424B2 1 e44853-424b2.htm PRICING SUPPLEMENT NO. 1498

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered	Maximum Aggregate Offering Price	Amount of Registration Fee
Notes	$564,000	$65.48

Pricing supplement no. 1498
To prospectus dated November 21, 2008,
prospectus supplement dated November 21, 2008 and
product supplement no. 144-A-IV dated January 29, 2010

Registration Statement No. 333-155535
Dated August 9, 2011
Rule 424(b)(2)

Structured
Investments

$564,000
Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust due September 13, 2012

General

The notes are designed for investors who seek a fixed return of 15.35% at maturity if, on the Review Date, the SPDR^® S&P 500^® ETF Trust is at or above the Trigger Price. If the notes are not automatically called, investors should be willing to lose their entire principal if the Final Share Price is less than the Initial Share Price by more than 15%. Investors in the notes should be willing to accept this risk of loss, and be willing to forgo interest and dividend payments, in exchange for the opportunity to receive a premium payment if the notes are automatically called. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
Senior unsecured obligations of JPMorgan Chase & Co. maturing September 13, 2012^†
Minimum denominations of $1,000 and integral multiples thereof
The notes priced on August 9, 2011 and are expected to settle on or about August 12, 2011.

Key Terms

Index Fund:	SPDR^® S&P 500^® ETF Trust (the “Index Fund”). For additional information about the SPDR^® S&P 500^® ETF Trust, see Appendix A to this term sheet.
Automatic Call:	If the closing price of one share of the Index Fund on the Maturity Date is greater than or equal to the Trigger Price, the notes will be automatically called for a cash payment as described below.
Trigger Price:	100% of the Initial Share Price
Payment if Called:	If the notes are automatically called, on the Maturity Date, for every $1,000 principal amount note, you will receive one payment of $1,000 plus a call premium amount of $153.50 (or 15.35% x $1,000).
Payment at Maturity:	If the notes are not automatically called and the Final Share Price is less than the Initial Share Price by no more than 15%, you will receive the principal amount of your notes at maturity. If the Final Share Price is less than the Initial Share Price by more than 15%, you will lose 1% of the principal amount of your notes for every 1% that the Final Share Price is less than the Initial Share Price, and your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Share Return) If the notes are not automatically called, and the Ending Index Level is less than the Initial Share Price by more than 15%, you will lose some or all of your investment at maturity.
Contingent Buffer Amount:	15%
Share Return:	Final Share Price – Initial Share Price Initial Share Price
Initial Share Price:	The closing price of one share of the Index Fund on the pricing date, which was $117.37, divided by the Share Adjustment Factor
Final Share Price:	The closing price of one share of the Index Fund on the Review Date
Share Adjustment Factor:	Set equal to 1.0 on the pricing date and subject to adjustment under certain circumstances. See “Description of Notes — Payment at Maturity” and “General Terms of Notes — Anti-Dilution Adjustments” in the accompanying product supplement 144-A-IV for further information about these adjustments.
Review Date:	September 10, 2012^†
Maturity Date:	September 13, 2012^†
CUSIP:	48125XL20

^†Subject to postponement in the event of a market disruption event and as described under “Description of Notes — Payment at Maturity” or “Description of Notes — Automatic Call,” as applicable, in the accompanying product supplement no. 144-A-IV.

Investing in the Single Review Notes involves a number of risks. See “Risk Factors” beginning on page PS-6 of the accompanying product supplement no. 144-A-IV 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 product supplement, 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	$21.50	$978.50

Total	$564,000	$12,126	$551,874

(1) The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates.

(2) J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $21.50 per $1,000 principal amount note and will use a portion of that commission to allow selling concessions to other affiliated and unaffiliated dealers of $2.50 per $1,000 principal amount note. 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. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-56 of the accompanying product supplement no. 144-A-IV.

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.

August 9, 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. 144-A-IV dated January 29, 2010. This pricing supplement, together with the documents listed below, contains the terms of the notes 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. 144-A-IV, 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. 144-A-IV dated January 29, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000320/e37642_424b2.pdf
Prospectus supplement dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_424b2.pdf
Prospectus dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005658/e33655_424b2.pdf

Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, the “Company,” “we,” “us” or “our” refers to JPMorgan Chase & Co.

