CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$20,422,000 |
$2,370.99 |
Pricing
supplement no. 1367 |
Registration Statement No. 333-155535 |
Structured |
$20,422,000 |
General
Key Terms
Basket/Component Indices: |
The notes are linked to a weighted basket consisting of three buffered return enhanced components (each a Basket Component, and together, the Basket Components), each linked to an international index (each a Component Index, and together, the Component Indices), converted into U.S. dollars as set forth below: |
|
Component Index |
Component |
Buffer |
Upside |
Maximum |
Downside |
|
||||||
EURO STOXX 50® Index |
53% |
10% |
2 |
21.20% |
1.1111 |
|
FTSE 100 Index |
24% |
10% |
2 |
15.12% |
1.1111 |
|
TOPIX® Index |
23% |
10% |
2 |
5.30% |
1.1111 |
|
For information about the Component Currency and the calculation of the Exchange Rate for each Component Index, see Additional Key Terms on page PS-1 of this pricing supplement. *The maximum payment at maturity is $1,160.838 per $1,000 principal amount note. |
|
Payment at Maturity: |
The amount you will receive at maturity is based on the Basket Return, which in turn is based on the performance of the Basket Components. At maturity, your payment per $1,000 principal amount note will be calculated as follows: |
|
|
$1,000 + ($1,000 × Basket Return) |
|
Basket Return: |
The sum of the products of (a) the Component Return of each Basket Component and (b) the Component Weighting of such Basket Component. |
|
Component Return: |
With respect to each Basket Component, the Component Return will be calculated as follows: |
|
|
Ending Index Level |
Component Return |
|
||
is greater than the Initial Index Level |
Index Return × upside leverage factor, subject to the Maximum Return |
|
is equal to the Initial Index Level or less than the Initial Index Level by not more than the buffer amount |
0 |
|
is less than the Initial Index Level by more than the buffer amount |
(Index Return + buffer amount) × downside leverage factor |
|
|
For each Basket Component, if the Ending Index Level for the applicable Component Index is less than the Initial Index Level for such Component Index by more than 10%, your return on the notes at maturity may be adversely affected and you may lose some or all of your investment at maturity. |
|
Maximum Return: |
With respect to a Basket Component, a percentage as set forth above under Basket/Basket Components. For example, if the Index Return for the EURO STOXX 50® Index is equal to more than 10.60%, the applicable Component Return will be equal to the applicable Maximum Return for the EURO STOXX 50® Index of 21.20%. The maximum payment at maturity is $1,160.838 per $1,000 principal amount note. |
|
Index Return: |
With respect to each Component Index, the performance of the Component Index from the Initial Index Level to the Ending Index Level, calculated as follows: |
|
Ending
Index Level Initial Index Level |
||
Initial Index Level: |
With respect to each Component Index, the Adjusted Closing Level of such Component Index on the pricing date, which was 3,963.48770 for the EURO STOXX 50® Index, 9,238.20051 for the FTSETM 100 Index and 10.05709 for the TOPIX® Index. |
|
Ending Index Level: |
With respect to each Component Index, the arithmetic average of the Adjusted Closing Levels of such Component Index on each of the Ending Averaging Dates |
|
Adjusted Closing Level: |
With respect to a Component Index on any trading day, the closing level of such Component Index on such trading day multiplied by the Exchange Rate of such Component Index on such trading day. |
|
Ending Averaging Dates: |
June 25, 2012, June 26, 2012, June 27, 2012, June 28, 2012 and June 29, 2012 |
|
Maturity Date: |
July 5, 2012 |
|
CUSIP: |
48125XUW4 |
|
Other Key Terms: |
See Additional Key Terms in this pricing supplement. |
|
|
Subject to postponement in the event of a market disruption event or currency disruption event and as described under Description of Notes Payment at Maturity in the accompanying product supplement no. 168-A-I. |
Investing in the Notes Linked to a Weighted Basket Consisting of Buffered Return Enhanced Components involves a number of risks. See Risk Factors beginning on page PS-8 of the accompanying product supplement no. 168-A-I and Selected Risk Considerations beginning on page PS-7 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 |
|
|||
Per note |
$1,000 |
$10 |
$990 |
|
|||
Total |
$20,422,000 |
$204,220 |
$20,217,780 |
|
(1) |
The price to the public includes the cost of hedging our obligations under the notes 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 beginning on page PS-20 of the accompanying product supplement no. 168-A-I. |
|
(2) |
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $10.00 per $1,000 principal amount note. See Plan of Distribution beginning on page PS-77 of the accompanying product supplement no. 168-A-I. |
|
|
For a different portion of the notes to be sold in this offering, an affiliated bank will receive a fee and another affiliate of ours will receive a structuring and development fee. The aggregate amount of these fees will be $10.00 per $1,000 principal amount note. |
The agent for this offering, JPMS, is an affiliate of ours. See Supplemental Plan of Distribution (Conflicts of Interest) in this pricing supplement.
