) |
Interest Rate: |
10.00%
per annum over the term of the notes, assuming no Optional Call, paid
monthly and calculated on a 30/360 basis
The notes may be called, in whole
but not in part, at our option (such an event, an Optional Call) on
any of the Optional Call Dates set forth below. |
Protection Amount: |
With
respect to each Underlying, an amount that represents 40.00% of the
Starting Underlying Level of such Underlying (in the case of the Market
Vectors Gold Miners ETF, subject to adjustments) |
Pricing Date: |
On or about August 26, 2011 |
Settlement Date: |
On or about August 31, 2011 |
Observation Date: |
August 28, 2012 |
Maturity Date*: |
August 31, 2012 |
CUSIP: |
48125XD94 |
Monitoring Period: |
The period from and excluding the Pricing
Date to and including the Observation Date |
Interest Payment Dates: |
Interest on the notes will be payable monthly
in arrears on the last calendar day of each month, up to and including
the final monthly interest payment, which will be payable on the Maturity
Date or the relevant Optional Call Date, as applicable (each such day,
an Interest Payment Date), commencing September 30, 2011. See Selected
Purchase Considerations Monthly Interest Payments in this term sheet
for more information. |
Payment at Maturity: |
If the notes are not called, the payment at
maturity, in excess of any accrued and unpaid interest, will be based
on whether a Trigger Event has occurred and the performance of the Lesser
Performing Underlying. If the notes are not called, for each $1,000 principal
amount note, you will receive $1,000 plus any accrued and unpaid interest
at maturity, unless:
(a) the Ending Underlying Level of any Underlying
is less than the Starting Underlying Level of such Underlying; and
(b) a Trigger Event has occurred.
If the notes are not called and the conditions
described in (a) and (b) are satisfied, at maturity you will lose 1% of
the principal amount of your notes for every 1% that the Ending Underlying
Level of the Lesser Performing Underlying is less than the Starting Underlying
Level of such Underlying. Under these circumstances, your payment at
maturity per $1,000 principal amount note, in addition to any accrued
and unpaid interest, will be calculated as follows:
$1,000 +
($1,000 x Lesser Performing Underlying Return)
You will lose some
or all of your principal at maturity if the notes are not called and the
conditions described in (a) and (b) are both satisfied. |
Trigger Event: |
A Trigger Event occurs if, on any day during
the Monitoring Period, the closing level or closing price, as applicable,
of any Underlying is less than the Starting Underlying Level of such
Underlying by more than the applicable Protection Amount. |
Underlying Return: |
With respect to each Underlying, the Underlying
Return is calculated as follows:
Ending
Underlying Level Starting Underlying Level
Starting Underlying Level |
Optional Call: |
We, at our election, may call the notes, in
whole but not in part, on any of the Optional Call Dates prior to the
Maturity Date at a price for each $1,000 principal amount note equal
to $1,000 plus any accrued and unpaid interest to but excluding the
applicable Optional Call Date. If we intend to call your notes, we
will deliver notice to DTC at least five business days before the applicable
Optional Call Date. |
Optional Call Dates*: |
November 30, 2011, February 29, 2012 and May
31, 2012 |
Additional Key Terms: |
See Additional Key Terms on the next page. |
* |
Subject to postponement as described
under Description of Notes Payment at Maturity and Description
of Notes
Payment upon Optional Call, as applicable, in the accompanying product
supplement no. 192-A-III |
Investing in the Callable
Yield Notes involves a number of risks. See Risk Factors beginning on page
PS-9 of the accompanying product supplement no. 192-A-III and Selected Risk
Considerations beginning on page TS-3 of this term sheet.
Neither the 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 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 |
|
Per note |
$ |
$ |
$ |
|
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. |
(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 $28.00
per $1,000 principal amount note and may use a portion of that commission
to allow selling concessions to other affiliated or unaffiliated dealers
of approximately $2.50 per $1,000 principal amount note. This commission
includes 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 other
dealers, in their sole discretion, may forgo some or all of their selling
concessions. The actual commission received by JPMS may be more or
less than $28.00 and will depend on market conditions on the Pricing
Date. In no event will the commission received by JPMS, which includes
concessions and other amounts 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-95 of the accompanying
product supplement no. 192-A-III.
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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.
August 1, 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. 192-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. 192-A-III dated March 10, 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. 192-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. 192-A-III dated March
10, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211001693/e42021_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.
