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CALCULATION
OF REGISTRATION FEE
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333-155535 |
| $2,000,000 Buffered Equity Notes Linked to the iShares ® MSCI Brazil Index Fund due March 6, 2012 | ||
General
The notes are designed for investors
who seek an unleveraged return equal to the appreciation of the iShares
®
MSCI Brazil Index Fund
without upside return enhancement
, up to a
maximum total return on the notes of 18.00% at maturity. Investors should be
willing to forgo interest and dividend payments and, if the Final Share Price
is less than the Initial Share Price by more than 28%, be willing to lose up to
72% of their principal. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
Senior unsecured obligations of
JPMorgan Chase & Co. maturing March 6, 2012
Minimum denominations of $1,000 and
integral multiples thereof
The notes priced on September 1, 2010 and are expected to settle on or
about September 7, 2010.
Key Terms
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Investing in the Buffered Equity Notes involves a number of risks. See
Risk Factors beginning on page PS-10 of the accompanying product supplement
no. 39-A-VI and Selected Risk Considerations beginning on page PS-2 of this
pricing supplement.
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 pricing supplement or the accompanying prospectus supplement
and prospectus. Any representation to the contrary is a criminal offense.
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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.
September 1, 2010
Additional Terms
Specific to the Notes
You should read this pricing
supplement 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. 39-A-VI dated February 22, 2010.
This pricing supplement, together with the documents
listed below, contains the terms of the notes, supplements the amended and
restated term sheet related hereto dated September 1, 2010 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. 39-A-VI, 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. 39-A-VI dated February 22, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000670/e37841_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 pricing supplement, the Company, we,
us or our refers to JPMorgan Chase & Co.
Selected Purchase Considerations
UNLEVERAGED APPRECIATION POTENTIAL
The notes provide the opportunity
to earn an unleveraged return at maturity equal to the appreciation of the Fund
Return,
without upside return enhancement
, up to the Maximum Total
Return on the notes of 18.00%, for a maximum payment at maturity of $1,180 per $1,000 principal amount note. Because
the notes are our senior unsecured obligations, payment of any amount at
maturity is subject to our ability to pay our obligations as they become due.
LIMITED PROTECTION AGAINST LOSS
We will pay you your principal back
at maturity if the Final Share Price is not less than the Initial Share Price
by more than 28%. If the Final Share Price is less than the Initial Share
Price by more than 28%, for every 1% that the Final Share Price is less than
the Initial Share Price by more than 28%, you will lose an amount equal to 1%
of the principal amount of your notes. Accordingly, if you hold your notes to maturity,
at maturity you will receive a payment equal to at least $280 per $1,000
principal amount note, subject to the credit risk of JPMorgan Chase & Co.
RETURN LINKED TO THE
iSHARES
®
MSCI BRAZIL INDEX FUND
The return on the notes is linked to the iShares
®
MSCI Brazil Index Fund. The
iShares
®
MSCI
Brazil Index Fund is an exchange-traded fund of iShares
®
, Inc.,
which is a registered investment company that consists of numerous separate
investment portfolios. The iShares
®
MSCI Brazil Index Fund seeks to
provide investment results that correspond generally to the price and yield
performance, before fees and expenses, of publicly traded securities in the
Brazilian equity market, as measured by the MSCI Brazil Index, which we refer
to as the Underlying Index. The Underlying Index is an equity benchmark for
Brazilian stock performance, and is designed to measure equity market
performance in Brazil.
For
additional information about the
iShares
®
MSCI Brazil Index Fund
, see the information set forth in Appendix A.