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.
June 17, 2011
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. 168-A-I dated July 23, 2009. This pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related hereto dated June 13, 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. 168-A-I, 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. 168-A-I dated July 23, 2009:
http://www.sec.gov/Archives/edgar/data/19617/000089109209002937/e36031-424b2.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 and our refer to JPMorgan Chase & Co.
Additional Key Terms
The following table sets forth the Component Currency, the applicable Reuters Page, the Exchange Rate, the closing level on the pricing date and the Initial Index Level for each Component Index: |
|||||
Component |
Component Currency |
Reuters Page |
Exchange Rate on |
Closing level on the
|
Initial Index |
|
|||||
EURO STOXX 50® Index |
European Union Euro (EUR) |
WMRSPOT05 |
1.4308 |
2,770.12 |
3,963.48770 |
FTSE 100 Index |
British Pound Sterling (GBP) |
WMRSPOT07 |
1.6165 |
5,714.94 |
9,238.20051 |
TOPIX® Index |
Japanese Yen (JPY) |
WMRSPOT12 |
0.012488 |
805.34 |
10.05709 |
Exchange Rate: |
With respect to the EURO STOXX 50® Index and the FTSE 100 Index, the Exchange Rate on any trading day is the spot rate in the interbank market of U.S. dollars per one unit of the Component Currency of the applicable Component Index, as determined by the calculation agent, expressed as the amount of U.S. dollars per one unit of the Component Currency of the applicable Component Index, as reported by Reuters Group PLC (Reuters) on the relevant page specified above, or any substitution page, at approximately 4:00 p.m. Greenwich Mean Time. With respect to the TOPIX® Index, the Exchange Rate on any trading day is the spot rate in the interbank market of U.S. dollars per one unit of the Component Currency of such Component Index, as determined by the calculation agent, expressed as one divided by the amount of Component Currency of such Component Index per U.S. dollar, as reported by Reuters on the relevant page specified above, or any substitution page, at approximately 4:00 p.m. Greenwich Mean Time. |
||||
Currency Business Day: |
With respect to a Component Index, a currency business day, is a day on which (a) dealings in foreign currency in accordance with the practice of the foreign exchange market occur in The City of New York and the principal financial center for the Component Currency of such Component Index (London, England with respect to the European Union Euro and the British Pound Sterling and Tokyo, Japan with respect to the Japanese Yen) and (b) banking institutions in The City of New York and such principal financial center for the Component Currency of such Component Index are not otherwise authorized or required by law, regulation or executive order to close. |
|
|
JPMorgan Structured Investments | PS-1 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The EURO STOXX 50® Index is calculated, maintained and published by STOXX Limited. STOXX Limited was formerly a joint venture between Deutsche Börse AG, Dow Jones & Company and SWX Swiss Exchange. Following a change in the shareholders of STOXX Limited, the joint venture now comprises Deutsche Börse AG and SIX Group AG. In addition, on March 1, 2010, STOXX Limited announced the removal of the Dow Jones prefix from all of its indices, including the EURO STOXX 50® Index.
Accordingly, all references in the accompanying product supplement no. 168-A-I to the Dow Jones EURO STOXX 50® Index will be deemed to refer to the EURO STOXX 50® Index. We have entered into a non-exclusive license with STOXX Limited (including its affiliates) for the right to use the EURO STOXX 50® Index in connection with the offering of securities, including the notes.