Additional
Key Terms
Starting Underlying Level: |
With respect to the Index, the closing level
of the Index on the Pricing Date (the Initial Index Level). With
respect to the Fund, the closing price of the Fund on the Pricing Date
divided by the Share Adjustment Factor for the Fund (the Initial
Share Price). We refer to each of the Initial Index Level for the
Index and the Initial Share Price for the Fund as a Starting Underlying
Level. |
Ending Underlying Level**: |
With respect to the Index, the closing level
of the Index on the Observation Date (the Ending Index Level). With
respect to the Fund, the closing price of one share of the Fund on the
Observation Date (the Final Share Price). We refer to each of the
Ending Index Level for the Index and the Final Share Price for the Fund
as an Ending Underlying Level. |
Share Adjustment Factor: |
With respect to the Fund, 1.0 on the Pricing
Date and subject to adjustment under certain circumstances. See Description
of Notes Payment at Maturity and General Terms of Notes Anti-Dilution
Adjustments in the accompanying product supplement no. 192-A-III for
further information about these adjustments. |
Lesser Performing Underlying: |
The Underlying with the Lesser Performing
Underlying Return |
Lesser Performing Underlying Return: |
The lower of the Underlying Return of the
Russell 2000® Index and the Underlying Return of the Market
Vectors Gold Miners ETF |
** Subject to adjustment in
the event of a market disruption event or non-trading day on the Observation
Date as described under Description of Notes Postponement of a Determination
Date Notes with a maturity of not more than one year in the accompanying
product supplement no. 192-A-III
Selected
Purchase Considerations
- THE NOTES OFFER A
HIGHER INTEREST RATE THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY
ISSUED BY US OR AN ISSUER WITH A COMPARABLE CREDIT RATING
The notes will pay interest at a rate of 10.00% per annum over the term
of the notes, assuming no Optional Call, which is higher than the yield currently
available on debt securities of comparable maturity issued by us or an issuer
with a comparable credit rating. Because the notes are our senior unsecured
obligations, any interest payment or any payment at maturity is subject to
our ability to pay our obligations as they become due.
- MONTHLY
INTEREST PAYMENTS The notes offer monthly
interest payments at a rate of 10.00% per annum over the term of the notes,
assuming no Optional Call. Interest will be payable monthly in arrears on
the last calendar day of each month, up to and including the final monthly
interest payment, which will be payable on the Maturity Date or the relevant
Optional Call Date, as applicable (each such day, an Interest Payment Date),
commencing September 30, 2011. Interest will be payable
to the holders of record at the close of business on the business day immediately
preceding the applicable Interest Payment Date or the applicable Optional
Call Date, as applicable. If an Interest Payment Date or the applicable Optional
Call Date is not a business day, payment will be made on the next business
day immediately following such day, but no additional interest will accrue
as a result of the delayed payment. For example, the monthly Interest Payment
Date for December 2011 is December 31, 2011, but because December 31, 2011
is a Saturday, payment of interest with respect to that Interest Payment Date
will be
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-1 |
made
on January 3, 2012, the next succeeding business day.
- POTENTIAL
EARLY EXIT AS A RESULT OF THE OPTIONAL CALL FEATURE
If the notes are called pursuant to an Optional Call, on the applicable
Optional Call Date, for each $1,000 principal
amount note, you will receive $1,000 plus accrued and unpaid interest to but
excluding the applicable
Optional Call Date.
- THE NOTES DO NOT GUARANTEE
THE RETURN OF YOUR PRINCIPAL IF THE NOTES ARE NOT
CALLED If the notes are not called, we will pay you your principal back
at maturity only if a Trigger Event has not occurred or the Ending Underlying
Level of each Underlying is not less than its Starting Underlying Level.
A Trigger Event occurs if, on any day during the Monitoring Period, the closing
level or closing price, as applicable, of any Underlying is less than the
Starting Underlying Level of such Underlying by more than the applicable Protection
Amount. However, if the notes are not called, a Trigger Event has occurred
and the Ending Underlying Level of either Underlying is less than the Starting
Underlying Level of such Underlying, you could lose the entire principal amount
of your notes.
- EXPOSURE TO EACH OF
THE UNDERLYINGS The return on the notes is linked to the Lesser Performing
Underlying, which will be either the Russell 2000® Index or the
Market Vectors Gold Miners ETF.
