 |
June 2012
Pricing Sheet dated June 28, 2012 relating toPreliminary Terms No. 8 dated May 25, 2012
Registration Statement No. 333-177923
Filed pursuant to Rule 433
|
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
PLUS Based on the Value of the S&P 500® Index due August 1, 2013
Performance Leveraged Upside SecuritiesSM
|
PRICING TERMS – JUNE 28, 2012
|
|||
|
Issuer:
|
JPMorgan Chase & Co.
|
||
|
Maturity date:
|
August 1, 2013, subject to adjustment for certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-1-I
|
||
|
Underlying index:
|
S&P 500® Index
|
||
|
Aggregate principal amount:
|
$18,639,390
|
||
|
Payment at maturity:
|
If the final index value is greater than the initial index value, for each $10 stated principal amount PLUS,
|
||
|
$10 + leveraged upside payment
|
|||
|
In no event will the payment at maturity exceed the maximum payment at maturity.
|
|||
|
If the final index value is less than or equal to the initial index value, for each $10 stated principal amount PLUS,
|
|||
|
$10 × index performance factor
|
|||
|
This amount will be less than or equal to the stated principal amount of $10 per PLUS.
|
|||
|
Leveraged upside payment:
|
$10 × leverage factor × index percent increase
|
||
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
||
|
Initial index value:
|
1,329.04, which is the index closing value of the underlying index on the pricing date
|
||
|
Final index value:
|
The index closing value of the underlying index on the valuation date
|
||
|
Valuation date:
|
July 29, 2013, subject to adjustment for non-trading days or certain market disruption events and as described under “Description of PLUS — Postponement of a Determination Date” in the accompanying product supplement no. MS-1-I
|
||
|
Leverage factor:
|
300%
|
||
|
Index performance factor:
|
final index value / initial index value
|
||
|
Maximum payment at maturity:
|
$11.70 (117% of the stated principal amount) per PLUS.
|
||
|
Stated principal amount:
|
$10 per PLUS
|
||
|
Issue price:
|
$10 per PLUS (see “Commissions and issue price” below)
|
||
|
Pricing date:
|
June 28, 2012
|
||
|
Original issue date:
|
July 3, 2012 (3 business days after the pricing date)
|
||
|
CUSIP / ISIN:
|
46637G546 / US46637G5466
|
||
|
Listing:
|
The PLUS will not be listed on any securities exchange.
|
||
|
Agent:
|
J.P. Morgan Securities LLC (“JPMS”)
|
||
|
Commissions and issue price:
|
Price to Public(1)(2)
|
Fees and Commissions(2)(3)
|
Proceeds to Issuer
|
|
Per PLUS
|
$10.00
|
$0.20
|
$9.80
|
|
Total
|
$18,639,390.00
|
$372,787.80
|
$18,266,602.20
|
|
(1)
|
The price to the public includes the estimated cost of hedging our obligations under the PLUS through one or more of our affiliates, which includes our affiliates’ expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. For additional related information, please see “Use of Proceeds and Hedging” beginning on PS-31 of the accompanying product supplement no. MS-1-I.
|
|
(2)
|
The actual price to public and commissions for a particular investor may be reduced for volume purchase discounts depending on the aggregate amount of securities purchased by that investor. The lowest price payable by an investor is $9.925 per security. Please see “Syndicate Information” on page 10 of the accompanying preliminary terms for further details.
|
|
(3)
|
JPMS, acting as agent for JPMorgan Chase & Co., received a commission of $0.20 per $10 stated principal amount PLUS and used all of that commission to allow selling concessions to Morgan Stanley Smith Barney LLC. See “Underwriting (Conflicts of Interest)” beginning on page PS-46 of the accompanying product supplement no. MS-1-I.
|
The PLUS are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the preliminary terms describing the offering, related product supplement no. MS-1-I, UNDERLYING SUPPLEMENT NO. 1-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information About the PLUS” at the end of this document.
Preliminary Terms no. 8 dated May 25, 2012: http://www.sec.gov/Archives/edgar/data/19617/000095010312002837/crt_dp30905-fwp.pdf
Product supplement no. MS-1-I dated November 22, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007774/e46120_424b2.pdf
Underlying supplement no. 1-I dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007615/e46154_424b2.pdf
Prospectus supplement dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007578/e46180_424b2.pdf
Prospectus dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free (800) 869-3326.
