CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$1,566,000 |
$181.81 |
Pricing
supplement no. 1295 |
Registration
Statement No. 333-155535 |
Structured |
$266,000 (LVS) $226,000 (SLW) $318,000 (BIDU) $498,000 (GT)
$218,000 (MGM) |
General
Key Terms
Payment at Maturity: |
The payment at maturity, in excess of any accrued and unpaid interest, is based on the performance of the applicable Reference Stock. You will receive $1,000 for each $1,000 principal amount note, plus any accrued and unpaid interest at maturity, unless: |
|
(1)
|
the applicable Final Share Price is less than the applicable Initial Share Price; and | |
(2)
|
on any day during the Monitoring Period, the closing price of the applicable Reference Stock is less than the applicable Initial Share Price by more than the applicable Protection Amount. | |
If the conditions described in both (1) and (2) are satisfied, at maturity you will receive, in addition to any accrued and unpaid interest, instead of the principal amount of your notes, the number of shares of the applicable Reference Stock equal to the applicable Physical Delivery Amount (or, at our election, the Cash Value thereof). Fractional shares will be paid in cash. The market value of the Physical Delivery Amount or the Cash Value thereof will most likely be substantially less than the principal amount of your notes, and may be zero. | ||
Pricing Date: |
May 13, 2011 |
|
Settlement Date: |
On or about May 18, 2011 |
|
Observation Date: |
November 15, 2011* |
|
Maturity Date: |
November 18, 2011* |
|
Interest Payment Dates: |
Interest on the notes will be payable monthly in arrears on the 18th calendar day of each month, up to and including the final monthly interest payment, which will be payable on the Maturity Date (each such date, an Interest Payment Date), commencing June 18, 2011. See Selected Purchase Considerations Monthly Interest Payments in this pricing supplement for more information. |
|
Other Key Terms: |
See Additional Key Terms on page PS-1 of this pricing supplement. |
Approximate
Tax Allocation of |
||||||||||
Page
Number |
Ticker
Symbol |
Principal
Amount |
Interest Rate
|
Protection
Amount |
Initial
Share Price |
CUSIP
|
Approximate
Monthly Coupon |
Interest on
Deposit |
Put Premium
|
|
Las Vegas Sands |
PS-4 |
LVS |
$1,000 |
7.75% |
20.00% of the |
$42.60 |
48125XPP5 |
$12.92 |
2.13% |
97.87% |
Silver Wheaton Corp. |
PS-6 |
SLW |
$1,000 |
10.25% |
20.00% of the |
$34.10 |
48125XPQ3 |
$17.08 |
1.61% |
98.39% |
Baidu, Inc. (ADS) |
PS-8 |
BIDU |
$1,000 |
6.50% |
20.00% of the |
$131.28 |
48125XPR1 |
$10.83 |
2.54% |
97.46% |
The Goodyear Tire & |
PS-10 |
GT |
$1,000 |
7.50% |
20.00% of the |
$17.77 |
48125XPS9 |
$12.50 |
2.20% |
97.80% |
MGM Resorts |
PS-12 |
MGM |
$1,000 |
8.125% |
20.00% of the |
$14.72 |
48125XPT7 |
$13.54 |
2.03% |
97.97% |
* |
Subject to postponement in the event of a market disruption event and as described under Description of Notes Payment at Maturity in the accompanying product supplement no. 34-A-II. |
|
Based on one reasonable treatment of the notes, as described herein under Selected Purchase Considerations Tax Treatment as a Unit Comprising a Put Option and a Deposit and in the accompanying product supplement no. 34-A-II under Certain U.S. Federal Income Tax Consequences on page PS-32. |
Investing in the Reverse Exchangeable Notes involves a number of risks. See Risk Factors beginning on page PS-7 of the accompanying product supplement no. 34-A-II 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.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
Las Vegas Sands Corp. |
|
|
|
Per note |
$1,000 |
$35 |
$965 |
Total |
$266,000 |
$9,310 |
$256,690 |
Silver Wheaton Corp. |
|
|
|
Per note |
$1,000 |
$40 |
$960 |
Total |
$226,000 |
$9,040 |
$216,960 |
Baidu, Inc. (ADS) |
|
|
|
Per note |
$1,000 |
$42.50 |
$957.50 |
Total |
$318,000 |
$13,515 |
$304,485 |
The Goodyear Tire & Rubber Company |
|
|
|
Per note |
$1,000 |
$34 |
$966 |
Total |
$498,000 |
$16,932 |
$481,068 |
MGM Resorts International |
|
|
|
Per note |
$1,000 |
$31.50 |
$968.50 |
Total |
$218,000 |
$6,867 |
$211,133 |
(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) |
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive commissions of $35.00, $40.00, $42.50, $34.00 and $31.50 per $1,000 principal amount note linked to the common stock of Las Vegas Sands Corp., Silver Wheaton Corp., Baidu, Inc. (ADS), The Goodyear Tire & Rubber Company and MGM Resorts International, respectively, and will use a portion of such commissions to pay selling concessions to other affiliated or unaffiliated dealers of $24.89, $27.50, $24.43, $23.15 and $23.25 per $1,000 principal amount note for notes linked to the common stock of Las Vegas Sands Corp., Silver Wheaton Corp., Baidu, Inc. (ADS), The Goodyear Tire & Rubber Company and MGM Resorts International, respectively. 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 concessions of $24.89, $27.50, $24.43, $23.15 and $23.25 per $1,000 principal amount note for notes linked to the common stock of Las Vegas Sands Corp., Silver Wheaton Corp., Baidu, Inc. (ADS), The Goodyear Tire & Rubber Company and MGM Resorts International include concessions allowed to selling dealers and concessions allowed to any arranging dealer. See Plan of Distribution (Conflicts of Interest) beginning on page PS-37 of the accompanying product supplement no. 34-A-II. |