The Russell 2000® Index consists
of the middle 2,000 companies included in the Russell 3000 Index and, as
a result of the index calculation methodology, consists of the smallest 2,000
companies included in the Russell 3000® Index. The Russell 2000®
Index is designed to track the performance of the small capitalization segment
of the U.S. equity market.
The Market Vectors Gold Miners
ETF is an exchange-traded fund managed by Van Eck Associates Corporation,
the investment adviser to the Market Vectors Gold Miners ETF. The Market
Vectors Gold Miners ETF trades on NYSE Arca, Inc. (the NYSE Arca) under
the ticker symbol GDX. The Market Vectors Gold Miners ETF seeks to replicate
as closely as possible, before fees and expenses, the price and yield performance
of the NYSE Arca Gold Miners Index. The NYSE Arca Gold Miners Index is a
modified market capitalization weighted index primarily comprised of publicly
traded companies involved in the mining of gold. The NYSE Arca Gold Miners
Index includes common stocks and ADRs of selected companies that are involved
in mining for gold and silver and that are listed for trading on the New York
Stock Exchange or the NYSE Amex LLC or quoted on The NASDAQ Stock Market.
Only companies with market capitalization greater than $100 million that have
a daily average trading volume of at least 50,000 shares over the past six
months are eligible for inclusion in the NYSE Arca Gold Miners Index.
For additional information on each Underlying,
see the information set forth under The Russell 2000® Index and
The Market Vectors Gold Miners ETF in the accompanying
product supplement no. 192-A-III.
- TAX
TREATMENT AS A UNIT COMPRISING A PUT OPTION AND A DEPOSIT
You should review carefully the section entitled Certain U.S. Federal Income
Tax Consequences in the accompanying product supplement no. 192-A-III. By
purchasing the notes, you agree (in the absence of an administrative determination
or judicial ruling to the contrary) to treat (i) the notes for U.S. federal
income tax purposes as units comprising: (x) a Put Option written by you that
is terminated if an Optional Call occurs and that, if not terminated, in circumstances
where the payment at maturity is less than $1,000 (excluding accrued and unpaid
interest) requires you to pay us an amount equal to $1,000 multiplied by the
absolute value of the Lesser Performing Underlying Return and (y) a Deposit
of $1,000 per $1,000 principal amount note to secure your potential obligation
under the Put Option and (ii) each interest payment consistently with the
allocation described below. We will follow this approach in determining our
reporting responsibilities, if any. We will determine the portion of each
interest payment that we will allocate to interest on the Deposit and to Put
Premium, respectively, and will provide that allocation in the pricing supplement
for the notes. If the notes had priced on July 28, 2011, we would have allocated
8.60% of each interest payment to interest on the Deposit and the remainder
to Put Premium. The actual allocation that we will determine for the notes
may differ from this hypothetical allocation, and will depend upon a variety
of factors, including actual market conditions and our borrowing costs for
debt instruments of comparable maturities on the Pricing Date. Assuming this
characterization is respected, amounts treated as interest on the Deposit
will be taxed as ordinary income, while the Put Premium will not be taken
into account prior to sale or settlement, including a settlement following
an Optional Call. However, there are other reasonable treatments that the
Internal Revenue Service (the IRS) or a court may adopt, in which case the
timing and character of any income or loss on the notes could be significantly
and adversely affected. In addition, in 2007 Treasury and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of prepaid
forward contracts and similar instruments. While it is not clear whether
the notes would be viewed as similar to the typical prepaid forward contract
described in the notice, it is possible that any Treasury regulations or other
guidance promulgated after consideration of these issues could materially
and adversely affect the tax consequences of an investment in the notes, possibly
with retroactive effect. The notice focuses on a number of issues, the most
relevant of which for holders of the notes are the character of income or
loss (including whether the Put Premium might be currently included as ordinary
income) and the degree, if any, to which income realized by Non-U.S. Holders
should be subject to withholding tax. Both U.S. and Non-U.S. Holders should
consult their tax advisers regarding all aspects of the U.S. federal income
tax consequences of an investment in the notes, including possible alternative
treatments and the issues presented by this notice. Non-U.S. Holders should
also note that they may be withheld upon at a rate of up to 30% unless they
have submitted a properly completed IRS Form W-8BEN or otherwise satisfied
the applicable documentation requirements. Purchasers who are not initial
purchasers of notes at the issue price should also consult their tax advisers
with respect to the tax consequences of an investment in the notes, including
possible alternative characterizations, as well as the allocation of the
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-2 |
purchase
price of the notes between the Deposit and the Put Option.