Selected Purchase Considerations

APPRECIATION POTENTIAL — If the closing price of one share of the Index Fund is greater than or equal to the Trigger Price on the Review Date, your investment will yield a payment per $1,000 principal amount note of $1,000 plus a call premium amount of $153.50 (or 15.35% x $1,000). Because the notes are our senior unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due.
CONTINGENT PROTECTION AGAINST LOSS — If the notes are not called, and the Final Share Price is less than the Initial Share Price by not more than 15%, you will be entitled to receive the full principal amount of your notes at maturity. If the Final Share Price is less than the Initial Share Price by more than 15%, for every 1% that the Final Share Price is less than the Initial Share Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these circumstances you will lose at least 15% of your principal.
DIVERSIFICATION OF THE SPDR^® S&P 500^® ETF TRUST — The return on the notes is linked to the SPDR^® S&P 500^® ETF Trust. The SPDR^® S&P 500^® ETF Trust is a unit investment trust that issues securities called “Trust Units,” or “Units” (which we refer to as “shares” for purposes of this pricing supplement and the accompanying product supplement), which are traded on the NYSE Arca, Inc., or NYSE Arca, under the ticker symbol “SPY.” The SPDR^® S&P 500^® ETF Trust is a registered investment company, and its objective is to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500^® Index, which we refer to as the Underlying Index. The Underlying Index consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. For additional information about the SPDR^® S&P 500^® ETF Trust, see the information set forth in Appendix A to this pricing supplement.
CAPITAL GAINS TAX TREATMENT — You should review carefully the section entitled “Certain U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 144-A-IV. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special tax counsel, Davis Polk & Wardwell LLP, it is reasonable to treat the notes as “open transactions” for U.S. federal income tax purposes. Assuming this characterization is respected, the gain or loss on your notes should be treated as long-term capital gain or loss if you hold your notes for more than a year, whether or not you are an initial purchaser of notes at the issue price. However, the Internal Revenue Service (the “IRS”) or a court may not respect this characterization or treatment of the notes, in which case the timing and character of any income or loss on the notes could be significantly and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments, which might include the notes. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-1

relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by Non-U.S. Holders should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income that is subject to an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments and the issues presented by this notice. Non-U.S. Holders should also note that they may be withheld upon at a rate of up to 30% unless they have submitted a properly completed IRS Form W-8BEN or otherwise satisfied the applicable documentation requirements.

The discussion in the preceding paragraph, when read in combination with the section entitled “Certain U.S. Federal Income Tax Consequences” in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.

Selected Risk Considerations

An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index Fund, the Underlying Index or any of the component securities held by the Index Fund or included in the Underlying Index. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 144-A-IV dated January 29, 2010.

YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS — The notes do not guarantee any return of principal. If the notes are not automatically called and the Final Share Price is less than the Initial Share Price by more than 15%, you will lose 1% of your principal at maturity for every 1% that the Final Share Price is less than the Initial Share Price. Under these circumstances you will lose at least 15% of your principal.
CREDIT RISK OF JPMORGAN CHASE & CO. — The notes are subject to the credit risk of JPMorgan Chase & Co. and our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on JPMorgan Chase & Co.’s ability to pay all amounts due on the notes at maturity, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes.
POTENTIAL CONFLICTS — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent and hedging our obligations under the notes. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. It is possible that such hedging or other trading activities of ours or our affiliates could result in substantial returns for us or our affiliates while the value of the notes declines.

In addition, we are currently one of the companies that make up the Index Fund and the Underlying Index. We will not have any obligation to consider your interests as a holder of the notes in taking any corporate action that might affect the value of the Index Fund, the Underlying Index and the notes.
LIMITED RETURN ON THE NOTES — Your potential gain on the notes will be limited to the call premium of 15.35%, regardless of the appreciation of the closing price of one share of the Index Fund, which may be significant. Because the closing price of one share of the Index Fund at various times during the term of the notes could be higher than on the Review Date, you may receive a lower payment at maturity than you would have if you had invested directly in the Index Fund.
YOUR CONTINGENT PROTECTION MAY TERMINATE ON THE REVIEW DATE — If the Notes are not automatically called and the Final Share Price is less than the Initial Share Price by more than 15%, you will at maturity be fully exposed to any depreciation in the Index Fund. We refer to this feature as contingent protection. Under these circumstances, you will lose 1% of the principal amount of your investment for every 1% that the Final Share Price is less than the Initial Share Price. If these notes had a non-contingent protection feature, under the same scenario, the amount you would have received at maturity would have been increased by the contingent buffer amount. As a result, your investment in the notes may not perform as well as an investment in a security with a return that includes a non-contingent buffer.
CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY — While the payment upon an automatic call or at maturity described in this pricing supplement is based on the full principal amount of your notes, the original issue price of the notes includes the agent’s commission and the estimated cost of hedging our obligations under the notes. As a result, and as a general matter, the price, if