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.
May 13, 2011
This pricing supplement relates to five (5) separate note offerings. Each issue of offered notes is linked to one, and only one, Reference Stock. The purchaser of a note will acquire a security linked to a single Reference Stock (not to a basket or index that includes another Reference Stock). You may participate in any of the five (5) note offerings or, at your election, in two or more of the offerings. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. While each note offering relates only to a single Reference Stock identified on the cover page, you should not construe that fact as a recommendation of the merits of acquiring an investment linked to that Reference Stock (or any other Reference Stock) or as to the suitability of an investment in 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. 34-A-II dated February 7, 2011. This pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related hereto dated May 2, 2011 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. 34-A-II, 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. 34-A-II dated February 7, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211000867/e42001_424b2.pdf
Prospectus supplement dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_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.
Additional Key Terms:
Monitoring Period: |
The period from the Pricing Date to and including the Observation Date. |
Physical Delivery Amount: |
The number of shares of the applicable Reference Stock, per $1,000 principal amount note, equal to $1,000 divided by the applicable Initial Share Price, subject to adjustments. |
Cash Value: |
For each Reference Stock, the amount in cash equal to the product of (1) $1,000 divided by the Initial Share Price of such Reference Stock and (2) the Final Share Price of such Reference Stock, subject to adjustments. |
Initial Share Price: |
The closing price of the applicable Reference Stock on the Pricing Date. The Initial Share Price is subject to adjustments in certain circumstances. See Description of Notes Payment at Maturity and General Terms of Notes Anti-dilution Adjustments in the accompanying product supplement no. 34-A-II for further information about these adjustments. |
Final Share Price: |
The closing price of the applicable Reference Stock on the Observation Date. |
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments |
PS-1 |
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in any of the Reference Stocks. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 34-A-II dated February 7, 2011.
|
|
JPMorgan
Structured Investments |
PS-2 |
|
|
JPMorgan
Structured Investments |
PS-3 |
The Reference Stocks
Public Information
All information contained herein on the Reference Stocks and on the Reference Stock issuers is derived from publicly available sources and is provided for informational purposes only. Companies with securities registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, are required to periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC by a Reference Stock issuer pursuant to the Exchange Act can be located by reference to the SEC file number provided below and can be accessed through www.sec.gov. We do not make any representation that these publicly available documents are accurate or complete. See The Reference Stock beginning on page PS-18 of the accompanying product supplement no. 34-A-II for more information.
Las Vegas Sands Corp. (Las Vegas Sands)
According to its publicly available filings with the SEC, Las Vegas Sands and its subsidiaries own and operate The Venetian Resort Hotel Casino, The Palazzo Resort Hotel Casino, The Sands Expo and Convention Center and The Congress Center in Las Vegas, Nevada, and the Sands Macao and The Venetian Macao Resort Hotel, the Four Seasons Hotel Macao, Cotai StripTM and The Plaza Casino in Macao, China; the Marina Bay Sands in Singapore; and the Sands Casino Resort Bethlehem in Bethlehem, Pennsylvania. The common stock of Las Vegas Sands, par value $0.001 per share, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Las Vegas Sands in the accompanying product supplement no. 34-A-II. Las Vegas Sands SEC file number is 001-32373.