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement, notwithstanding anything to the contrary set forth under General Terms of the Notes Calculation Agent in the accompanying product supplement 168-A-I, all calculations with respect to the Exchange Rate on any trading day will be rounded to five significant figures, with fives rounded up (e.g., 123.456 will be rounded to 123.46).
|
|
JPMorgan Structured Investments | PS-2 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The following table illustrates the hypothetical Index Return for each Component Index and the corresponding Component Return for each Basket Component. The hypothetical Index Returns and Component Returns set forth below assume an Initial Index Level of 4060, 9405 and 9.84 for the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively (based on a hypothetical closing level on the pricing date of 2800, 5700 and 820 for the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively, and a hypothetical Exchange Rate on the pricing date of 1.45, 1.65 and 0.012 for the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively), and reflect the Maximum Return of 21.20%, 15.12% and 5.30% for the Basket Components linked to the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, respectively. The hypothetical Index Returns and Component Returns set forth below are for illustrative purposes only and may not be the actual Index Returns and Component Returns applicable to a purchaser of the notes. The numbers appearing in the following table have been rounded for ease of analysis.
|
||||||||
EURO STOXX 50® Index |
FTSE 100 Index |
TOPIX® Index |
||||||
|
||||||||
Ending Index |
Underlying |
Component |
Ending Index |
Underlying |
Component |
Ending Index |
Underlying |
Component |
|
||||||||
7308.00 |
80.00% |
21.20% |
16929.000 |
80.00% |
15.12% |
17.71200 |
80.00% |
5.30% |
6699.00 |
65.00% |
21.20% |
15518.250 |
65.00% |
15.12% |
16.23600 |
65.00% |
5.30% |
6090.00 |
50.00% |
21.20% |
14107.500 |
50.00% |
15.12% |
14.76000 |
50.00% |
5.30% |
5684.00 |
40.00% |
21.20% |
13167.000 |
40.00% |
15.12% |
13.77600 |
40.00% |
5.30% |
5278.00 |
30.00% |
21.20% |
12226.500 |
30.00% |
15.12% |
12.79200 |
30.00% |
5.30% |
4872.00 |
20.00% |
21.20% |
11286.000 |
20.00% |
15.12% |
11.80800 |
20.00% |
5.30% |
4490.36 |
10.60% |
21.20% |
10345.500 |
10.00% |
15.12% |
10.82400 |
10.00% |
5.30% |
4466.00 |
10.00% |
20.00% |
10116.018 |
7.56% |
15.12% |
10.57800 |
7.50% |
5.30% |
4263.00 |
5.00% |
10.00% |
9875.250 |
5.00% |
10.00% |
10.33200 |
5.00% |
5.30% |
4161.50 |
2.50% |
5.00% |
9640.125 |
2.50% |
5.00% |
10.10076 |
2.65% |
5.30% |
4100.60 |
1.00% |
2.00% |
9499.050 |
1.00% |
2.00% |
9.93840 |
1.00% |
2.00% |
4060.00 |
0.00% |
0.00% |
9405.000 |
0.00% |
0.00% |
9.84000 |
0.00% |
0.00% |
3857.00 |
-5.00% |
0.00% |
8934.750 |
-5.00% |
0.00% |
9.34800 |
-5.00% |
0.00% |
3654.00 |
-10.00% |
0.00% |
8464.500 |
-10.00% |
0.00% |
8.85600 |
-10.00% |
0.00% |
3248.00 |
-20.00% |
-11.11% |
7524.000 |
-20.00% |
-11.11% |
7.87200 |
-20.00% |
-11.11% |
2842.00 |
-30.00% |
-22.22% |
6583.500 |
-30.00% |
-22.22% |
6.88800 |
-30.00% |
-22.22% |
2436.00 |
-40.00% |
-33.33% |
5643.000 |
-40.00% |
-33.33% |
5.90400 |
-40.00% |
-33.33% |
2030.00 |
-50.00% |
-44.44% |
4702.500 |
-50.00% |
-44.44% |
4.92000 |
-50.00% |
-44.44% |
1624.00 |
-60.00% |
-55.56% |
3762.000 |
-60.00% |
-55.56% |
3.93600 |
-60.00% |
-55.56% |
1218.00 |
-70.00% |
-66.67% |
2821.500 |
-70.00% |
-66.67% |
2.95200 |
-70.00% |
-66.67% |
812.00 |
-80.00% |
-77.78% |
1881.000 |
-80.00% |
-77.78% |
1.96800 |
-80.00% |
-77.78% |
406.00 |
-90.00% |
-88.89% |
940.500 |
-90.00% |
-88.89% |
0.98400 |
-90.00% |
-88.89% |
0.00 |
-100.00% |
-100.00% |
0.000 |
-100.00% |
-100.00% |
0.00000 |
-100.00% |
-100.00% |
|
Hypothetical Examples of Amount Payable at Maturity