TAX TREATMENT
You
should review carefully the section entitled Certain U.S. Federal Income Tax
Consequences in the accompanying product supplement no. 39-A-VI. Subject to
the limitations described therein, and based on certain factual representations
received from us, in the opinion of our special tax counsel, Davis Polk &
Wardwell
LLP
, it is reasonable to treat the notes as open transactions for
U.S. federal income tax purposes that, subject to the discussion of the
constructive ownership rules in the following sentence, generate long-term
capital gain or loss if held for more than one year. The notes may be treated
as subject to the constructive ownership rules of Section 1260 of the Internal
Revenue Code of 1986, as amended (the Code), in which case any gain
recognized in respect of the notes that would otherwise be long-term capital
gain and that is in excess of the net underlying long-term capital gain (as
defined in Section 1260) would be treated as ordinary income, and an interest
charge would apply as if that income had accrued for tax purposes at a constant
yield over the notes term. Our special tax counsel has not expressed an
opinion with respect to whether the constructive ownership rules apply to the
notes. Accordingly, U.S. Holders should consult their tax advisers regarding
the potential application of the constructive ownership rules. 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, such as the notes. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by Non-U.S. Holders should be subject to withholding tax; and whether these instruments are or should be subject to the constructive ownership regime described above. While the notice requests comments on appropriate transition rules and effective dates, 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. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the notes, including the potential application of the constructive ownership rules, 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. The discussion in the preceding paragraph, when read in combination with the section entitled Certain U.S. Federal Income Tax Consequences in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Selected Risk Considerations
An investment in the notes involves
significant risks. Investing in the notes is not equivalent to investing
directly in the Index Fund or any of the equity securities held by the Index
Fund. These risks are explained in more detail in the Risk Factors section
of the accompanying product supplement no. 39-A-VI dated February 22, 2010.
YOUR INVESTMENT IN THE NOTES MAY
RESULT IN A LOSS
The
notes do not guarantee any return of principal. The return on the notes at
maturity is linked to the performance of the Index Fund and will depend on
whether, and the extent to which, the Fund Return is positive or negative. Your
investment will be exposed to loss if the Final Share Price is less than the
Initial Share Price by more than 28%. Accordingly, you could lose up to $720
for each $1,000 principal amount note that you invest in.
YOUR MAXIMUM GAIN ON THE NOTES IS
LIMITED TO THE MAXIMUM TOTAL RETURN
If the Final Share Price is greater than the Initial Share
Price, for each $1,000 principal amount note, you will receive at maturity
$1,000 plus an additional amount that will not exceed the Maximum Total Return
on the notes of 18.00%, regardless of the appreciation in the Index Fund, which
may be significant.
| PS-1 |
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, 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 affect adversely 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 and hedging our obligations under the notes. 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.
CERTAIN BUILT-IN COSTS
ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY
While the payment at
maturity described in this pricing supplement 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 set forth under Many Economic
and Market Factors Will Affect 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.
NO INTEREST OR DIVIDEND PAYMENTS OR
VOTING RIGHTS
As a
holder of the notes, you will not receive interest payments, and you will not
have voting rights or rights to receive cash dividends or other distributions
or other rights that the holders of shares of the Index Fund or securities held
by the Index Fund or included in the Underlying Index would have.
THERE ARE RISKS
ASSOCIATED WITH THE INDEX FUND
Although the Index Funds shares are listed for
trading on NYSE Arca, Inc. (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 Index Fund or that there will be liquidity in the trading market.
In
addition, BlackRock Fund Advisors (BFA) is the Index Funds investment
adviser. The Index Fund is subject to management risk, which is the risk that
the investment strategies of the investment adviser, 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 Index Fund, and consequently, the
value of the notes.
DIFFERENCES BETWEEN THE INDEX FUND
AND THE UNDERLYING INDEX
The Index Fund does not fully
replicate the Underlying Index, may hold securities not included in the
Underlying Index and its performance will reflect additional transaction costs
and fees that are not included in the calculation of the Underlying Index, all
of which may lead to a lack of correlation between the Index Fund and the
Underlying 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 Index Fund and the Underlying Index. Finally, because the shares
of the Index Fund are traded on NYSE Arca, and are subject to market supply and
investor demand, the market value of one share of the Index Fund may differ
from the net asset value per share of the Index Fund. For all of the foregoing
reasons, the performance of the Index Fund may not correlate with the
performance of the Underlying Index.
NON-U.S. SECURITIES RISK
The equity securities underlying
the Index Fund have been issued by non-U.S. companies (primarily Brazilian
companies). Investments in securities linked to the value of such
non-U.S. equity securities involve risks associated with the securities markets
in those countries (including Brazil), including risks of volatility in those
markets, government intervention in those markets and cross shareholdings in
companies in certain countries. Also, there is generally less publicly
available information about companies in some of these jurisdictions than there
is about U.S. companies that are subject to the
reporting requirements of the SEC, and generally non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements and
securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in
foreign markets may be affected by political, economic, financial and social
factors in those countries, or global regions, including changes in government,
economic and fiscal policies and currency exchange laws.