Historical Information of the Common Stock of Las Vegas Sands
The following graph sets forth the historical performance of the common stock of Las Vegas Sands based on the weekly closing price (in U.S. dollars) of the common stock of Las Vegas Sands from January 6, 2006 through May 13, 2011. The closing price of the common stock of Las Vegas Sands on May 13, 2011 was $42.60. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Las Vegas Sands has experienced significant fluctuations. The historical performance of the common stock of Las Vegas Sands should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Las Vegas Sands during the term of the notes. We cannot give you assurance that the performance of the common stock of Las Vegas Sands will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Las Vegas Sands will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Las Vegas Sands.
|
|
JPMorgan
Structured Investments |
PS-4 |
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Las Vegas Sands, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the columns titled Hypothetical lowest closing price during the Monitoring Period and Hypothetical lowest closing price expressed as a percentage of Initial Share Price during the Monitoring Period. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: |
$42.60 |
the Protection Amount (in U.S. dollars): $8.52 |
the Interest Rate: |
7.75% (equivalent to 15.50% per annum) |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$42.60 |
100% |
$85.20 |
200% |
$1,000.00 |
$1,000.00 |
$21.30 |
50% |
$44.73 |
105% |
$1,000.00 |
$1,000.00 |
$42.60 |
100% |
$42.60 |
100% |
$1,000.00 |
$1,000.00 |
$34.08 |
80% |
$34.08 |
80% |
$1,000.00 |
$1,000.00 |
$21.30 |
50% |
$40.47 |
95% |
23 shares of the |
$950.00 |
$21.30 |
50% |
$21.30 |
50% |
23 shares of the |
$500.00 |
$10.65 |
25% |
$10.65 |
25% |
23 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
23 shares of the |
$0.00 |
** |
Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash. |
The following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $21.30 but the Final Share Price is $44.73. Because the Final Share Price of $44.73 is greater than the Initial Share Price of $42.60, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $21.30 and the Final Share Price is $40.47. Because the Final Share Price of $40.47 is less than the Initial Share Price of $42.60 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $40.47, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.00.
Example 3: The closing price of the Reference Stock does not decline, as compared with the Initial Share Price, by more than the Protection Amount on any day during the Monitoring Period prior to the Observation Date. However, the closing price of the Reference Stock on the Observation Date is $21.30, a decline of more than the Protection Amount. Because the Final Share Price of $21.30 is less than the Initial Share Price of $42.60 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $21.30, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.00.
Example 4: The Final Share Price of $34.08 is less than the Initial Share Price of $42.60 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $34.08 is less than the Initial Share Price of $42.60.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of $77.50 over the term of the notes. The actual number of shares of the Reference Stock, or the Cash Value thereof, you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $42.60, the Protection Amount was $8.52 and the Physical Delivery Amount was 23.4742 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-5 |
According to its publicly available filings with the SEC, Silver Wheaton, a Canadian company, together with its subsidiaries, operates as a silver streaming company. The common stock of Silver Wheaton, no par value, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Silver Wheaton in the accompanying product supplement no. 34-A-II. Silver Wheatons SEC file number is 001-32482.
Historical Information of the Common Stock of Silver Wheaton
The following graph sets forth the historical performance of the common stock of Silver Wheaton based on the weekly closing price (in U.S. dollars) of the common stock of Silver Wheaton from May 12, 2006 through May 13, 2011. The common stock of Silver Wheaton commenced trading on the New York Stock Exchange on May 9, 2006. The closing price of the common stock of Silver Wheaton on May 13, 2011 was $34.10. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Silver Wheaton has experienced significant fluctuations. The historical performance of the common stock of Silver Wheaton should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Silver Wheaton during the term of the notes. We cannot give you assurance that the performance of the common stock of Silver Wheaton will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Silver Wheaton will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Silver Wheaton.