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-2

any, at which JPMS will be willing to purchase notes from you in secondary market transactions, if at all, will likely be lower than the original issue price and any sale prior to the maturity date could result in a substantial loss to you. This secondary market price will also be affected by a number of factors aside from the agent’s commission and hedging costs, including those set forth under “Many Economic and Market Factors Will Influence the Value of the Notes” below.
The notes are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.

NO INTEREST OR DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the notes, you will not receive interest payments, and you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of shares of the Index Fund or the equity securities held by the Index Fund or included in the Underlying Index would have.
LACK OF LIQUIDITY — The notes will not be listed on any securities exchange. JPMS intends to offer to purchase the notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which JPMS is willing to buy the notes.
THERE ARE RISKS ASSOCIATED WITH THE INDEX FUND — Although shares of the Index Fund are listed for trading on NYSE Arca and a number of similar products have been traded on NYSE Arca and other national securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the shares of the Index Fund or that there will be liquidity in the trading market. The Index Fund is subject to management risk, which is the risk that the investment strategies of its investment adviser, the implementation of which is subject to a number of constraints, may not produce the intended results. State Street Bank and Trust Company (“SSBTC”) is currently the investment adviser for the Index Fund. These constraints could adversely affect the market price of the shares of the Index Fund, and consequently, the value of the notes.
DIFFERENCES BETWEEN THE INDEX FUND AND THE UNDERLYING INDEX — The Index Fund does not fully replicate and may hold securities not included in the Underlying Index, and the performance of the Index Fund will reflect additional transaction costs and fees that are not included in the calculation of the Underlying Index, all of which may lead to a lack of correlation between the Index Fund and the Underlying Index. In addition, corporate actions with respect to the sample of equity securities (such as mergers and spin-offs) may impact the variance between the Index Fund and the Underlying Index. Finally, because the shares of the Index Fund are traded on the NYSE Arca and are subject to market supply and investor demand, the market value of one share of the Index Fund may differ from the net asset value per share of the Index Fund. For all of the foregoing reasons, the performance of the Index Fund may not correlate with the performance of the Underlying Index.
THE ANTI-DILUTION PROTECTION FOR THE INDEX FUND IS LIMITED — The calculation agent will make adjustments to the Share Adjustment Factor for certain events affecting the shares of the Index Fund. However, the calculation agent will not make an adjustment in response to all events that could affect the shares of the Index Fund. If an event occurs that does not require the calculation agent to make an adjustment, the value of the notes may be materially and adversely affected.
MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE NOTES — In addition to the closing price of one share of the Index Fund on any day, the value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other, including:
- the actual and expected volatility of the Index Fund;
- the time to maturity of the notes;
- the dividend rates on the equity securities underlying the Index Fund;
- interest and yield rates in the market generally;
- a variety of economic, financial, political, regulatory and judicial events;
- the occurrence of certain events to the Index Fund that may or may not require an adjustment to the Share Adjustment Factor; and
- our creditworthiness, including actual or anticipated downgrades in our credit ratings.


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-3

Hypothetical Examples of Amounts Payable upon Automatic Call or at Maturity

The following table illustrates the hypothetical simple total return (i.e., not compounded) on the notes that could be realized on the Review Date for a range of movements in the closing price of one share of the Index Fund as shown under the column “Closing Price Appreciation/Depreciation at Review Date.” The following table assumes a Trigger Price equal to a hypothetical Initial Share Price of $120.00. The table reflects that the call premium used to calculate the call price applicable to the Review Date is 15.35%, regardless of the appreciation of the closing price of one share of the Index Fund, which may be significant, and the Contingent Buffer Amount of 15.00%. There will be only one payment on the notes at maturity whether or not the notes are automatically called. The hypothetical returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes.