Performance Leveraged Upside SecuritiesSM
Please refer to the “Recent Developments” section below in connection with recent events relating to JPMorgan Chase & Co. and its credit risk. This section replaces the section entitled “Recent Developments” included in the accompanying preliminary pricing terms. In addition, the risk factor entitled “The PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the PLUS.” that is included in the accompanying preliminary pricing terms is hereby deemed deleted in its entirety and replaced with the section entitled “Supplemental Risk Factors — The PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the PLUS” below.
Recent Developments
On June 21, 2012, Moody’s Investors Services downgraded our long-term senior debt rating to “A2” from “Aa3” as part of its review of 15 banks and securities firms with global capital markets operations. Moody’s also maintained its “negative” outlook on us, indicating the possibility of a further downgrade. In addition, on May 11, 2012, Fitch Ratings downgraded our long-term senior debt rating to “A+” from “AA-” and placed us on negative rating watch for a possible further downgrade, and Standard & Poor’s Ratings Services changed its outlook on us to “negative” from “stable,” indicating the possibility of a future downgrade. These downgrades may adversely affect our credit spreads and the market value of the PLUS. See “Risk Factors” in our annual report on Form 10-K for the year ended December 31, 2011 and “Supplemental Risk Factor — The PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the PLUS” below for further discussion.
These actions followed our disclosure on May 10, 2012, that our Chief Investment Office (which is part of our Corporate segment) has had, since the end of the first quarter of 2012, significant mark-to-market losses in our synthetic credit portfolio, partially offset by securities gains. We disclosed that the Chief Investment Office’s synthetic credit portfolio has proven to be riskier, more volatile and less effective as an economic hedge than we had previously believed. We are currently repositioning the portfolio in conjunction with our assessment of our overall credit exposure; as this repositioning is being effected in a manner designed to maximize economic value, we may hold certain of our current synthetic credit positions for the longer term and, accordingly, the net income in our Corporate segment will likely be more volatile in future periods than it has been in the past. These and any future losses may lead to heightened regulatory scrutiny and additional regulatory or legal proceedings against us, and may continue to adversely affect our credit ratings and credit spreads and, as a result, the market value of the PLUS. See our quarterly report on Form 10-Q for the quarter ended March 31, 2012; “Risk Factors — Risk Management — JPMorgan Chase’s framework for managing risks may not be effective in mitigating risk and loss to the Firm” in our annual report on Form 10-K for the year ended December 31, 2011; and “Supplemental Risk Factor — The PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the PLUS.” below for further discussion.
Supplemental Risk Factor
The PLUS are subject to the credit risk of JPMorgan Chase & Co., and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the PLUS. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the PLUS at maturity, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any actual or anticipated 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 market value of the PLUS. If we were to default on our payment obligations, you may not receive any amounts owed to you under the PLUS and you could lose your entire investment.
In particular, on June 21, 2012, Moody’s Investors Services downgraded our long-term senior debt rating to “A2” from “Aa3” as part of its review of 15 banks and securities firms with global capital markets operations. Moody’s also maintained its “negative” outlook on us, indicating the possibility of a further downgrade. In addition, on May 11, 2012, Fitch Ratings downgraded our long-term senior debt rating to “A+” from “AA-” and placed us on negative rating watch for a possible further downgrade, and Standard & Poor’s Ratings Services changed its outlook on us to “negative” from “stable,” indicating the possibility of a future downgrade. These downgrades may adversely affect our credit spreads and the market value of the PLUS. See “Risk Factors” in our annual report on Form 10-K for the year ended December 31, 2011.
These actions followed our disclosure on May 10, 2012, that our Chief Investment Office (which is part of our Corporate segment) has had, since the end of the first quarter of 2012, significant mark-to-market losses in our synthetic credit portfolio, partially offset by securities gains. These and any future losses may lead to heightened regulatory scrutiny and additional regulatory or legal proceedings against us, and may continue to adversely affect our credit ratings and credit spreads and, as a result, the market value of the PLUS. See “Recent Developments” above; our quarterly report on Form 10-Q for the quarter ended March 31, 2012; and “Risk Factors — Risk Management — JPMorgan Chase’s framework for managing risks may not be effective in mitigating risk and loss to the Firm” in our annual report on Form 10-K for the year ended December 31, 2011 for further discussion.
|
June 2012
|
Page 2
|