Selected
Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in
either or both of the Underlyings, or any equity securities included in or
held by the Underlyings. These risks are explained in more detail in the
Risk Factors section of the accompanying product supplement no. 192-A-III
dated March 10, 2011.
- YOUR INVESTMENT IN
THE NOTES MAY RESULT IN A LOSS The notes do
not guarantee any return of principal. If the notes are not called, we will
pay you your principal back at maturity only if a Trigger Event has not occurred
or the Ending Underlying Level of each Underlying is equal to or greater than
the Starting Underlying Level of such Underlying. If the notes are not called,
a Trigger Event has occurred and the Ending Underlying Level of either Underlying
is less than the Starting Underlying Level of such Underlying, you will lose
1% of your principal amount at maturity for every 1% that the Ending Underlying
Level of the Lesser Performing Underlying is less than the Starting Underlying
Level of such Underlying. Accordingly, you could lose up to the entire
principal amount of your notes.
- CREDIT RISK OF JPMORGAN
CHASE & CO. The notes are subject to the credit risk of JPMorgan
Chase & Co. and our credit ratings and credit spreads may adversely affect
the market value of the notes. Investors are dependent on JPMorgan Chase
& Co.s ability to pay all amounts due on the notes at maturity or on
any Optional Call Date and on the Interest Payment Dates, and therefore investors
are subject to our credit risk and to changes in the markets view of our
creditworthiness. Any decline in our credit ratings or increase in the credit
spreads charged by the market for taking our credit risk is likely to adversely
affect the value of the notes.
- POTENTIAL CONFLICTS We and our affiliates play a variety of roles in connection
with the issuance of the notes, including acting as calculation agent. In
performing these duties, the economic interests of the calculation agent and
other affiliates of ours are potentially adverse to your interests as an investor
in the notes.
- YOUR RETURN ON THE
NOTES IS LIMITED TO THE PRINCIPAL AMOUNT PLUS ACCRUED INTEREST REGARDLESS
OF ANY APPRECIATION IN THE VALUE OF EITHER UNDERLYING
If the notes are not called, a Trigger Event has not occurred and the Ending
Underlying Level of either Underlying is not below the Starting Underlying
Level of such Underlying, for each $1,000 principal amount note, you will
receive $1,000 at maturity plus any accrued and unpaid interest, regardless
of any appreciation in the value of either Underlying, which may be significant.
If the notes are called, for each $1,000 principal amount note, you will receive
$1,000 on the applicable Optional Call Date plus any accrued and unpaid interest,
regardless of the appreciation in the value of either Underlying, which may
be significant. Accordingly, the return on the notes may be significantly
less than the return on a direct investment in either Underlying during the
term of the notes.
- YOU ARE EXPOSED TO
THE RISK OF DECLINE IN THE CLOSING LEVEL OR CLOSING PRICE, AS APPLICABLE,
OF EACH UNDERLYING Your return on the notes and your payment at maturity,
if any, is not linked to a basket consisting of the Underlyings. If the notes
are not called, your payment at maturity is contingent upon the performance
of each individual Underlying such that you will be equally exposed to the
risks related to both of the Underlyings. Poor performance
by either of the Underlyings over the term of the notes may negatively affect
your payment at maturity and will not be offset or mitigated by positive performance
by the other Underlying. Accordingly, your investment is subject to the risk
of decline in the closing level or closing price, as applicable, of each Underlying.
- THE BENEFIT PROVIDED
BY THE PROTECTION AMOUNT MAY TERMINATE ON ANY DAY DURING THE TERM OF THE NOTES
If, on any day during the Monitoring Period, the closing level or closing
price, as applicable, of either Underlying is less than the Starting Underlying
Level of such Underlying by more than the applicable Protection Amount, a
Trigger Event will occur, and you will be fully exposed to any depreciation
in the Lesser Performing Underlying. We refer to this feature as a contingent
buffer. Under these circumstances, and if the Ending Underlying Level of
either Underlying is less than the Starting Underlying Level for such Underlying,
you will lose 1% of the principal amount of your investment for every 1% that
the Ending Underlying Level of the Lesser Performing Underlying is less than
the Starting Underlying Level. You will be subject to this potential loss
of principal even if the relevant Underlying subsequently recovers such that
the closing level or closing price, as applicable, is less than the Starting
Underlying Level of such Underlying by less than the Protection Amount. If
these notes had a non-contingent buffer feature, under the same scenario,
you would have received the full principal amount of your notes plus accrued
and unpaid interest at maturity. As a result, your investment in the notes
may not perform as well as an investment in a security with a return that
includes a non-contingent buffer.