|
|
JPMorgan
Structured Investments |
PS-6 |
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Silver Wheaton, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the columns titled Hypothetical lowest closing price during the Monitoring Period and Hypothetical lowest closing price expressed as a percentage of Initial Share Price during the Monitoring Period. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: |
$34.10 |
the Protection Amount (in U.S. dollars): $6.82 |
the Interest Rate: |
10.25% (equivalent to 20.50% per annum) |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$34.10 |
100% |
$68.20 |
200% |
$1,000.00 |
$1,000.00 |
$17.05 |
50% |
$35.81 |
105% |
$1,000.00 |
$1,000.00 |
$34.10 |
100% |
$34.10 |
100% |
$1,000.00 |
$1,000.00 |
$27.28 |
80% |
$27.28 |
80% |
$1,000.00 |
$1,000.00 |
$17.05 |
50% |
$32.40 |
95% |
29 shares of the |
$950.00 |
$17.05 |
50% |
$17.05 |
50% |
29 shares of the |
$500.00 |
$8.53 |
25% |
$8.53 |
25% |
29 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
29 shares of the |
$0.00 |
** |
Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash. |
The following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $17.05 but the Final Share Price is $35.81. Because the Final Share Price of $35.81 is greater than the Initial Share Price of $34.10, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $17.05 and the Final Share Price is $32.40. Because the Final Share Price of $32.40 is less than the Initial Share Price of $34.10 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $32.40, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.00.
Example 3: The closing price of the Reference Stock does not decline, as compared with the Initial Share Price, by more than the Protection Amount on any day during the Monitoring Period prior to the Observation Date. However, the closing price of the Reference Stock on the Observation Date is $17.05, a decline of more than the Protection Amount. Because the Final Share Price of $17.05 is less than the Initial Share Price of $34.10 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $17.05, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.00.
Example 4: The Final Share Price of $27.28 is less than the Initial Share Price of $34.10 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $27.28 is less than the Initial Share Price of $34.10.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of $102.50 over the term of the notes. The actual number of shares of the Reference Stock, or the Cash Value thereof, you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $34.10, the Protection Amount was $6.82 and the Physical Delivery Amount was 29.3255 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-7 |
According to its publicly available filings with the SEC, Baidu, a Chinese company, is a Chinese language Internet search provider. The ADSs of Baidu, each representing one-tenth of a class A ordinary share, par value $0.00005 per share, is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange for purposes of Baidu in the accompanying product supplement no. 34-A-II. Baidus SEC file number is 000-51469.
Historical Information of the ADSs of Baidu
The following graph sets forth the historical performance of the ADSs of Baidu based on the weekly closing price (in U.S. dollars) of the ADSs of Baidu from January 6, 2006 through May 13, 2011. The closing price of the ADSs of Baidu on May 13, 2011 was $131.28. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the ADSs of Baidu has experienced significant fluctuations. The historical performance of the ADSs of Baidu should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the ADSs of Baidu during the term of the notes. We cannot give you assurance that the performance of the ADSs of Baidu will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Baidu will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the ADSs of Baidu.
|
|
JPMorgan
Structured Investments |
PS-8 |
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the ADSs of Baidu, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the columns titled Hypothetical lowest closing price during the Monitoring Period and Hypothetical lowest closing price expressed as a percentage of Initial Share Price during the Monitoring Period. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: |
$131.30 |
the Protection Amount (in U.S. dollars): $26.26 |
|
the Interest Rate: |
6.50% (equivalent to 13.00% per annum) |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$131.30 |
100% |
$262.60 |
200% |
$1,000.00 |
$1,000.00 |
$65.65 |
50% |
$137.87 |
105% |
$1,000.00 |
$1,000.00 |
$131.30 |
100% |
$131.30 |
100% |
$1,000.00 |
$1,000.00 |
$105.04 |
80% |
$105.04 |
80% |
$1,000.00 |
$1,000.00 |
$65.65 |
50% |
$124.74 |
95% |
7 shares of the |
$950.04 |
$65.65 |
50% |
$65.65 |
50% |
7 shares of the |
$500.00 |
$32.83 |
25% |
$32.83 |
25% |
7 shares of the |
$250.04 |
$0.00 |
0% |
$0.00 |
0% |
7 shares of the |
$0.00 |
** |
Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash. |
The following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $65.65 but the Final Share Price is $137.87. Because the Final Share Price of $137.87 is greater than the Initial Share Price of $131.30, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $65.65 and the Final Share Price is $124.74. Because the Final Share Price of $124.74 is less than the Initial Share Price of $131.30 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $124.74, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.04.
Example 3: The closing price of the Reference Stock does not decline, as compared with the Initial Share Price, by more than the Protection Amount on any day during the Monitoring Period prior to the Observation Date. However, the closing price of the Reference Stock on the Observation Date is $65.65, a decline of more than the Protection Amount. Because the Final Share Price of $65.65 is less than the Initial Share Price of $131.30 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $65.65, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.00.
