CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$1,057,000 |
$122.72 |
(1) Fees were previously paid in connection with this offering as disclosed in pricing supplement no. 1263 dated April 26, 2011 to Registration Statement No. 333-155535 filed by JPMorgan Chase & Co., which pricing supplement was filed on April 28, 2011 (the Original Pricing Supplement). No additional registration fee has been paid with respect to this offering. The purpose of this filing is to correct an EDGAR conversion error in the Original Pricing Supplement.
Pricing
supplement no. 1263 |
Registration
Statement No. 333-155535 |
Structured |
JPMorgan Chase & Co. |
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: |
April 26, 2011 |
|
Settlement Date: |
On or about April 29, 2011 |
|
Observation Date: |
April 24, 2012* |
|
Maturity Date: |
April 27, 2012* |
|
Interest Payment Dates: |
Interest on the notes will be payable monthly in arrears on the last calendar day of each month, except for the final monthly interest payment, which will be payable on the Maturity Date (each such date, an Interest Payment Date), commencing May 31, 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 |
Ticker |
Principal
|
Interest Rate |
Protection
|
Initial |
CUSIP |
Approximate
|
Interest on
|
Put Premium |
Joy Global Inc. |
PS-3 |
JOYG |
$1,000 |
10.00% per |
20.00% of the |
$99.86 |
48125XMN3 |
$8.33 |
8.60% |
91.40% |
International Paper |
PS-5 |
IP |
$1,000 |
9.50% per |
20.00% of the |
$30.18 |
48125XMM5 |
$7.92 |
9.05% |
90.95% |
Halliburton |
PS-7 |
HAL |
$1,000 |
9.50% per |
20.00% of the |
$50.96 |
48125XML7 |
$7.92 |
9.05% |
90.95% |
Akamai |
PS-9 |
AKAM |
$1,000 |
10.75% per |
20.00% of the |
$40.36 |
48125XMK9 |
$8.96 |
8.00% |
92.00% |
* |
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 |
Joy Global Inc. |
|
|
|
Per note |
$1,000 |
$41 |
$959 |
Total |
$252,000 |
$10,332 |
$241,668 |
International Paper Company |
|
|
|
Per note |
$1,000 |
$38 |
$962 |
Total |
$410,000 |
$15,580 |
$394,420 |
Halliburton Company |
|
|
|
Per note |
$1,000 |
$44.50 |
$955.50 |
Total |
$305,000 |
$13,572.50 |
$291,427.50 |
Akamai Technologies, Inc. |
|
|
|
Per note |
$1,000 |
$42.50 |
$957.50 |
Total |
$90,000 |
$3,825 |
$86,175 |
(1) |
The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates. J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive commissions of $41.00, $38.00, $44.50 and $42.50 per $1,000 principal amount note linked to the common stock of Joy Global Inc., International Paper Company, Halliburton Company and Akamai Technologies, Inc., respectively, and will use a portion of such commissions to pay selling concessions to other affiliated or unaffiliated dealers of $30.50, $29.00, $32.25 and $31.25 per $1,000 principal amount note for notes linked to the common stock of Joy Global Inc., International Paper Company, Halliburton Company and Akamai Technologies, Inc., respectively. This commission includes the projected profits that our affiliates expect to realize, some of which have been allowed to other unaffiliated dealers, for assuming risks inherent in hedging our obligations under the notes. The concessions of $30.50, $29.00, $32.25 and $31.25 per $1,000 principal amount note for notes linked to the common stock of Joy Global Inc., International Paper Company, Halliburton Company and Akamai Technologies, Inc. include concession to be allowed to selling dealers and concessions to be allowed to any arranging dealer. See Plan of Distribution 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.
April 26, 2011
Additional Terms Specific to Each Note Offering
This pricing supplement relates to four (4) 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 four (4) 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 April 5, 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):
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 |
Selected Risk Considerations
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 |
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.
Joy Global Inc. (Joy Global)
According to its publicly available filings with the SEC, Joy Global is a leading manufacturer and servicer of high productivity mining equipment for the extraction of coal and other minerals and ores. The common stock of Joy Global, par value $1.00 per share, is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange for purposes of Joy Global in the accompanying product supplement no. 34-A-II. Joy Globals SEC file number is 001-09299.
Historical Information of the Common Stock of Joy Global
The following graph sets forth the historical performance of the common stock of Joy Global based on the weekly closing price (in U.S. dollars) of the common stock of Joy Global from January 6, 2006 through April 21, 2011. The NASDAQ Stock Market was closed on April 22, 2011 due to an exchange holiday. The closing price of the common stock of Joy Global on April 26, 2011 was $99.86. 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 Joy Global has experienced significant fluctuations. The historical performance of the common stock of Joy Global 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 Joy Global during the term of the notes. We cannot give you assurance that the performance of the common stock of Joy Global will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Joy Global 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 Joy Global.