- YOUR PAYMENT AT MATURITY
MAY BE DETERMINED BY THE LESSER PERFORMING UNDERLYING If the notes are
not called and a Trigger Event occurs, you will lose some or all of your investment
in the notes if the Ending Underlying Level of either Underlying is below
its Starting Underlying Level. This will be true even if the Ending Underlying
Level of the other Underlying is greater than or equal to its Starting Underlying
Level. The two Underlyings respective performances may not be correlated
and, as a result, if the notes are not called, you may receive the principal
amount of your notes at maturity only if there is a broad based rise in the
performance of U.S. equities across diverse markets during the term of the
notes.
- THE OPTIONAL CALL
FEATURE MAY FORCE A POTENTIAL EARLY EXIT Upon an Optional Call,
the amount of interest payable on the notes will be less than the full amount
of interest that would have been payable if the notes were held to maturity,
and, for each $1,000 principal amount note, you will receive $1,000 plus accrued
and unpaid interest to but excluding the applicable Optional Call Date.
- REINVESTMENT RISK
If your notes are called, the term of the notes may be reduced to as short
as three months and you will not receive interest payments after the applicable
Optional Call Date. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the notes at a comparable return and/or
with a comparable interest rate for a similar level of risk in the event the
notes are called prior to the Maturity Date.
- CERTAIN BUILT-IN COSTS
ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY
While
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-3 |
the payment at maturity,
if any, or upon a call described in this term sheet is based on the full principal
amount of your notes, the original issue price of the notes includes the agents
commission and the estimated cost of hedging our obligations under the notes.
As a result, and as a general matter, the price, if any, at which JPMS will
be willing to purchase notes from you in secondary market transactions, if
at all, will likely be lower than the original issue price and any sale prior
to the maturity date could result in a substantial loss to you. This secondary
market price will also be affected by a number of factors aside from the agents
commission and hedging costs, including those referred to under Many Economic
and Market Factors Will Influence the Value of the Notes below.
The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
- PROTECTION
AMOUNT APPLIES ONLY IF YOU HOLD THE NOTES TO MATURITY Assuming
the notes are not called, we will pay you your principal back at maturity
only if the closing level or closing price, as applicable, of each Underlying
is not less than its Starting Underlying Level by more than the applicable
Protection Amount on any day during the Monitoring Period or the Ending Underlying
Level of each Underlying is equal to or greater than the Starting Underlying
Level of such Underlying. If the notes are not called and a Trigger Event
has occurred, you will be fully exposed at maturity to any decline in the
value of the Lesser Performing Underlying.
- VOLATILITY RISK
Greater expected volatility with respect to an Underlying indicates a greater
likelihood as of the Pricing Date that such Underlying could close below its
Starting Underlying Level by more than the applicable Protection Amount on
any day during the Monitoring Period. An Underlyings volatility, however,
can change significantly over the term of the notes. The closing level or
closing price, as applicable, of an Underlying could fall sharply on any day
during the Monitoring Period, which could result in a significant loss of
principal.
- AN INVESTMENT IN THE
NOTES IS SUBJECT TO RISKS ASSOCIATED WITH SMALL CAPITALIZATION STOCKS
The stocks that constitute the Russell 2000® Index are issued
by companies with relatively small market capitalization. The stock prices
of smaller companies may be more volatile than stock prices of large capitalization
companies. Small capitalization companies may be less able to withstand adverse
economic, market, trade and competitive conditions relative to larger companies.
Small capitalization companies are less likely to pay dividends on their stocks,
and the presence of a dividend payment could be a factor that limits downward
stock price pressure under adverse market conditions.
- THERE
ARE RISKS ASSOCIATED WITH THE MARKET VECTORS GOLD MINERS ETF
Although the Market Vectors Gold Miners ETFs shares are listed for trading
on the NYSE Arca and a number of similar products have been traded on NYSE
Arca and other securities exchanges for varying periods of time, there is
no assurance that an active trading market will continue for the shares of
the Market Vectors Gold Miners ETF or that there will be liquidity in the
trading market. The Market Vectors Gold Miners ETF is subject to management
risk, which is the risk that Van Ecks investment strategy, the implementation
of which is subject to a number of constraints, may not produce the intended
results. These constraints could adversely affect the market price of the
shares of the Market Vectors Gold Miners ETF, and consequently, the value
of the notes.