	Closing Price	Total
	Appreciation/	Return
	Depreciation at	at
Closing Price	Review Date	Maturity Date

$216.000	80.00%	15.35%
$204.000	70.00%	15.35%
$192.000	60.00%	15.35%
$180.000	50.00%	15.35%
$168.000	40.00%	15.35%
$156.000	30.00%	15.35%
$144.000	20.00%	15.35%
$132.000	10.00%	15.35%
$126.000	5.00%	15.35%
$121.200	1.00%	15.35%
$120.000	0.00%	15.35%
$118.800	-1.00%	0.00%
$114.000	-5.00%	0.00%
$108.000	-10.00%	0.00%
$102.000	-15.00%	0.00%
$101.988	-15.01%	-15.01%
$96.000	-20.00%	-20.00%
$84.000	-30.00%	-30.00%
$72.000	-40.00%	-40.00%
$60.000	-50.00%	-50.00%
$48.000	-60.00%	-60.00%
$36.000	-70.00%	-70.00%
$24.000	-80.00%	-80.00%
$12.000	-90.00%	-90.00%
$0.000	-100.00%	-100.00%

The following examples illustrate how the total returns set forth in the table on the above are calculated.

Example 1: The closing price of one share of the Index Fund increases from the Initial Share Price of $120.00 to a closing price of $132.00 on the Review Date. Because the closing price of one share of the Index Fund on the Review Date of $132.00 is greater than the Trigger Price of $120.00, the notes are automatically called, and the investor receives a single payment of $1,153.50 per $1,000 principal amount note.

Example 2: The closing price of one share of the Index Fund decreases from the Initial Share Price of $120.00 to a closing price of $114.00 on the Review Date. Because (a) the closing price of one share of the Index Fund on the Review Date of $114.00 is less than the Trigger Price of $120.00 and (b) the Final Share Price is less than the Initial Share Price by not more than 15.00%, the notes are not automatically called and the payment at maturity is the principal amount of $1,000 per $1,000 principal amount note.

Example 3: The closing price of one share of the Index Fund decreases from the Initial Share Price of $120.00 to a closing price of $72.00 on the Review Date. Because (a) the closing price of one share of the Index Fund on the Review Date of $72.00 is less than the Trigger Price of $120.00 and (b) the Final Share Price is less than the Initial Share Price by more than 15%, the notes are not automatically called and the investor receives a payment at maturity that is less than the principal amount for each $1,000 principal amount note, calculated as follows:

$1,000 + ($1,000 x -40%) = $600

The hypothetical returns and hypothetical 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 would likely be lower.


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-4

Historical Information

The following graph sets forth the historical performance of the Index Fund based on the weekly closing price of one share of the Index Fund from January 6, 2006 through August 5, 2011 The closing price of one share of the Index Fund on August 9, 2011 was $117.37. We obtained the closing prices of the Index Fund below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.

The historical prices of the Index Fund should not be taken as an indication of future performance, and no assurance can be given as to the closing price of one share of the Index Fund on the Review Date. We cannot give you assurance that the performance of the Index Fund will result in the return of any of your initial investment.

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 trustee’s 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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Appendix A

SPDR^® S&P 500^® ETF Trust

We have derived all information contained in this pricing supplement regarding the SPDR^® S&P 500^® ETF Trust (the “Trust”), including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, State Street Bank and Trust Company, as trustee of the Index Fund (“SSBTC”), and PDR Services LLC, as sponsor of the SPDR^® S&P 500^® ETF Trust (the “Fund Sponsor”). The SPDR^® S&P 500^® ETF Trust is a unit investment trust that issues securities called “Trust Units” or “Units.” The SPDR^® S&P 500^® ETF Trust is an exchange-traded fund that trades on the NYSE Arca, Inc. (“NYSE Arca”) under the ticker symbol “SPY.” We make no representations or warranty as to the accuracy or completeness of the information derived from these public sources.

The SPDR^® S&P 500^® ETF Trust is an investment company registered under the Investment Company Act of 1940, as amended. Trust Units represent an undivided ownership interest in a portfolio of all, or substantially all, of the common stocks of the S&P 500^® Index, which we refer to as the Underlying Index. Information provided to or filed with the SEC by the SPDR^® S&P 500^® ETF Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 033-46080 and 811-06125, respectively, through the SEC’s website at http://www.sec.gov. For additional information regarding the SPDR^® S&P 500^® ETF Trust, SSBTC and the Fund Sponsor, please see the Prospectus dated January 26, 2011 of the SPDR^® S&P 500^® ETF Trust. In addition, information about the SPDR^® S&P 500^® ETF Trust, SSBTC and the Fund Sponsor may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the SPDR^® S&P 500^® ETF Trust website at https://www.spdrs.com/product/fund.seam?ticker=SPY. We make no representation or warranty as to the accuracy or completeness of such information. Information contained in the SPDR^® S&P 500^® ETF Trust ’s website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.

