CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$7,000,000 |
$812.70 |
Pricing supplement no. 1424 |
Registration Statement
No. 333-155535 |
Structured |
$7,000,000 7.50% per annum Auto Callable Yield Notes due October 26, 2012 Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
General
Key Terms
Underlyings: |
The S&P 500® Index and the Russell 2000® Index (each an Underlying, and collectively, the Underlyings) |
Interest Rate: |
7.50% per annum, payable quarterly at a rate of 1.875% on each of the five (5) Interest Payment Dates |
Automatic Call: |
If on any Call Date, the closing level of each Underlying is greater than the applicable Starting Underlying Level, the notes will be automatically called. |
Payment if Called: |
If the notes are automatically called, on the applicable Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest to but excluding the applicable Call Settlement Date. |
Protection Amount: |
With respect to the S&P 500® Index, 460.649, which is equal to 35.00% of the Starting Underlying Level of the S&P 500® Index. With respect to the Russell 2000® Index, 290.073, which is equal to 35.00% of the Starting Underlying Level of the Russell 2000® Index. |
Pricing Date: |
July 15, 2011 |
Settlement Date: |
On or about July 20, 2011 |
Observation Date*: |
October 22, 2012 |
Maturity Date*: |
October 26, 2012 |
CUSIP: |
48125XYX8 |
Interest Payment Dates: |
Unless previously called, interest on the notes will be payable quarterly in arrears on the Call Settlement Dates and the maturity date (each, an Interest Payment Date). See Selected Purchase Considerations Quarterly Interest Payments in this pricing supplement for more information. |
Payment at Maturity: |
If the notes are not automatically called, the payment at maturity, in excess of any accrued and unpaid interest, will be based on whether a Trigger Event has occurred and the performance of the Lesser Performing Underlying. If the notes are not automatically called, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest at maturity unless a Trigger Event has occurred. |
If the notes are not automatically called and a Trigger Event has occurred, at maturity you will lose 1% of the principal amount of your notes for every 1% that the Ending Underlying Level of the Lesser Performing Underlying is less than the Starting Underlying Level of such Underlying. Under these circumstances, your payment at maturity per $1,000 principal amount note, in addition to any accrued and unpaid interest, will be calculated as follows: | |
$1,000 + ($1,000 × Lesser Performing Underlying Return) | |
You will lose some or all of your principal at maturity if the notes are not automatically called and a Trigger Event has occured. | |
Trigger Event: |
A Trigger Event occurs if the Ending Underlying Level of either Underlying is less than the Starting Underlying Level of such Underlying by more than the applicable Protection Amount. |
Underlying Return: |
With respect to each Underlying, the Underlying Return is calculated as follows: |
Ending
Underlying Level Starting Underlying Level |
|
Call Dates*: |
October 17, 2011 (first Call Date), January 17, 2012 (second Call Date), April 16, 2012 (third Call Date) and July 16, 2012 (fourth Call Date). |
Call Settlement Dates*: |
October 20, 2011 (first Call Settlement Date), January 20, 2012 (second Call Settlement Date), April 19, 2012 (third Call Settlement Date) and July 19, 2012 (fourth Call Settlement Date). |
Other Key Terms: |
See Additional Key Terms on the next page. |
* |
Subject to postponement as described under Description of Notes Payment at Maturity and Description of Notes Postponement of a Determination Date Notes with a maturity of more than one year in the accompanying product supplement no. 192-A-III and Supplemental Terms of Notes in this pricing supplement. |
Investing in the Auto Callable Yield Notes involves a number of risks. See Risk Factors beginning on page PS-9 of the accompanying product supplement no. 192-A-III and Selected Risk Considerations beginning on page PS-5 of this pricing supplement.
Neither the SEC 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 |
$9 |
$991 |
|
|||
Total |
$7,000,000 |
$63,000 |
$6,937,000 |
|
(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-16 of the accompanying product supplement no. 192-A-III, as supplemented by Supplemental Use of Proceeds in this pricing supplement. |
(2) |
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $9.00 per $1,000 principal amount note. See Plan of Distribution (Conflicts of Interest) beginning on page PS-95 of the accompanying product supplement no. 192-A-III. |
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.