- DIFFERENCES BETWEEN
THE MARKET VECTORS GOLD MINERS ETF AND THE NYSE ARCA
GOLD MINERS INDEX The Market Vectors Gold Miners ETF does not fully
replicate the NYSE Arca Gold Miners Index and may hold securities not included
in the NYSE Arca Gold Miners Index, and its performance will reflect additional
transaction costs and fees that are not included in the calculation of the
NYSE Arca Gold Miners Index, all of which may lead to a lack of correlation
between the Market Vectors Gold Miners ETF and the NYSE Arca Gold Miners Index.
In addition, corporate actions with respect to the sample of equity securities
(such as mergers and spin-offs) may impact the variance between the Market
Vectors Gold Miners ETF and the NYSE Arca Gold Miners Index. Finally, because
the shares of the Market Vectors Gold Miners ETF are traded on the NYSE Arca
and are subject to market supply and investor demand, the market value of
one share of the Market Vectors Gold Miners ETF may differ from the net asset
value per share of the Market Vectors Gold Miners ETF. For all of the foregoing
reasons, the performance of the Market Vectors Gold Miners ETF may not correlate
with the performance of the NYSE Arca Gold Miners Index.
- RISKS ASSOCIATED WITH
THE GOLD AND SILVER MINING INDUSTRIES All or substantially all of the
equity securities held by the Market Vectors Gold Miners ETF are issued by
gold or silver mining companies. Because the value of the notes is linked
to the performance of the Market Vectors Gold Miners ETF, an investment in
these notes will be concentrated in the gold and silver mining industries.
Competitive pressures may have a significant effect on the financial condition
of companies in these industries. Also, these companies are highly dependent
on the price of gold or silver, as applicable. These prices fluctuate widely
and may be affected by numerous factors. Factors affecting gold prices include
economic factors, including, among other things, the structure of and confidence
in the global monetary system, expectations of the future rate of inflation,
the relative strength of, and confidence in, the U.S. dollar (the currency
in which the price of gold is generally quoted), interest rates and gold borrowing
and lending rates, and global or regional economic, financial, political,
regulatory, judicial or other events. Factors affecting silver prices include
general economic trends, technical developments, substitution issues and regulation,
as well as specific factors including industrial and jewelry demand, expectations
with respect to the rate of inflation, the relative strength of the U.S. dollar
(the currency in which the price of silver is generally quoted) and other
currencies, interest rates, central bank sales, forward sales by producers,
global or regional political or economic events, and production costs and
disruptions in major silver producing countries such as the United Mexican
States and the Republic of Peru.
- LACK OF LIQUIDITY
The notes will not be listed on any securities exchange. JPMS intends
to offer to
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-4 |
purchase the notes in
the secondary market but is not required to do so. Even if there is a secondary
market, it may not provide enough liquidity to allow you to trade or sell
the notes easily. Because other dealers are not likely to make a secondary
market for the notes, the price at which you may be able to trade your notes
is likely to depend on the price, if any, at which JPMS is willing to buy
the notes.
- NO DIVIDEND PAYMENTS
OR VOTING RIGHTS As a holder of the notes, you will not have voting
rights or rights to receive cash dividends or other distributions or other
rights that holders of the securities included in or held by the Underlyings
would have.
- HEDGING AND TRADING
IN THE UNDERLYINGS While the notes are outstanding, we or any of our
affiliates may carry out hedging activities related to the notes, including
instruments related to the Fund or the equity securities included in the Index
or held by the Fund. We or our affiliates may also trade in the Fund or instruments
related to the Fund or the equity securities included in the Index or held
by the Fund from time to time. Any of these hedging or trading activities
as of the Pricing Date and during the term of the notes could adversely affect
the likelihood of a call or our payment to you at maturity. It is possible
that such hedging or trading activities could result in substantial returns
for us or our affiliates while the value of the notes declines.
- THE
ANTI-DILUTION PROTECTION FOR THE MARKET VECTORS GOLD MINERS ETF IS LIMITED
The calculation agent will make adjustments
to the Share Adjustment Factor for certain events affecting the shares of
the Market Vectors Gold Miners ETF. However, the calculation agent will not
make an adjustment in response to all events that could affect the shares
of the Market Vectors Gold Miners ETF. If an event occurs that does not require
the calculation agent to make an adjustment, the value of the notes may be
materially and adversely affected.