Investment Objective and Strategy

The SPDR^® S&P 500^® ETF Trust ’s objective is to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500^® Index. The SPDR^® S&P 500^® ETF Trust holds stocks and cash and is not actively managed by traditional methods, which typically involve effecting changes in the holdings of stocks and cash on the basis of judgments made relating to economic, financial and market considerations. To maintain the correspondence between the composition and weightings of the stocks held by the SPDR^® S&P 500^® ETF Trust and the component stocks of the S&P 500^® Index, which we refer to as “Index Securities,” SSBTC adjusts the holdings of the SPDR^® S&P 500^® ETF Trust from time to time to conform to periodic changes in the identity and/or relative weightings of the Index Securities. SSBTC aggregates certain of these adjustments and makes changes to the holdings of the SPDR^® S&P 500^® ETF Trust at least monthly or more frequently in the case of significant changes to the S&P 500^® Index. Any change in the identity or weighting of an Index Security will result in a corresponding adjustment to the prescribed holdings of the SPDR^® S&P 500^® ETF Trust effective on any day that the New York Stock Exchange (“NYSE”) is open for business following the day on which the change to the S&P 500^® Index takes effect after the close of the market. The value of Trust Units fluctuates in relation to changes in the value of the holdings of the SPDR^® S&P 500^® ETF Trust. The market price of each individual Trust Unit may not be identical to the net asset value of such Trust Unit.

It is possible that the SPDR^® S&P 500^® ETF Trust may not always fully replicate the performance of the S&P 500^® Index due to the unavailability of certain Index Securities in the secondary market or due to other extraordinary circumstances. In addition, the SPDR^® S&P 500^® ETF Trust is not able to replicate exactly the performance of the S&P 500^® Index because the total return generated by the SPDR^® S&P 500^® ETF Trust ’s portfolio of stocks and cash is reduced by the expenses of the SPDR^® S&P 500^® ETF Trust and transaction costs incurred in adjusting the actual balance of the SPDR^® S&P 500^® ETF Trust ’s portfolio.

As of August 8, 2011, the SPDR^® S&P 500^® ETF Trust ’s three largest holdings were Exxon Mobile Corporation, Apple Inc. and International Business Machines Corporation, and its three largest sectors were information technology, financials and energy.


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Holdings Information

The following tables summarize the Index Fund’s top holdings in individual companies and by sector as of August 8, 2011.

Top Holdings in Individual Securities as of August 8, 2011

Company	Percentage of Total Holdings
Exxon Mobile Corporation	3.38%
Apple Inc.	3.19%
International Business Machines Corporation	1.97%
Microsoft Corporation	1.78%
Chevron Corporation	1.77%
Johnson & Johnson	1.64%
The Proctor & Gamble Company	1.62%
AT&T Inc.	1.60%
General Electric Company	1.60%
The Coca-Cola Company	1.46%

Top Holdings by Sector as of August 8, 2011

Sector	Percentage of Total Holdings
Information Technology	19.13%
Financials	14.02%
Energy	12.38%
Health Care	11.66%
Consumer Staples	11.54%
Consumer Discretionary	10.55%
Industrials	10.51%
Utilities	3.58%
Materials	3.49%
Telecommunication Services	3.12%

The information above was compiled from the SPDR^® S&P 500^® ETF Trust website. We make no representation or warranty as to the accuracy of the information above. Information contained in the SPDR^® S&P 500^® ETF Trust website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.

Disclaimer

The notes are not sponsored, endorsed, sold or promoted by the SPDR^® S&P 500^® ETF Trust, SSBTC or the Fund Sponsor. None of the SPDR^® S&P 500^® ETF Trust, SSBTC or the Fund Sponsor makes any representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. None of the SPDR^® S&P 500^® ETF Trust, SSBTC or the Fund Sponsor has any obligation or liability in connection with the operation, marketing, trading or sale of the notes.

The S&P 500^® Index

We have derived all information contained in this pricing supplement regarding the S&P 500^® Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”). We make no representation or warranty as to the accuracy or completeness of such information. The S&P 500^® Index was developed by S&P and is calculated, maintained and published by S&P. S&P has no obligation to continue to publish, and may discontinue the publication of, the S&P 500^® Index.