The following examples illustrate how the payment at maturity is calculated under various hypothetical circumstances. You should review the following examples in conjunction with the hypothetical table set forth above, including the underlying assumptions described above. The hypothetical payments at maturity set forth below are for illustrative purposes only and may not be the actual payment at maturity applicable to a purchaser of the notes. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1: The level of the EURO STOXX 50® Index increases from an Initial Index Level of 4060 to an Ending Index Level of 4161.50, the FTSE 100 Index increases from an Initial Index Level of 9405 to an Ending Index Level of 9499.05 and the level of the TOPIX® Index increases from an Initial Index Level of 9.84 to an Ending Index Level of 9.9384.
Because the Ending Index Level of each Component Index is greater than its Initial Index Level, and the Underlying Returns of 2.50% for the EURO STOXX 50® Index, 1.00% for the FTSE 100 Index and 1.00% for the TOPIX® Index, each multiplied by 2, do not exceed the applicable Maximum Returns of 21.20%, 15.12% and 5.30%, respectively, the Basket Return is calculated as follows:
[(2.5% × 2) × 53%] + [(1% × 2) × 24%] + [(1% × 2) × 23%] = 3.59%
Accordingly, the investor receives a payment at maturity of $1,035.90 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 3.59%) = $1,035.90
|
|
JPMorgan Structured Investments | PS-3 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
Example 2: The level of the EURO STOXX 50® Index increases from an Initial Index Level of 4060 to an Ending Index Level of 4872, the FTSE 100 Index increases from an Initial Index Level of 9405 to an Ending Index Level of 12226.50 and the level of the TOPIX® Index increases from an Initial Index Level of 9.84 to an Ending Index Level of 13.776.
Because the Ending Index Level of each Component Index is greater than its Initial Index Level, and the Underlying Returns of 20.00% for the EURO STOXX 50® Index, 30.00% for the FTSE 100 Index and 40.00% for the TOPIX® Index, each multiplied by 2, exceed the applicable Maximum Returns of 21.20%, 15.12% and 5.30%, respectively, the Basket Return is calculated as follows:
(21.20% × 53%) + (15.12% × 24%) + (5.30% × 23%) = 16.0838%
Accordingly, the investor receives a payment at maturity of $1,160.838 per $1,000 principal amount note, which reflects the maximum payment at maturity, calculated as follows:
$1,000 + ($1,000 × 16.0838%) = $1,160.838
Example 3: The level of the EURO STOXX 50® Index increases from an Initial Index Level of 4060 to an Ending Index Level of 4872, the FTSE 100 Index increases from an Initial Index Level of 9405 to an Ending Index Level of 9499.05 and the level of the TOPIX® Index increases from an Initial Index Level of 9.84 to an Ending Index Level of 9.9384.
Because the Ending Index Level of each Component Index is greater than its Initial Index Level, and the Underlying Return of 20.00% for the EURO STOXX 50® Index multiplied by 2 exceeds the applicable Maximum Return of 21.20%, while the Underlying Returns of 1% for the FTSE 100 Index and 1% for the TOPIX® Index, each multiplied by 2, do not exceed the applicable Maximum Returns of 15.12% and 5.30%, respectively, the Basket Return is calculated as follows:
(21.20% × 53%) + [(1% × 2) × 24%] + [(1% × 2) × 23%] = 12.176%
Accordingly, the investor receives a payment at maturity of $1,121.76 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × 12.176%) = $1,121.76
Example 4: The level of the EURO STOXX 50® Index decreases from an Initial Index Level of 4060 to an Ending Index Level of 3857, the FTSE 100 Index decreases from an Initial Index Level of 9405 to an Ending Index Level of 8934.75 and the level of the TOPIX® Index decreases from an Initial Index Level of 9.84 to an Ending Index Level of 9.348.