|
|
JPMorgan
Structured Investments |
PS-3 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of Joy Global
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Joy Global, 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: |
$99.90 |
the Protection Amount (in U.S. dollars): $19.98 |
the Interest Rate: |
10.00% per annum |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$99.90 |
100% |
$199.80 |
200% |
$1,000.00 |
$1,000.00 |
$49.95 |
50% |
$104.90 |
105% |
$1,000.00 |
$1,000.00 |
$99.90 |
100% |
$99.90 |
100% |
$1,000.00 |
$1,000.00 |
$79.92 |
80% |
$79.92 |
80% |
$1,000.00 |
$1,000.00 |
$49.95 |
50% |
$94.91 |
95% |
10 shares of the |
$950.05 |
$49.95 |
50% |
$49.95 |
50% |
10 shares of the |
$500.00 |
$24.98 |
25% |
$24.98 |
25% |
10 shares of the |
$250.05 |
$0.00 |
0% |
$0.00 |
0% |
10 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 $49.95 but the Final Share Price is $104.90. Because the Final Share Price of $104.90 is greater than the Initial Share Price of $99.90, 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 $49.95 and the Final Share Price is $94.91. Because the Final Share Price of $94.91 is less than the Initial Share Price of $99.90 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 $94.91, the total value of your final payment at maturity, whether in cash or shares of the Reference Stock, is $950.05.
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 $49.95, a decline of more than the Protection Amount. Because the Final Share Price of $49.95 is less than the Initial Share Price of $99.90 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 $49.95, 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 $79.92 is less than the Initial Share Price of $99.90 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 $79.92 is less than the Initial Share Price of $99.90.
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 $100.00 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 $99.86, the Protection Amount was $19.972 and the Physical Delivery Amount was 10.014 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-4 |
International Paper Company (International Paper)
According to its publicly available filings with the SEC, International Paper Company operates as a paper and packaging company with operations in North America, Europe, Latin America, Russia, Asia, and north Africa. The common stock of International Paper, par value $1.00 per share, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of International Paper in the accompanying product supplement no. 34-A-II. International Papers SEC file number is 001-03157.
Historical Information of the Common Stock of International Paper
The following graph sets forth the historical performance of the common stock of International Paper based on the weekly closing price (in U.S. dollars) of the common stock of International Paper from January 6, 2006 through April 21, 2011. The New York Stock Exchange was closed on April 22, 2011 due to an exchange holiday. The closing price of the common stock of International Paper on April 26, 2011 was $30.18. 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 International Paper has experienced significant fluctuations. The historical performance of the common stock of International Paper 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 International Paper during the term of the notes. We cannot give you assurance that the performance of the common stock of International Paper will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that International Paper 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 International Paper.
|
|
JPMorgan
Structured Investments |
PS-5 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of International Paper
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of International Paper, 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: |
$30.20 |
the Protection Amount (in U.S. dollars): $6.04 |
the Interest Rate: |
9.50% per annum |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical
|
Hypothetical |
Payment at Maturity |
Total Value of |
$30.20 |
100% |
$60.40 |
200% |
$1,000.00 |
$1,000.00 |
$15.10 |
50% |
$31.71 |
105% |
$1,000.00 |
$1,000.00 |
$30.20 |
100% |
$30.20 |
100% |
$1,000.00 |
$1,000.00 |
$24.16 |
80% |
$24.16 |
80% |
$1,000.00 |
$1,000.00 |
$15.10 |
50% |
$28.69 |
95% |
33 shares of the |
$950.00 |
$15.10 |
50% |
$15.10 |
50% |
33 shares of the |
$500.00 |
$7.55 |
25% |
$7.55 |
25% |
33 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
33 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 $15.10 but the Final Share Price is $31.71. Because the Final Share Price of $31.71 is greater than the Initial Share Price of $30.20, 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 $15.10 and the Final Share Price is $28.69. Because the Final Share Price of $28.69 is less than the Initial Share Price of $30.20 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 $28.69, 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 $15.10, a decline of more than the Protection Amount. Because the Final Share Price of $15.10 is less than the Initial Share Price of $30.20 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 $15.10, 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 $24.16 is less than the Initial Share Price of $30.20 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 $24.16 is less than the Initial Share Price of $30.20.
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 $95.00 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 $30.18, the Protection Amount was $6.036 and the Physical Delivery Amount was 33.1345 shares, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments |
PS-6 |
Halliburton Company (Halliburton)
According to its publicly available filings with the SEC, Halliburton Company provides various products and services to the energy industry for the exploration, development, and production of oil and natural gas worldwide. The common stock of Halliburton, par value $2.50 per share, is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Halliburton in the accompanying product supplement no. 34-A-II. Halliburtons SEC file number is 001-03492.