The S&P 500^® Index is reported by Bloomberg L.P. under the ticker symbol “SPX.”

The S&P 500^® Index is intended to provide a performance benchmark for the U.S. equity markets. The calculation of the level of the S&P 500^® Index (discussed below in further detail) is based on the relative value of the aggregate Market Value (as defined below) of the common stocks of 500 companies (the “S&P Component Stocks”) as of a particular time as compared to the aggregate average Market Value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. Historically, the “Market Value” of any S&P Component Stock was calculated as the product of the market price per share and the number of the then-outstanding shares of such S&P Component Stock.


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-7

As discussed below, on March 21, 2005, S&P began to use a new methodology to calculate the Market Value of the S&P Component Stocks and on September 16, 2005, S&P completed its transition to the new calculation methodology. The 500 companies are not the 500 largest companies listed on the New York Stock Exchange (the “NYSE”) and not all 500 companies are listed on such exchange. S&P chooses companies for inclusion in the S&P 500^® Index with the objective of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the U.S. equity market. S&P may from time to time, in its sole discretion, add companies to, or delete companies from, the S&P 500^® Index to achieve the objectives stated above. Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the company’s common stock is widely-held and the Market Value and trading activity of the common stock of that company.

On March 21, 2005, S&P began to calculate the S&P 500^® Index based on a half float-adjusted formula, and on September 16, 2005, the S&P 500^® Index became fully float-adjusted. S&P’s criteria for selecting stocks for the S&P 500^® Index was not changed by the shift to float adjustment. However, the adjustment affects each company’s weight in the S&P 500^® Index (i.e., its Market Value).

Under float adjustment, the share counts used in calculating the S&P 500^® Index reflect only those shares that are available to investors, not all of a company’s outstanding shares. S&P defines three groups of shareholders whose holdings are subject to float adjustment:

holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners, or leveraged buyout groups;
holdings by government entities, including all levels of government in the United States or foreign countries; and
holdings by current or former officers and directors of the company, founders of the company or family trusts of officers, directors or founders, as well as holdings of trusts, foundations, pension funds, employee stock ownership plans, or other investment vehicles associated with and controlled by the company.

However, treasury stock, stock options, equity participation units, warrants, preferred stock, convertible stock and rights are not part of the float. In cases where holdings in a group exceed 10% of the outstanding shares of a company, the holdings of that group will be excluded from the float-adjusted count of shares to be used in the S&P 500^® Index calculation. Mutual funds, investment advisory firms, pension funds or foundations not associated with the company and investment funds in insurance companies, shares that trust beneficiaries may buy or sell without difficulty or significant additional expense beyond typical brokerage fees, and, if a company has multiple classes of stock outstanding, shares in an unlisted or non-traded class if such shares are convertible by shareholders without undue delay and cost, are also part of the float. Shares held in a trust to allow investors in countries outside the country of domicile (e.g., ADRs, CDIs and Canadian exchangeable shares) are normally part of the float.

For each stock, an investable weight factor (“IWF”) is calculated by dividing the available float shares, defined as the total shares outstanding less shares held in one or more of the three groups listed above where the group holdings exceed 10% of the outstanding shares, by the total shares outstanding. (On March 21, 2005, the S&P 500^® Index moved halfway to float adjustment, meaning that if a stock has an IWF of 0.80, the IWF used to calculate the S&P 500^® Index between March 21, 2005 and September 16, 2005 was 0.90. On September 16, 2005, S&P began to calculate the S&P 500^® Index on a fully float-adjusted basis, meaning that if a stock has an IWF of 0.80, the IWF used to calculate the S&P 500^® Index on and after September 16, 2005 is 0.80.) The float-adjusted Index is calculated by dividing the sum of the IWF multiplied by both the price and the total shares outstanding for each stock by the Index Divisor. For companies with multiple classes of stock, S&P calculates the weighted average IWF for each stock using the proportion of the total company market capitalization of each share class as weights.

As of the date of this pricing supplement, the S&P 500^® Index is calculated using a base-weighted aggregate methodology: the level of the S&P 500^® Index reflects the total Market Value of all 500 S&P Component Stocks relative to the S&P 500^® Index’s base period of 1941–43 (the “Base Period”).

An indexed number is used to represent the results of this calculation in order to make the value easier to work with and track over time.