Because the Ending Index Level of each Component Index is less than its Initial Index Level by not more than 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 5: The level of the EURO STOXX 50® Index decreases from an Initial Index Level of 4060 to an Ending Index Level of 2842, the FTSE 100 Index decreases from an Initial Index Level of 9405 to an Ending Index Level of 7524 and the level of the TOPIX® Index decreases from an Initial Index Level of 9.84 to an Ending Index Level of 5.904.
Because the Ending Index Level of each Component Index is less than its Initial Index Level by more than 10%, the Basket Return is calculated as follows:
([(-30% + 10%) × 1.1111] × 53%) + ([(-20% + 10%) × 1.1111] × 24%) + ([(-40% + 10%) × 1.1111] × 23%) = -22.111%
Accordingly, the investor receives a payment at maturity of $778.89 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -22.111%) = $778.89
Example 6: The level of the EURO STOXX 50® Index decreases from an Initial Index Level of 4060 to an Ending Index Level of 2842, the FTSE 100 Index decreases from an Initial Index Level of 9405 to an Ending Index Level of 8934.75 and the level of the TOPIX® Index decreases from an Initial Index Level of 9.84 to an Ending Index Level of 5.904.
Because the Ending Index Level of the FTSE 100 Index is less than its Initial Index Level by not more than 10% and the Ending Index Level of each of the other Component Indices is less than its Initial Index Level by more than 10%, the Basket Return is calculated as follows:
([(-30% + 10%) × 1.1111] × 53%) + 0% + ([(-40% + 10%) × 1.1111] × 23%) = -19.444%
Accordingly, the investor receives a payment at maturity of $805.56 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -19.444%) = $805.56
Example 7: The level of the EURO STOXX 50® Index increases from an Initial Index Level of 4060 to an Ending Index Level of 4263, the FTSE 100 Index decreases from an Initial Index Level of 9405 to an Ending Index Level of 7524 and the level of the TOPIX® Index decreases from an Initial Index Level of 9.84 to an Ending Index Level of 5.904.
Because the Ending Index Level of the EURO STOXX 50® Index is greater than its Initial Index Level, and the Underlying Return of 5% multiplied by 2 does not exceed the applicable Maximum Return of 21.20%, and the Ending Index Level of each of the other Component Indices is less than its Initial Index Level by more than 10%, the Basket Return is calculated as follows:
[(5% × 2) × 53%] + ([(-20% + 10%) × 1.1111] × 24%) + ([(-40% + 10%) × 1.1111] × 23%) = -5.033%
Accordingly, the investor receives a payment at maturity of $949.67 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 × -5.033%) = $949.67
These returns and the payouts on the notes shown above do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical total returns and payouts shown above would likely be lower.
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|
JPMorgan Structured Investments | PS-4 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The following examples illustrate how the Index Return for a Component Index is calculated in different hypothetical scenarios based on a range of performances of the closing level of the EURO STOXX 50® Index and the Exchange Rate for the EURO STOXX 50® Index. The examples below use the EURO STOXX 50® Index as the Component Index and assume that the hypothetical closing level of the EURO STOXX 50® Index on the pricing date is 2800, the hypothetical Exchange Rate for the EURO STOXX 50® Index on the pricing date is 1.45 and, therefore, the hypothetical Initial Index Level for EURO STOXX 50® Index is 4060. The examples below also assume that the Ending Index Level for the EURO STOXX 50® Index is based on the Adjusted Closing Level of the EURO STOXX 50® Index on a single date, which we refer to as the final Ending Averaging Date. The hypothetical Index Returns set forth below are for illustrative purposes only and may not be the actual Index Returns for the EURO STOXX 50® Index or for any other Component Index. The numbers appearing in the following examples have been rounded for ease of analysis.
Example 1: The closing level of the EURO STOXX 50® Index increases from 2800 on the pricing date to 3080 on the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index remains flat at 1.45 from the pricing date to the final Ending Averaging Date.