Example 4: The Final Share Price of $105.04 is less than the Initial Share Price of $131.30 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $105.04 is less than the Initial Share Price of $131.30.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of $65.00 over the term of the notes. The actual number of shares of the Reference Stock, or the Cash Value thereof, you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $131.28, the Protection Amount was $26.256 and the Physical Delivery Amount was 7.6173 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-9 |
According to its publicly available filings with the SEC, Goodyear Tire engages in the manufacturing of tires, with operations around the world. The common stock of Goodyear Tire, no par value, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Goodyear Tire in the accompanying product supplement no. 34-A-II. Goodyear Tires SEC file number is 001-01927.
Historical Information of the Common Stock of Goodyear Tire
The following graph sets forth the historical performance of the common stock of Goodyear Tire based on the weekly closing price (in U.S. dollars) of the common stock of Goodyear Tire from January 6, 2006 through May 13, 2011. The closing price of the common stock of Goodyear Tire on May 13, 2011 was $17.77. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of Goodyear Tire has experienced significant fluctuations. The historical performance of the common stock of Goodyear Tire should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of Goodyear Tire during the term of the notes. We cannot give you assurance that the performance of the common stock of Goodyear Tire will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Goodyear Tire will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Goodyear Tire.
|
|
JPMorgan
Structured Investments |
PS-10 |
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Goodyear Tire, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the columns titled Hypothetical lowest closing price during the Monitoring Period and Hypothetical lowest closing price expressed as a percentage of Initial Share Price during the Monitoring Period. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: |
$17.80 |
the Protection Amount (in U.S. dollars): $3.56 |
the Interest Rate: |
7.50% (equivalent to 15.00% per annum) |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$17.80 |
100% |
$35.60 |
200% |
$1,000.00 |
$1,000.00 |
$8.90 |
50% |
$18.69 |
105% |
$1,000.00 |
$1,000.00 |
$17.80 |
100% |
$17.80 |
100% |
$1,000.00 |
$1,000.00 |
$14.24 |
80% |
$14.24 |
80% |
$1,000.00 |
$1,000.00 |
$8.90 |
50% |
$16.91 |
95% |
56 shares of the |
$950.00 |
$8.90 |
50% |
$8.90 |
50% |
56 shares of the |
$500.00 |
$4.45 |
25% |
$4.45 |
25% |
56 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
56 shares of the |
$0.00 |
** |
Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash. |
The following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $8.90 but the Final Share Price is $18.69. Because the Final Share Price of $18.69 is greater than the Initial Share Price of $17.80, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $8.90 and the Final Share Price is $16.91. Because the Final Share Price of $16.91 is less than the Initial Share Price of $17.80 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $16.91, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.00.
Example 3: The closing price of the Reference Stock does not decline, as compared with the Initial Share Price, by more than the Protection Amount on any day during the Monitoring Period prior to the Observation Date. However, the closing price of the Reference Stock on the Observation Date is $8.90, a decline of more than the Protection Amount. Because the Final Share Price of $8.90 is less than the Initial Share Price of $17.80 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $8.90, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.00.
Example 4: The Final Share Price of $14.24 is less than the Initial Share Price of $17.80 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $14.24 is less than the Initial Share Price of $17.80.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of $75.00 over the term of the notes. The actual number of shares of the Reference Stock, or the Cash Value thereof, you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $17.77, the Protection Amount was $3.554 and the Physical Delivery Amount was 56.2746 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-11 |
According to its publicly available filings with the SEC, MGM Resorts engages in the gaming, hospitality and entertainment business. The common stock of MGM Resorts, par value $0.01 per share, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of MGM Resorts in the accompanying product supplement no. 34-A-II. MGM Resorts SEC file number is 001-10362.
Historical Information of the Common Stock of MGM Resorts
The following graph sets forth the historical performance of the common stock of MGM Resorts based on the weekly closing price (in U.S. dollars) of the common stock of MGM Resorts from January 6, 2006 through May 13, 2011. The closing price of the common stock of MGM Resorts on May 13, 2011 was $14.72. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
Since its inception, the price of the common stock of MGM Resorts has experienced significant fluctuations. The historical performance of the common stock of MGM Resorts should not be taken as an indication of future performance, and no assurance can be given as to the closing prices of the common stock of MGM Resorts during the term of the notes. We cannot give you assurance that the performance of the common stock of MGM Resorts will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that MGM Resorts will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends, if any, that may be payable on the common stock of MGM Resorts.