CURRENCY EXCHANGE RISK
Because the prices of the equity securities underlying
the Index Fund are converted into U.S. dollars for the purposes of calculating
the net asset value of the Index Fund, your notes will be exposed to currency
exchange rate risk with respect to the currencies in which securities underlying
the Index Fund are traded, which is primarily the Brazilian real. Your net
exposure will depend on the extent to which the currencies in which securities
underlying the Index Fund are traded strengthen or weaken against the U.S. dollar. If the U.S. dollar strengthens against the currencies in which securities underlying the Index Fund are traded, the net asset value of the Index Fund will be adversely affected and the amount we pay you at maturity, if any, may be reduced. Of particular importance to potential currency exchange risk are:
existing and expected rates of inflation;
existing and expected interest rate
levels;
the balance of payments; and
the extent of government surpluses or
deficits in Brazil and the United States.
| PS-2 |
EMERGING MARKETS RISK
The equity securities underlying the Index Fund
have been issued by non-U.S. companies located primarily in Brazil,
which is an emerging markets country. Countries with emerging markets may
have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the
repatriation of assets, and may have less protection of property rights than
more developed countries. The economies of countries with emerging
markets may be based on only a few industries, may be highly vulnerable to
changes in local or global trade conditions, and may suffer from extreme and
volatile debt burdens or inflation rates. Local securities markets may
trade a small number of securities and may be unable to respond effectively to
increases in trading volume, potentially making prompt liquidation of holdings
difficult or impossible at times. Moreover, the economies in such
countries may differ favorably or unfavorably from the economy in the United States
in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency. Any of the
foregoing could adversely affect the market value of shares of the Index Fund
and the notes.
LACK OF LIQUIDITY
The notes will not be listed on any securities exchange. JPMS
intends to offer to 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.
THE ANTI-DILUTION PROTECTION FOR THE INDEX FUND IS LIMITED
The
calculation agent will make adjustments to the Share Adjustment Factor for
certain events affecting the shares of the Index Fund. However, the
calculation agent will not make an adjustment in response to all events that
could affect the shares of the Index Fund. 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 AFFECT THE
VALUE OF THE NOTES
In addition to
the prices of the Index Fund 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:
the expected volatility of the Index Fund;
the time to maturity of the notes;
the dividend rates on the Index Fund and the equity
securities underlying the Index Fund;
interest and yield rates in the market generally as
well as in the markets of the equity securities held by the Index Fund;
a variety of economic, financial, political, regulatory
and judicial events;
the exchange rate and the volatility of
the exchange rate between the U.S. dollar and the currencies in which the
equity securities held by the Index Fund trade and the correlation between
those rates and the prices of shares of the Index Fund;
the occurrence of certain events to the
Index Fund that may or may not require an adjustment to the
Share Adjustment Factor; and
our creditworthiness, including actual or anticipated
downgrades in our credit ratings.
| PS-3 |
What Is
the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Index Fund?
The following table, graph and examples illustrate the hypothetical
total return at maturity on the notes. The total return as used in this
pricing supplement 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 Share Price of
$70.00 and reflect the Maximum Total Return on the notes of 18.00% and the
Buffer Amount of 28%. The hypothetical total returns set forth below are for
illustrative purposes only and may not be the actual total return 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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$126.00 |
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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: The closing price of one share of the Index Fund
increases from the Initial Share Price of $70 to a Final Share Price of $77.
Because the Final Share Price of $77
is greater than the Initial Share Price of $70 and the Fund Return of 10% does
not exceed the Maximum Total Return of 18%, the investor receives a payment at
maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x 10%) = $1,100
Example 2: The closing price of one share of the Index Fund decreases from
the Initial Share Price of $70 to a Final Share Price of $56.
Although the Fund Return is negative,
because the Final Share Price of $56 is less than the Initial Share Price of $70
by not more than the Buffer Amount of 28%, the investor receives a payment at
maturity of $1,000 per $1,000 principal amount note.
Example 3: The closing price of one
share of the Index Fund increases from the Initial Share Price of $70 to a
Final Share Price of $91.
Because the Final Share Price of $91 is greater than the Initial Share
Price of $70 and the Fund Return of 30% exceeds the Maximum Total Return of 18.00%,
the investor receives a payment at maturity of $1,180 per $1,000 principal
amount note, the maximum payment on the notes.