Historical Information of the Common Stock of Halliburton
The following graph sets forth the historical performance of the common stock of Halliburton based on the weekly closing price (in U.S. dollars) of the common stock of Halliburton from January 6, 2006 through April 21, 2011. The New York Stock Exchange was closed on April 22, 2011 due to an exchange holiday. The closing price of the common stock of Halliburton on April 26, 2011 was $50.96. 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 Halliburton has experienced significant fluctuations. The historical performance of the common stock of Halliburton 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 Halliburton during the term of the notes. We cannot give you assurance that the performance of the common stock of Halliburton will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Halliburton 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 Halliburton.
|
|
JPMorgan
Structured Investments |
PS-7 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of Halliburton
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Halliburton, 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: |
$51.00 |
the Protection Amount (in U.S. dollars): $10.20 |
the Interest Rate: |
9.50% per annum |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$51.00 |
100% |
$102.00 |
200% |
$1,000.00 |
$1,000.00 |
$25.50 |
50% |
$53.55 |
105% |
$1,000.00 |
$1,000.00 |
$51.00 |
100% |
$51.00 |
100% |
$1,000.00 |
$1,000.00 |
$40.80 |
80% |
$40.80 |
80% |
$1,000.00 |
$1,000.00 |
$25.50 |
50% |
$48.45 |
95% |
19 shares of the |
$950.00 |
$25.50 |
50% |
$25.50 |
50% |
19 shares of the |
$500.00 |
$12.75 |
25% |
$12.75 |
25% |
19 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
19 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 $25.50 but the Final Share Price is $53.55. Because the Final Share Price of $53.55 is greater than the Initial Share Price of $51.00, 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 $25.50 and the Final Share Price is $48.45. Because the Final Share Price of $48.45 is less than the Initial Share Price of $51.00 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 $48.45, 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 $25.50, a decline of more than the Protection Amount. Because the Final Share Price of $25.50 is less than the Initial Share Price of $51.00 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 $25.50, 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 $40.80 is less than the Initial Share Price of $51.00 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 $40.80 is less than the Initial Share Price of $51.00.
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 $95.00 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 $50.96, the Protection Amount was $10.192 and the Physical Delivery Amount was 19.6232 shares, in each case subject to adjustments.
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JPMorgan
Structured Investments |
PS-8 |
Akamai Technologies, Inc. (Akamai Technologies)
According to its publicly available filings with the SEC, Akamai Technologies provides services for improving the delivery of content and applications over the Internet; ranging from live and on-demand streaming video capabilities to conventional content on websites, to tools that help people transact business. The common stock of Akamai Technologies, par value $0.01 per share, is listed on The NASDAQ Stock Market, which we refer to as the Relevant Exchange for purposes of Akamai Technologies in the accompanying product supplement no. 34-A-II. Akamai Technologiess SEC file number is 000-27275.
Historical Information of the Common Stock of Akamai Technologies
The following graph sets forth the historical performance of the common stock of Akamai Technologies based on the weekly closing price (in U.S. dollars) of the common stock of Akamai Technologies from January 6, 2006 through April 21, 2011. The NASDAQ Stock Market was closed on April 22, 2011 due to an exchange holiday. The closing price of the common stock of Akamai Technologies on April 26, 2011 was $40.36. 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 Akamai Technologies has experienced significant fluctuations. The historical performance of the common stock of Akamai Technologies 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 Akamai Technologies during the term of the notes. We cannot give you assurance that the performance of the common stock of Akamai Technologies will result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that Akamai Technologies 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 Akamai Technologies.
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JPMorgan
Structured Investments |
PS-9 |
Examples of Hypothetical Payment at Maturity for a $1,000 Investment in the Notes Linked to the Common Stock of Akamai Technologies
The following table illustrates hypothetical payments at maturity on a $1,000 investment in the notes linked to the common stock of Akamai Technologies, 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: |
$40.40 |
the Protection Amount (in U.S. dollars): $8.08 |
the Interest Rate: |
10.75% per annum |
the Protection Amount: 20.00% |
Hypothetical |
Hypothetical lowest |
Hypothetical |
Hypothetical |
Payment at Maturity |
Total Value of |
$40.40 |
100% |
$80.80 |
200% |
$1,000.00 |
$1,000.00 |
$20.20 |
50% |
$42.42 |
105% |
$1,000.00 |
$1,000.00 |
$40.40 |
100% |
$40.40 |
100% |
$1,000.00 |
$1,000.00 |
$32.32 |
80% |
$32.32 |
80% |
$1,000.00 |
$1,000.00 |
$20.20 |
50% |
$38.38 |
95% |
24 shares of the |
$950.00 |
$20.20 |
50% |
$20.20 |
50% |
24 shares of the |
$500.00 |
$10.10 |
25% |
$10.10 |
25% |
24 shares of the |
$250.00 |
$0.00 |
0% |
$0.00 |
0% |
24 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 $20.20 but the Final Share Price is $42.42. Because the Final Share Price of $42.42 is greater than the Initial Share Price of $40.40, 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 $20.20 and the Final Share Price is $38.38. Because the Final Share Price of $38.38 is less than the Initial Share Price of $40.40 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 $38.38, 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 $20.20, a decline of more than the Protection Amount. Because the Final Share Price of $20.20 is less than the Initial Share Price of $40.40 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 $20.20, 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 $32.32 is less than the Initial Share Price of $40.40 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 $32.32 is less than the Initial Share Price of $40.40.
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 $107.50 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 $40.36, the Protection Amount was $8.072 and the Physical Delivery Amount was 24.777 shares, in each case subject to adjustments.
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JPMorgan
Structured Investments |
PS-10 |
Validity of the Notes
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.
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JPMorgan
Structured Investments |
PS-11 |