July 15, 2011
Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus dated November 21, 2008, as supplemented by the prospectus supplement dated November 21, 2008 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 192-A-III dated March 10, 2011. This pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related hereto dated July 15, 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. 192-A-III, 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 and our refer to JPMorgan Chase & Co.
Additional Key Terms
Starting Underlying Level: |
With respect to each Underlying, the closing level of such Underlying on the Pricing Date, which was 1316.14 for the S&P 500® Index and 828.78 for the Russell 2000® Index |
Ending Underlying Level: |
With respect to each Underlying, the closing level of such Underlying on the Observation Date |
Lesser Performing Underlying: |
The Underlying with the Lesser Performing Underlying Return |
Lesser Performing Underlying Return: |
The lower of the Underlying Return of the S&P 500® Index and the Underlying Return of the Russell 2000® Index |
Supplemental Terms of the Notes
For purposes of the notes offered by this pricing supplement:
(a) the information set forth under Description of Notes Payment upon Optional Call in the accompanying product supplement no. 192-A-III is deemed to be deleted, and the notes will be automatically called as described under Key Terms Automatic Call on the front cover of this pricing supplement. If the notes are automatically called on a Call Date, we will redeem each note and deliver the applicable cash payment described above on the applicable Call Settlement Date specified on the front cover of this pricing supplement, subject to postponement as described below. If a scheduled Call Settlement Date is not a business day, then that Call Settlement Date will be the next succeeding business day following the scheduled Call Settlement Date. If, due to a market disruption event or otherwise, a Call Date is postponed so that it falls less than three business days prior to the applicable scheduled Call Settlement Date, the applicable Call Settlement Date will be the third business day following the Call Date, as postponed. If an applicable Call Settlement Date is adjusted as the result of a market disruption event or otherwise, the payment of interest due on that Call Settlement Date will be made on that Call Settlement Date as adjusted, with the same force and effect as if the Call Settlement Date had not been adjusted, but no additional interest will accrue or be payable as a result of the delayed payment;
(b) all references in the accompanying product supplement no. 192-A-III to Callable Yield Notes will be deemed to refer to Auto Callable Yield Notes and all references to Optional Call Dates will be deemed refer to Call Settlement Dates;
(c) all references in Certain U.S. Federal Income Tax Consequences in the accompanying product supplement no. 192-A-III to an Optional Call will be deemed to refer to an Automatic Call;
(d) the Call Dates are Determination Dates as described in the accompanying product supplement no. 192-A-III and are subject to postponement as described under Description of Notes Postponement of a Determination Date Notes with a maturity of more than one year in the accompanying product supplement no. 192-A-III;
(e) the concept of a Monitoring Period, as described in the accompanying product supplement no. 192-A-III, is not applicable. Instead, whether a Trigger Event has occurred will depend on the closing level of each Underlying on a single day (the Observation Date) only, which we also refer to as the Ending Underlying Level. Accordingly, you should disregard the definition for the Monitoring Period in the accompanying product supplement no. 192-A-III, and you should deem references in the accompanying product supplement no. 192-A-III to (i) the Monitoring Period to be the Observation Date, and (ii) on any day during the Monitoring Period or during the Monitoring Period to be on the Observation Date; and
(f) the first paragraph set forth under Description of Notes Interest Payments in the accompanying product supplement no. 192-A-III is deemed to be deleted. Instead, for each interest period, for each $1,000 principal amount note, the interest payment will be calculated as follows: $1,000 × interest rate (7.50%) × ¼.
|
|
JPMorgan Structured Investments | PS-1 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
What Is the Total Return on the Notes at Maturity or Upon Automatic Call, Assuming a Range of Performances for the Lesser Performing Underlying?