Example 4: The closing price of one
share of the Index Fund decreases from the Initial Share Price of $70 to a
Final Share Price of $42.
Because the Fund Return is negative and the Final Share Price of $42 is
less than the Initial Share Price of $70 by more than the Buffer Amount of 28%,
the investor receives a payment at maturity of $880 per $1,000 principal amount
note, calculated as follows:
$1,000 + [$1,000
x (-40% + 28%)] = $880
Example 5: The closing price of one share of the Index Fund decreases from
the Initial Share Price of $70 to a Final Share Price of $0.
Because the Fund Return is negative
and the Final Share Price of $0 is less than the Initial Share Price of $70 by
more than the Buffer Amount of 28%, the investor receives a payment at maturity
of $280 per $1,000 principal amount note calculated as follows:
$1,000 +
[$1,000 x (-100% + 28%)] = $280
| PS-4 |
Historical Information
The
following graph sets forth the historical performance of the iShares
®
MSCI Brazil Index Fund based on the weekly closing price of one share of the
Index Fund from January 7, 2005 through August 27, 2010. The closing price of
one share of the Index Fund on September
1, 2010 was $70.58. We obtained the
closing prices of one share of the Index Fund 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 prices of one share of the Index Fund should not be taken as an
indication of future performance, and no assurance can be given as to the
closing price of one share of the Index Fund on the Observation Date. We
cannot give you assurance that the performance of the Index Fund will result in
the return of any of your initial investment.
| PS-5 |
Appendix A
The iShares
®
MSCI Brazil Index Fund
We have derived all information
contained in this pricing supplement regarding the iShares
®
MSCI
Brazil Index Fund, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available
information. Such information reflects the policies of, and is subject to
change by, iShares
®
, Inc., BlackRock Institutional Trust Company,
N.A. (BTC) and BlackRock Fund Advisors (BFA). The iShares
®
MSCI
Brazil Index Fund is an investment portfolio maintained and managed by iShares
®
,
Inc. BFA is currently the investment adviser to the iShares
®
MSCI
Brazil Index Fund. The iShares
®
MSCI Brazil Index Fund is an
exchange-traded fund (ETF) that trades on the NYSE Arca under the ticker
symbol EWZ. We make no representations or warranty as to the accuracy or
completeness of the information derived from these public sources.
iShares
®
, Inc. is a
registered investment company that consists of numerous separate investment
portfolios, including the iShares
®
MSCI Brazil Index Fund.
Information provided to or filed with the SEC by iShares
®
, Inc.
pursuant to the Securities Act of 1933 and the Investment Company Act of 1940
can be located by reference to SEC file numbers 033-97598 and 811-09102,
respectively, through the SECs website at http://www.sec.gov. For additional
information regarding iShares
®
, Inc., BFA and the iShares
®
MSCI Brazil Index Fund, please see the Prospectus, dated January 1, 2010 (as supplemented on February 2, 2010). In addition, information about
iShares
®
and the iShares
®
MSCI Brazil Index Fund may be
obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents and the iShares
®
website at www.ishares.com. We make no representation or warranty as to the
accuracy or completeness of such information. Information contained in the
iShares
®
website is not incorporated by reference in, and should not
be considered a part of, this pricing supplement.
Investment Objective and Strategy
The iShares
®
MSCI Brazil
Index Fund seeks to provide investment results that correspond generally to the
price and yield performance, before fees and expenses, of publicly traded
securities in the Brazilian market, as measured by the MSCI Brazil Index. The
iShares
®
Brazil Index Fund holds equity securities traded primarily
in Brazil. The MSCI Brazil Index was developed
by MSCI Inc. (MSCI) as an equity benchmark for Brazilian stock performance,
and is designed to measure equity market performance in Brazil. For more information on the MSCI Brazil Index and the
index calculation methodology used to formulate the MSCI Brazil Index (and
which is also used to formulate the indices included in the MSCI Global Index
Series), see The MSCI Indices beginning on page PS-95 of the accompanying
product supplement no. 39-A-VI.
As of July 30, 2010, the iShares
®
MSCI Brazil Index Funds three largest equity securities were Petrobras
Petroleo Brasileiro SA, Preferred; Cia Vale do Rio Doce, Preferred-Class A and
Itau Unibanco Banco Multiplo SA. Its three largest sectors were materials, financials
and energy.