- MANY ECONOMIC AND
MARKET FACTORS WILL INFLUENCE THE VALUE OF THE NOTES In
addition to the level and price of the Underlyings on any day, the value of
the notes will be affected by a number of economic and market factors that
may either offset or magnify each other, including:
- whether a Trigger Event has
occurred;
- the interest rate on the
notes;
- the actual and expected volatility
of the Underlyings;
- the time to maturity of the
notes;
- the Optional Call feature
and whether we are expected to call the notes, which are likely to limit
the value of the notes;
- the dividend rates on the
equity securities included in or held by the Underlyings;
- the expected positive or
negative correlation between the Index and the Fund, or the expected absence
of any such correlation;
- interest and yield rates
in the market generally as well as in the markets of the equity securities
included in or held by the Underlyings;
- a variety of economic, financial,
political, regulatory and judicial events;
- the occurrence of certain
events to the Market Vectors Gold Miners ETF that may or may not require
an adjustment to the applicable Share Adjustment Factor; and
- our creditworthiness, including
actual or anticipated downgrades in our credit ratings.
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-5 |
Historical
Information
The following graphs show the historical weekly performance of the
Russell 2000® Index from January 6, 2006 through July 29, 2011
and the Market Vectors Gold Miners ETF from May 26, 2006 through July 29,
2011. The closing level of the Russell 2000® Index on July 29,
2011 was 797.03. The closing price of one share of the Market Vectors Gold
Miners ETF on July 29, 2011 was $56.94.
We obtained the
various closing levels and prices of the Underlyings below from Bloomberg Financial
Markets. We make no representation or warranty as to the accuracy or completeness
of information obtained from Bloomberg Financial Markets. The historical levels
and prices of each Underlying should not be taken as an indication of future
performance, and no assurance can be given as to the closing level or closing
price, as applicable, of either Underlying on any day during the Monitoring
Period or the Observation Date. We cannot give you assurance that the performance
of the Underlyings will result in the return of any of your initial investment.
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-6 |
What
Is the Total Return on the Notes at Maturity, Assuming a Range of Performances
for the Lesser Performing Underlying?
The following table and examples illustrate
the hypothetical total return at maturity on the notes. The note total return
as used in this term sheet is the number, expressed as a percentage, that
results from comparing the payment at maturity plus the interest payments
received over the term of the notes per $1,000 principal amount note to $1,000.
The table and examples below assume that the notes are not called prior
to maturity and that the Lesser Performing Underlying is the Russell 2000®
Index. We make no representation or warranty as to which of the Underlyings
will be the Lesser Performing Underlying for purposes of calculating your
actual payment at maturity. In addition, the following table and examples
assume a Starting Underlying Level for the Lesser Performing Underlying of
800 and reflect the Interest Rate of 10.00% per annum over the term of the
notes (assuming no Optional Call) and the Protection Amount of 40.00%. If
the notes are called prior to maturity, your total return and total payment
may be less than the amounts indicated below. The hypothetical total
returns and total payments set forth below are for illustrative purposes only
and may not be the actual total returns or total payments applicable to a
purchaser of the notes. The numbers appearing in the following table and
examples have been rounded for ease of analysis.
|
|
Trigger
Event Has Not Occurred (1)
|
Trigger
Event Has Occurred (1)
|
|
Ending
Underlying
Level
|
Lesser
Performing
Underlying
Return
|
Note
Total
Return
|
Total
Payments over the
Term of the Notes
|
Note
Total
Return
|
Total
Payments over the
Term of the Notes
|
|
1440.00
|
80.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
1320.00
|
65.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
1200.00
|
50.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
1120.00
|
40.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
1040.00
|
30.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
960.00
|
20.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
880.00
|
10.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
840.00
|
5.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
800.00
|
0.00%
|
10.00%
|
$1,100.00
|
10.00%
|
$1,100.00
|
760.00
|
-5.00%
|
10.00%
|
$1,100.00
|
5.00%
|
$1,050.00
|
720.00
|
-10.00%
|
10.00%
|
$1,100.00
|
0.00%
|
$1,000.00
|
640.00
|
-20.00%
|
10.00%
|
$1,100.00
|
-10.00%
|
$900.00
|
560.00
|
-30.00%
|
10.00%
|
$1,100.00
|
-20.00%
|
$800.00
|
480.00
|
-40.00%
|
10.00%
|
$1,100.00
|
-30.00%
|
$700.00
|
479.92
|
-40.01%
|
N/A
|
N/A
|
-30.01%
|
$699.90
|
400.00
|
-50.00%
|
N/A
|
N/A
|
-40.00%
|
$600.00
|
320.00
|
-60.00%
|
N/A
|
N/A
|
-50.00%
|
$500.00
|
240.00
|
-70.00%
|
N/A
|
N/A
|
-60.00%
|
$400.00
|
160.00
|
-80.00%
|
N/A
|
N/A
|
-70.00%
|
$300.00
|
80.00
|
-90.00%
|
N/A
|
N/A
|
-80.00%
|
$200.00
|
0.000
|
-100.00%
|
N/A
|
N/A
|
-90.00%
|
$100.00
|
|
(1) A Trigger Event occurs if the closing level
or closing price, as applicable, of either Underlying is less than the Starting
Underlying Level of such Underlying by more than 40% on any day during the
Monitoring Period.