The actual total Market Value of the S&P Component Stocks during the Base Period has been set equal to an indexed value of 10. This is often indicated by the notation 1941–43=10. In practice, the daily calculation of the S&P 500^® Index is computed by dividing the total Market Value of the S&P Component Stocks by a number called the Index Divisor. By itself, the Index Divisor is an arbitrary number. However, in the context of the calculation of the S&P 500^® Index, it is the only link to the original Base Period level of the S&P 500^® Index. The Index Divisor keeps the S&P 500^®


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-8

Index comparable over time and is the manipulation point for all adjustments to the S&P 500^® Index (“Index Maintenance”).

Index Maintenance includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends and stock price adjustments due to company restructurings or spin-offs.

To prevent the level of the S&P 500^® Index from changing due to corporate actions, all corporate actions which affect the total Market Value of the S&P 500^® Index require an Index Divisor adjustment. By adjusting the Index Divisor for the change in total Market Value, the level of the S&P 500^® Index remains constant. This helps maintain the level of the S&P 500^® Index as an accurate barometer of stock market performance and ensures that the movement of the S&P 500^® Index does not reflect the corporate actions of individual companies in the S&P 500^® Index. All Index Divisor adjustments are made after the close of trading and after the calculation of the closing level of the S&P 500^® Index. Some corporate actions, such as stock splits and stock dividends, require simple changes in the common shares outstanding and the stock prices of the companies in the S&P 500^® Index and do not require Index Divisor adjustments.

The table below summarizes the types of Index Maintenance adjustments and indicates whether or not an Index Divisor adjustment is required.

Type of Corporate Action	Comments	Divisor Adjustment
Company added/ deleted	Net change in market value determines divisor adjustment.	Yes
Change in shares outstanding	Any combination of secondary issuance, share repurchase or buy back – share counts revised to reflect change.	Yes
Stock split	Share count revised to reflect new count. Divisor adjustment is not required since the share count and price changes are offsetting.	No
Spin-off	If the spun-off company is not being added to the index, the divisor adjustment reflects the decline in index market value (i.e., the value of the spun-off unit).	Yes
Spin-off	Spun-off company added to the index, another company removed to keep number of names fixed. Divisor adjustment reflects deletion.	Yes
Change in IWF due to a corporate action or a purchase or sale by an inside holder	Increasing (decreasing) the IWF increases (decreases) the total market value of the index. The divisor change reflects the change in market value caused by the change to an IWF.	Yes
Special dividend	When a company pays a special dividend the share price is assumed to drop by the amount of the dividend; the divisor adjustment reflects this drop in index market value.	Yes
Rights offering	Each shareholder receives the right to buy a proportional number of additional shares at a set (often discounted) price. The calculation assumes that the offering is fully subscribed. Divisor adjustment reflects increase in market cap measured as the shares issued multiplied by the price paid.	Yes

Stock splits and stock dividends do not affect the Index Divisor, because following a split or dividend, both the stock price and number of shares outstanding are adjusted by S&P so that there is no change in the Market Value of the S&P Component Stock. All stock split and dividend adjustments are made after the close of trading on the day before the ex-date.

Each of the corporate events exemplified in the table requiring an adjustment to the Index Divisor has the effect of altering the Market Value of the S&P Component Stock and consequently of altering the aggregate Market Value of the S&P Component Stocks (the “Post-Event Aggregate Market Value”). In order that the level of the S&P 500^® Index (the “Pre-Event Index Value”) not be affected by the altered Market Value (whether increase or decrease) of the affected Component Stock, a new Index Divisor (“New Divisor”) is derived as follows:


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-9

Post-Event Aggregate Market Value

New Divisor

Pre-Event Index Value

New Divisor

Post-Event Aggregate Market Value

Pre-Event Index Value

A large part of the Index Maintenance process involves tracking the changes in the number of shares outstanding of each of the S&P 500^® Index companies. Four times a year, on a Friday close to the end of each calendar quarter, the share totals of companies in the S&P 500^® Index are updated as required by any changes in the number of shares outstanding. After the totals are updated, the Index Divisor is adjusted to compensate for the net change in the total Market Value of the S&P 500^® Index. In addition, any changes over 5% in the current common shares outstanding for the S&P 500^® Index companies are carefully reviewed on a weekly basis, and when appropriate, an immediate adjustment is made to the Index Divisor.


JPMorgan Structured Investments — Single Review Notes Linked to the SPDR^® S&P 500^® ETF Trust	PS-10