The Ending Index Level is equal to:
3080 × 1.45 = 4466
Because the Ending Index Level of 4466 is greater than the Initial Index Level of 4060, the Index Return is positive and is equal to 10%.
Example 2: The closing level of the EURO STOXX 50® Index remains flat at 2800 from the pricing date to the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index increases from 1.45 on the pricing date to 1.74 on the final Ending Averaging Date.
The Ending Index Level is equal to:
2800 × 1.74 = 4872
Because the Ending Index Level of 4872 is greater than the Initial Index Level of 4060, the Index Return is positive and is equal to 20%.
Example 3: The closing level of the EURO STOXX 50® Index increases from 2800 on the pricing date to 3080 on the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index increases from 1.45 on the pricing date to 1.74 on the final Ending Averaging Date.
The Ending Index Level is equal to:
3080 × 1.74 = 5359.20
Because the Ending Index Level of 5359.20 is greater than the Initial Index Level of 4060, the Index Return is positive and is equal to 32%.
Example 4: The closing level of the EURO STOXX 50® Index increases from 2800 on the pricing date to 3080 on the final Ending Averaging Date, but the Exchange Rate of the EURO STOXX 50® Index decreases from 1.45 on the pricing date to 1.16 on the final Ending Averaging Date.
The Ending Index Level of the EURO STOXX 50® Index is equal to:
3080 × 1.16 = 3572.80
Even though the closing level of the EURO STOXX 50® Index has increased by 10%, because the Exchange Rate of the EURO STOXX 50® Index has decreased by 20%, the Ending Index Level of 3572.80 is less than the Initial Index Level of 4060, and the Index Return is negative and is equal to -12%.
Example 5: The closing level of the EURO STOXX 50® Index decreases from 2800 on the pricing date to 2520 on the final Ending Averaging Date, but the Exchange Rate of the EURO STOXX 50® Index increases from 1.45 on the pricing date to 1.74 on the final Ending Averaging Date.
The Ending Index Level is equal to:
2520 × 1.74 = 4384.80
Even though the closing level of the EURO STOXX 50® Index has decreased by 10%, because the Exchange Rate of the EURO STOXX 50® Index has increased by 20%, the Ending Index Level of 4384.80 is greater than the Initial Index Level of 4060, and the Index Return is positive and is equal to 8%.
Example 6: The closing level of the EURO STOXX 50® Index decreases from 2800 on the pricing date to 2520 on the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index decreases from 1.45 on the pricing date to 1.16 on the final Ending Averaging Date.
The Ending Index Level is equal to:
2520 × 1.16 = 2923.20
Because the Ending Index Level of 2923.20 is less than the Initial Index Level of 4060, the Index Return is negative and is equal to -28%.
Example 7: The closing level of the EURO STOXX 50® Index remains flat at 2800 from the pricing date to the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index decreases from 1.45 on the pricing date to 1.16 on the final Ending Averaging Date.
The Ending Index Level is equal to:
2800 × 1.16 = 3248
Because the Ending Index Level of 3248 is less than the Initial Index Level of 4060, the Index Return is negative and is equal to -20%.
Example 8: The closing level of the EURO STOXX 50® Index decreases from 2800 on the pricing date to 2520 on the final Ending Averaging Date, and the Exchange Rate of the EURO STOXX 50® Index remains flat at 1.45 from the pricing date to the final Ending Averaging Date.
The Ending Index Level is equal to:
2520 × 1.45 = 3654
Because the Ending Index Level of 3654 is less than the Initial Index Level of 4060, the Index Return is negative and is equal to -10%.
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JPMorgan Structured Investments | PS-5 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
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JPMorgan Structured Investments | PS-6 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Basket, the Basket Components, the Component Indices, any of the Component Currencies, or any of the component securities of the Component Indices. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 168-A-I dated July 23, 2009.