The following table and examples illustrate the hypothetical total return on the notes at maturity or upon automatic call. The note total return as used in this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity or upon automatic call plus the interest payments received to and including the maturity date or the relevant Call Settlement Date, as applicable, per $1,000 principal amount note to $1,000. The table and examples below assume that the Lesser Performing Underlying is the S&P 500® Index and that the closing level of the Russell 2000® Index on each Call Date is greater than its Starting Underlying Level. We make no representation or warranty as to which of the Underlyings will be the Lesser Performing Underlying for purposes of calculating your actual payment at maturity, if applicable, or as to what the level of either Underlying will be on any Call Date. In addition, the following table and examples assume a Starting Underlying Level for the Lesser Performing Underlying of 1300 and reflect the Interest Rate of 7.50% per annum over the term of the notes and the Protection Amount of 35.00%. The hypothetical total returns and total payments set forth below are for illustrative purposes only and may not be the actual total returns or total payments applicable to a purchaser of the notes. The numbers appearing in the following table and examples have been rounded for ease of analysis.
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||||
Closing Level of the |
Lesser Performing |
Note Total Return at |
Note Total |
Note Total Return at |
|
||||
2,340.00 |
80.00% |
1st Call Settlement |
9.375% |
N/A |
2,145.00 |
65.00% |
9.375% |
N/A |
|
1,950.00 |
50.00% |
9.375% |
N/A |
|
1,820.00 |
40.00% |
9.375% |
N/A |
|
1,690.00 |
30.00% |
9.375% |
N/A |
|
1,560.00 |
20.00% |
9.375% |
N/A |
|
1,430.00 |
10.00% |
9.375% |
N/A |
|
1,365.00 |
5.00% |
9.375% |
N/A |
|
1,313.00 |
1.00% |
9.375% |
N/A |
|
1,300.00 |
0.00% |
N/A |
9.375% |
N/A |
1,235.00 |
-5.00% |
N/A |
9.375% |
N/A |
1,170.00 |
-10.00% |
N/A |
9.375% |
N/A |
1,040.00 |
-20.00% |
N/A |
9.375% |
N/A |
975.00 |
-25.00% |
N/A |
9.375% |
N/A |
910.00 |
-35.00% |
N/A |
9.375% |
N/A |
832.00 |
-36.00% |
N/A |
N/A |
-26.625% |
780.00 |
-40.00% |
N/A |
N/A |
-30.625% |
650.00 |
-50.00% |
N/A |
N/A |
-40.625% |
520.00 |
-60.00% |
N/A |
N/A |
-50.625% |
390.00 |
-70.00% |
N/A |
N/A |
-60.625% |
260.00 |
-80.00% |
N/A |
N/A |
-70.625% |
130.00 |
-90.00% |
N/A |
N/A |
-80.625% |
0.00 |
-100.00% |
N/A |
N/A |
-90.625% |
|
The following examples illustrate how the note total returns and total payments set forth in the table above are calculated.
Example 1: The level of the Lesser Performing Underlying increases from the Starting Underlying Level of 1300 to a closing level of 1313 on the first Call Date. Because the closing level of each Underlying on the first Call Date is greater than the applicable Starting Underlying Level, the notes are automatically called, and the investor receives a payment of $1,018.75 per $1,000 principal amount note, consisting of an interest payment of $18.75 per $1,000 principal amount note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
Example 2: The level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 1300 to a closing level of 1235 on the first Call Date and 1170 on the second Review Date and increases from the Starting Underlying Level of 1300 to a closing level of 1365 on the third Review Date. Although the level of the Lesser Performing Underlying on each of the first two Review Dates (1235 and 1170) is less than the Starting Underlying Level of 1300, because the closing level of each Underlying on the third Review Date is greater than the applicable Starting Underlying Level, the notes are automatically called, and the investor receives total payments of $1,056.25 per $1,000 principal amount note, consisting of interest payments of $56.25 per $1,000 principal amount note and a payment upon automatic call of $1,000 per $1,000 principal amount note.