|
|
JPMorgan
Structured Investments |
PS-12 |
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of MGM Resorts, based on a range of hypothetical Final Share Prices of the Reference Stock and assuming that the closing price of the Reference Stock declines in the manner set forth in the columns titled Hypothetical lowest closing price during the Monitoring Period and Hypothetical lowest closing price expressed as a percentage of Initial Share Price during the Monitoring Period. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
the Initial Share Price: |
$14.80 |
the Protection Amount (in U.S. dollars): $2.96 |
the Interest Rate: |
8.125% (equivalent to 16.25% per annum) |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$14.80 |
100% |
$29.60 |
200% |
$1,000.00 |
$1,000.00 |
$7.40 |
50% |
$15.54 |
105% |
$1,000.00 |
$1,000.00 |
$14.80 |
100% |
$14.80 |
100% |
$1,000.00 |
$1,000.00 |
$11.84 |
80% |
$11.84 |
80% |
$1,000.00 |
$1,000.00 |
$7.40 |
50% |
$14.06 |
95% |
67 shares of the |
$950.00 |
$7.40 |
50% |
$7.40 |
50% |
67 shares of the |
$500.00 |
$3.70 |
25% |
$3.70 |
25% |
67 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
67 shares of the |
$0.00 |
** |
Note that you will receive at maturity any accrued and unpaid interest in cash, in addition to either shares of the Reference Stock (or, at our election, the Cash Value thereof) or the principal amount of your note in cash. Also note that if you receive the Physical Delivery Amount, the total value of payment received at maturity shown in the table above includes the value of any fractional shares, which will be paid in cash. |
The following examples illustrate how the total value of payments received at maturity set forth in the table above are calculated.
Example 1: The lowest closing price of the Reference Stock during the Monitoring Period was $7.40 but the Final Share Price is $15.54. Because the Final Share Price of $15.54 is greater than the Initial Share Price of $14.80, you will receive a payment at maturity of $1,000 per $1,000 principal amount note.
Example 2: The lowest closing price of the Reference Stock during the Monitoring Period was $7.40 and the Final Share Price is $14.06. Because the Final Share Price of $14.06 is less than the Initial Share Price of $14.80 and the closing price of the Reference Stock declined by more than the Protection Amount on at least one day during the Monitoring Period, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $14.06, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.00.
Example 3: The closing price of the Reference Stock does not decline, as compared with the Initial Share Price, by more than the Protection Amount on any day during the Monitoring Period prior to the Observation Date. However, the closing price of the Reference Stock on the Observation Date is $7.40, a decline of more than the Protection Amount. Because the Final Share Price of $7.40 is less than the Initial Share Price of $14.80 and the Final Share Price has declined by more than the Protection Amount, you will receive the Physical Delivery Amount, or at our election, the Cash Value thereof, at maturity. Because the Final Share Price of the Reference Stock is $7.40, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $500.00.
Example 4: The Final Share Price of $11.84 is less than the Initial Share Price of $14.80 but does not decline by more than the Protection Amount and the closing price of the Reference Stock does not decline by more than the Protection Amount on any day during the Monitoring Period. Because the closing price of the Reference Stock has not declined by more than the Protection Amount, you will receive a payment at maturity of $1,000 per $1,000 principal amount note, even though the Final Share Price of $11.84 is less than the Initial Share Price of $14.80.
Regardless of the performance of the Reference Stock or the payment you receive at maturity, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of $81.25 over the term of the notes. The actual number of shares of the Reference Stock, or the Cash Value thereof, you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $14.72, the Protection Amount was $2.944 and the Physical Delivery Amount was 67.9348 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-13 |
In the opinion of Davis Polk & Wardwell LLP, as our special products counsel, when the notes offered by this pricing supplement have been executed and issued by us and authenticated by the trustee pursuant to the indenture, and delivered against payment as contemplated herein, such notes will be our valid and binding obligations, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the federal laws of the United States of America, the laws of the State of New York and the General Corporation Law of the State of Delaware. In addition, this opinion is subject to customary assumptions about the trustees authorization, execution and delivery of the indenture and its authentication of the notes and the validity, binding nature and enforceability of the indenture with respect to the trustee, all as stated in the letter of such counsel dated March 23, 2011, which has been filed as an exhibit to a Current Report on Form 8-K by us on March 23, 2011.
|
|
JPMorgan
Structured Investments |
PS-14 |
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