The iShares
®
MSCI Brazil
Index Fund uses a representative sampling strategy (as described below under
Representative Sampling) to try to track the MSCI Brazil Index. The iShares
®
MSCI Brazil Index Fund generally invests at least 95% of its assets in the
securities of the MSCI Brazil Index and in depositary receipts representing
securities included in the MSCI Brazil Index. The iShares
®
MSCI
Brazil Index Fund will at all times invest at least 80% of its assets in the
securities of the MSCI Brazil Index or in depositary receipts representing
securities included in the MSCI Brazil Index. The iShares
®
MSCI
Brazil Index Fund may invest the remainder of its assets in other securities,
including securities not in the MSCI Brazil Index, futures contracts, options
on futures contracts, other types of options and swaps related to the MSCI
Brazil Index, as well as cash and cash equivalents, including share of money
market funds affiliated with BFA or its affiliates.
Representative Sampling
BFA uses a representative sampling indexing
strategy to manage the iShares
®
MSCI Brazil Index Fund. Representative sampling is an indexing strategy that
involves investing in a
representative sample of securities that collectively has an investment profile
similar to the MSCI Brazil Index. Securities selected are expected to have, in
the aggregate, investment characteristics (based on market capitalization and
industry weightings), fundamental characteristics (such as return variability
and yield) and liquidity measures similar to those of the MSCI Brazil Index.
The iShares
®
MSCI Brazil Index Fund may or may
not hold all of the securities in the MSCI Brazil Index.
Correlation
The MSCI Brazil Index is a
theoretical financial calculation, while the iShares
®
MSCI Brazil
Index Fund is an actual investment portfolio. The performance of the iShares
®
MSCI Brazil Index Fund and the MSCI Brazil Index may vary due to transaction
costs, foreign currency valuation, asset valuations, corporate actions (such as
mergers and spin-offs), timing variances, and differences between the iShares
®
MSCI Brazil Index Funds portfolio and the MSCI Brazil Index resulting from
legal restrictions (such as diversification requirements) that apply to the
iShares
®
MSCI Brazil Index Fund but not to the MSCI Brazil Index or
the use of representative sampling. Tracking error is the difference between
the perfromance (return) of a funds portfolio and that of its underlying
index. BFA expects that, over time, the iShares
®
MSCI Brazil Index
Funds tracking error will not exceed 5%. The iShares
®
MSCI Brazil
Index Fund, using a representative sampling strategy, can be expected to have a
greater tracking error than a fund using replication strategy. Replication is
a strategy in which a fund invests in substantially all of the securities in
its underlying index in approximately the same proportions as in the underlying
index.
| PS-6 |
Industry Concentration Policy
The iShares
®
MSCI Brazil
Index Fund will concentrate its investments (
i.e.
, hold 25% or more of
its total assets) in a particular industry or group of industries to
approximately the same extent that the MSCI Brazil Index is concentrated. For
purposes of this limitation, securities of the U.S. government (including its agencies and instrumentalities) and
repurchase agreements collateralized by U.S.
government securities are not considered to be issued by members of any
industry.
Holdings Information
As of July 30, 2010, 99.54% of the
iShares
®
MSCI Brazil Index Funds holdings consisted of equity
securities, 0.00% consisted of cash and 0.46% was in other assets, including
dividends booked but not yet received. The following tables summarize the
iShares
®
MSCI Brazil Index Funds top holdings in individual
companies and by sector as of such date.
Top holdings in individual securities as of July 30, 2010
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Top holdings by sector as of July 30, 2010
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The information above was compiled
from the iShares
®
website. We make no representation or warranty as
to the accuracy or completeness of such information. Information contained in the iShares
®
website is not incorporated by reference in, and should not be considered a
part of, this pricing supplement.
Disclaimer
The notes are not sponsored, endorsed,
sold or promoted by BTC. BTC makes no representations or warranties to the
owners of the notes or any member of the public regarding the advisability of
investing in the notes. BTC has no obligation or liability in connection with
the operation, marketing, trading or sale of the notes.
| PS-7 |
Read the news article:http://br.advfn.com/noticias/gb/Prospectus-filed-pursuant-to-Rule-424b2-424B2_44244323.html