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JPMorgan Structured Investments | PS-7 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
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JPMorgan Structured Investments | PS-8 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The following graphs below show the historical weekly performance of the Component Indices, converted into U.S. Dollars, from January 6, 2006 to June 17, 2011, assuming the exchange rates of each Component Currency as reported by Bloomberg Financial Markets on the relevant dates were the Exchange Rates on such dates. The exchange rates and the historical weekly Component Index performance data in such graphs were determined by reference to the rates and data reported by Bloomberg Financial Markets and may not be indicative of the performance of the Component Indices using the spot rates of each respective Component Currency at approximately 4:00 p.m. Greenwich Mean Time that would be derived from the applicable Reuters page. The Adjusted Closing Level of the EURO STOXX 50® Index on June 17, 2011 was 3,963.48770. The Adjusted Closing Level of the FTSE 100 Index on June 17, 2011 was 9,238.20051. The Adjusted Closing Level of the TOPIX® Index on June 17, 2011 was 10.05709.
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JPMorgan Structured Investments | PS-9 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The next three graphs show the historical weekly performance of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index from January 6, 2006 through June 17, 2011. The closing level of the EURO STOXX 50® Index on June 17, 2011 was 2,770.12. The closing level of the FTSE 100 Index on June 17, 2011 was 5,714.94. The closing level of the TOPIX® Index on June 17, 2011 was 805.34.
The final three graphs on the following page show the historical weekly performance of each Component Currency expressed in terms of the conventional market quotation (which, in the case of the European Union Euro (EUR) and the British Pound Sterling (GBP) is the amount of U.S. Dollars that can be exchanged for one European Union Euro and one British Pound Sterling, respectively, and, in the case of the Japanese Yen (JPY), is the amount of the Japanese Yen that can be exchanged for one U.S. Dollar), as shown on Bloomberg Financial Markets, from January 6, 2006 through June 17, 2011. The exchange rates of the European Union Euro, the British Pound Sterling and the Japanese Yen as shown on Bloomberg Financial Markets on June 17, 2011 were 1.4306, 1.6194 and 80.05, respectively.
The exchange rates set forth above and displayed in the graphs on the following page are for illustrative purposes only and do not form part of the calculation of the Basket Return. The value of the Basket, and thus the Basket Return, assuming no change in the closing levels of the Component Indices, increases when the U.S. dollar depreciates in value against the individual Component Currencies. Therefore, the Index Return for each Component Index and, consequently, the Basket Return, is calculated using the Exchange Rates for each Component Currency expressed, for the European Union Euro and the British Pound Sterling, as the amount of U.S. Dollars per one unit of the applicable Component Currency, which is largely consistent with the approach used to determine the conventional market quotation for each such Component Currency set forth above and in the applicable graphs below and, for the Japanese Yen, as one divided by the amount of the applicable Component Currency per one U.S. Dollar, which is the inverse of the conventional market quotation for each such Component Currency set forth above and in the applicable graph below. In addition, the exchange rates set forth above and in the applicable graphs below are based on the applicable rates displayed on Bloomberg Financial Markets, which is not representative of the source of the Exchange Rates used to calculate the Index Returns of each Component Index. The Exchange Rates are determined based on the applicable rates displayed on the applicable Reuters page at approximately 4:00 p.m. Greenwich Mean Time.
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JPMorgan Structured Investments | PS-10 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
The Exchange Rates of the European Union Euro, the British Pound Sterling and the Japanese Yen on June 17, 2011, were 1.4308, 1.6165 and 0.012488, respectively, calculated in the manner set forth under Key Terms Exchange Rates on the front cover of this pricing supplement.
We obtained the closing levels and exchange rates needed to construct the graphs from Bloomberg Financial Markets, and we obtained the exchange rates used to calculate the Exchange Rates from Reuters Group PLC. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets or Reuters Group PLC. The historical performance of each Component Index and each Component Currency should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any of the Component Indices or the Exchange Rate of any of the Component Currencies on any Ending Averaging Date. We cannot give you assurance that the performance of the Component Indices and the Exchange Rates will result in the return of any of your initial investment.
Supplemental Plan of Distribution (Conflicts of Interest)
We own, directly or indirectly, all of the outstanding equity securities of JPMS, the agent for this offering. The net proceeds received from the sale of the notes will be used, in part, by JPMS or one of its affiliates in connection with hedging our obligation under the notes. In accordance with FINRA Rule 5121, JPMS may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.
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 |
Notes Linked to a Weighted Basket of Three Buffered Return Enhanced Components, Consisting of the EURO STOXX 50® Index, the FTSE 100 Index and the TOPIX® Index, Each Converted into U.S. Dollars |
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