|
|
JPMorgan Structured Investments | PS-2 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Example 3: The notes are not automatically called prior to maturity and the level of the Lesser Performing Underlying increases from the Starting Underlying Level of 1300 to an Ending Underlying Level of 1365. A Trigger Event has not occurred. Because the notes are not automatically called prior to maturity and the Ending Underlying Level of the Lesser Performing Underlying of 1365 is greater than its Starting Underlying Level of 1300, a Trigger Event has not occurred and the investor receives total payments of $1,093.75 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $93.75 per $1,000 principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 4: The notes are not automatically called prior to maturity and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 1300 to an Ending Underlying Level of 1040. A Trigger Event has not occurred. Because the notes are not called prior to maturity and a Trigger Event has not occurred, even though the Ending Underlying Level of the Lesser Performing Underlying of 1040 is less than its Starting Underlying Level of 1300, the investor receives total payments of $1,093.75 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $93.75 per $1,000 principal amount note over the term of the notes and a payment at maturity of $1,000 per $1,000 principal amount note. This represents the maximum total payment an investor may receive over the term of the notes.
Example 5: The notes are not automatically called prior to maturity and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 1300 to an Ending Underlying Level of 780. A Trigger Event has occurred. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 780 is less than its Starting Underlying Level of 1300, the investor receives total payments of $693.75 per $1,000 principal amount note over the term of the notes, consisting of interest payments of $93.75 per $1,000 principal amount note over the term of the notes and a payment at maturity of $600 per $1,000 principal amount note, calculated as follows:
[$1,000 + ($1,000 × -40%)] + $93.75 = $693.75
Example 6: The notes are not automatically called prior to maturity and the level of the Lesser Performing Underlying decreases from the Starting Underlying Level of 1300 to an Ending Underlying Level of 0. A Trigger Event has occurred. Because the notes are not automatically called prior to maturity, a Trigger Event has occurred and the Ending Underlying Level of the Lesser Performing Underlying of 0 is less than its Starting Underlying Level of 1300, the investor receives total payments of $93.75 per $1,000 principal amount note over the term of the notes, consisting solely of interest payments of $93.75 per $1,000 principal amount note over the term of the notes, calculated as follows:
[$1,000 + ($1,000 × -100%)] + $93.75 = $93.75
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-3 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Selected Purchase Considerations
|
|
JPMorgan Structured Investments | PS-4 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in either or both of the Underlyings or any of the equity securities included in the Underlyings. These risks are explained in more detail in the Risk Factors section of the accompanying product supplement no. 192-A-III dated March 10, 2011.
|
|
JPMorgan Structured Investments | PS-5 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
|
|
JPMorgan Structured Investments | PS-6 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
Historical Information
The following graphs show the historical weekly performance of the S&P 500® Index and the Russell 2000® Index from January 6, 2006 through July 15, 2011. The closing level of the S&P 500® Index on July 15, 2011 was 1316.14. The closing level of the Russell 2000® Index on July 15, 2011 was 828.78.
We obtained the various closing levels of the Underlyings below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of information obtained from Bloomberg Financial Markets. The historical levels of each Underlying should not be taken as an indication of future performance, and no assurance can be given as to the closing level of any Underlying on any day during the Monitoring Period or the Observation Date. We cannot give you assurance that the performance of the Underlyings will result in the return of any of your initial investment.
Supplemental Use of Proceeds
Notwithstanding anything to the contrary in the accompanying product supplement no. 192-A-III (in particular, the second paragraph of the Use of Proceeds section on PS-19 of the accompanying product supplement), for purposes of the notes offered by this pricing supplement, the original issue price of the notes will include the reimbursement of certain issuance costs and the estimated cost of hedging our obligations under the notes. The estimated cost of hedging includes the projected profit, which in no event will exceed $25.00 per $1,000 principal amount note, that our affiliates expect to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, the actual cost of such hedging may result in a profit that is more or less than expected, or could result in a loss.
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|
JPMorgan Structured Investments | PS-7 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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-8 |
Auto Callable Yield Notes Linked to the Lesser Performing of the S&P 500® Index and the Russell 2000® Index |
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