The following examples illustrate how the note
total returns and total payments set forth in the table above are calculated.
Example 1: The level
of the Lesser Performing Underlying increases from the Starting Underlying
Level of 800 to an Ending Underlying Level of 880. Because the Ending
Underlying Level of the Lesser Performing Underlying of 880 is greater than
its Starting Underlying Level of 800, regardless of whether a Trigger Event
has occurred, the investor receives total payments of $1,100 per $1,000 principal
amount note over the term of the notes, consisting of interest payments of
$100 per $1,000 principal amount note over the term of the notes and a payment
at maturity of $1,000 per $1,000 principal amount note. This represents
the maximum total payment an investor may receive over the term of the notes.
Example 2: A Trigger
Event has not occurred and the level of the Lesser Performing Underlying decreases
from the Starting Underlying Level of 800 to an Ending Underlying Level of
640. Even though the Ending Underlying Level of the Lesser
Performing Underlying of 640 is less than its Starting Underlying Level of
800, because a Trigger Event has not occurred, the investor receives total
payments of $1,100 per $1,000 principal amount note over the term of the notes,
consisting of interest payments of $100 per $1,000 principal amount note over
the term of the notes and a payment at maturity of $1,000 per $1,000 principal
amount note. This represents the maximum total payment an investor
may receive over the term of the notes.
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-7 |
Example 3: A Trigger
Event has occurred and the level of the Lesser Performing Underlying decreases
from the Starting Underlying Level of 800 to an Ending Underlying Level of
640. Because a Trigger Event has occurred and the Ending Underlying
Level of the Lesser Performing Underlying of 640 is less than its Starting
Underlying Level of 800, the investor receives total payments of $900 per
$1,000 principal amount note over the term of the notes, consisting of interest
payments of $100 per $1,000 principal amount note over the term of the notes
and a payment at maturity of $800 per $1,000 principal amount note, calculated
as follows:
[$1,000 + ($1,000
x -20%)] + $100 = $900
Example 4: A Trigger
Event has occurred and the level of the Lesser Performing Underlying decreases
from the Starting Underlying Level of 800 to an Ending Underlying Level of
400. Because a Trigger Event has occurred and the Ending Underlying
Level of the Lesser Performing Underlying of 400 is less than its Starting
Underlying Level of 800, the investor receives total payments of $600 per
$1,000 principal amount note over the term of the notes, consisting of interest
payments of $100 per $1,000 principal amount note over the term of the notes
and a payment at maturity of $500 per $1,000 principal amount note, calculated
as follows:
[$1,000 + ($1,000
x -50%)] + $100 = $600
Example 5: A Trigger
Event has occurred and the level of the Lesser Performing Underlying decreases
from the Starting Underlying Level of 800 to an Ending Underlying Level of
0. Because a Trigger Event has occurred and the Ending Underlying
Level of the Lesser Performing Underlying of 0 is less than its Starting Underlying
Level of 800, the investor receives total payments of $100 per $1,000 principal
amount note over the term of the notes, consisting solely of interest payments
of $100 per $1,000 principal amount note over the term of the notes, calculated
as follows:
[$1,000 + ($1,000
x -100%)] + $100 = $100
These returns and the 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 total returns and payouts shown above would likely be lower.
|
JPMorgan
Structured Investments
Callable
Yield Notes Linked to the Lesser Performing of the Russell 2000®
Index and the Market Vectors Gold Miners ETF |
TS-8 |