0000950103-12-005215.txt : 20121002 0000950103-12-005215.hdr.sgml : 20121002 20121002170115 ACCESSION NUMBER: 0000950103-12-005215 CONFORMED SUBMISSION TYPE: 424B2 PUBLIC DOCUMENT COUNT: 5 FILED AS OF DATE: 20121002 DATE AS OF CHANGE: 20121002 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JPMORGAN CHASE & CO CENTRAL INDEX KEY: 0000019617 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 132624428 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B2 SEC ACT: 1933 Act SEC FILE NUMBER: 333-177923 FILM NUMBER: 121124331 BUSINESS ADDRESS: STREET 1: 270 PARK AVE STREET 2: 38TH FL CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 2122706000 MAIL ADDRESS: STREET 1: 270 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10017 FORMER COMPANY: FORMER CONFORMED NAME: J P MORGAN CHASE & CO DATE OF NAME CHANGE: 20010102 FORMER COMPANY: FORMER CONFORMED NAME: CHASE MANHATTAN CORP /DE/ DATE OF NAME CHANGE: 19960402 FORMER COMPANY: FORMER CONFORMED NAME: CHEMICAL BANKING CORP DATE OF NAME CHANGE: 19920703 424B2 1 dp33293_424b2-ps724.htm PRICING SUPPLEMENT NO. 724
 
CALCULATION OF REGISTRATION FEE
 
Title of Each Class of
Securities Offered
 
Maximum Aggregate
Offering Price
 
Amount of
Registration Fee
Notes
$5,567,000
$759.34
 
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-177923
 
 
Medium-Term Notes, Series E
$5,567,000
Capped Leveraged Index-Linked Notes due 2014
(Linked to the MSCI EAFE® Index)
 
The notes do not bear interest. The amount that you will be paid on your notes on the stated maturity date (October 3, 2014, subject to adjustment) is based on the performance of the MSCI EAFE® Index (which we refer to as the index) as measured from the trade date (September 28, 2012) to and including the determination date (September 30, 2014, subject to adjustment). If the index return is less than 0.00% (i.e., the final index level is less than the initial index level), you will lose a portion of your investment in the notes and may lose your entire investment depending on the performance of the index.  Additionally, the amount you may receive for each $1,000 principal amount note at maturity is subject to a maximum settlement amount of $1,384.00.  Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
 
To determine your payment at maturity, the calculation agent will first calculate the percentage increase or decrease in the final index level (determined on the determination date, subject to adjustment) from the initial index level (the closing level of the index on the trade date, which was 1,510.76), which we refer to as the index return. The index return may reflect a positive return (based on any increase in the index level from the trade date to and including the determination date) or a negative return (based on any decrease in the index level from the trade date to and including the determination date). On the stated maturity date, for each $1,000 principal amount note:
 
·
if the index return is positive (i.e., the final index level is greater than the initial index level), you will receive an amount in cash equal to the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 3 times (c) the index return, subject to the maximum settlement amount; or
 
·
if the index return is zero or negative (i.e., the final index level is less than or equal to the initial index level), you will receive an amount in cash equal to the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the index return. You will receive less than $1,000 if the final index level is less than the initial index level.
 
The amount you will be paid on your notes on the stated maturity date will not be affected by the closing level of the index on any day other than the determination date. You could lose your entire investment in the notes. A decrease between the initial index level and the final index level will reduce the payment you will receive, if any, on the stated maturity date below the principal amount of your notes, potentially to $0.  If the final index level is less than the initial index level, you will lose an amount equal to 1% of the principal amount of your notes for every 1% decline in the index level.  Further, the maximum payment that you could receive on the stated maturity date with respect to each $1,000 principal amount note (the minimum denomination) is limited to the maximum settlement amount of $1,384.00. In addition, the notes do not pay interest, and no other payments on your notes will be made prior to the stated maturity date.
 
Because we have provided only a brief summary of the terms of your notes above, you should read the detailed description of the terms of the notes found in “Summary Information” on page PS-2 in this pricing supplement, the general terms of the notes found in the accompanying product supplement no. 4-I and the description of the index in the accompanying underlying supplement no. 1-I.
 
Your investment in the notes involves certain risks. We encourage you to read “Risk Factors” beginning on page PS-21 of the accompanying product supplement no. 4-I, “Risk Factors” beginning on page US-1 of the accompanying underlying supplement 1-I and “Selected Risk Factors” on page PS-9 of this pricing supplement so that you may better understand those risks. In particular, assuming no changes in market conditions or our creditworthiness and other relevant factors, the value of your notes on the trade date (as determined by reference to pricing models used by J.P. Morgan Securities LLC, which we refer to as JPMS, and taking into account our credit spreads) is, and the price you may receive for your notes may be,  significantly less than the original issue price. The value or quoted price of your notes at any time will reflect many factors and cannot be predicted; however, the price at which JPMS would initially buy or sell notes (if JPMS makes a market) and the value that the unaffiliated dealer will initially use for account statements and otherwise will significantly exceed the value of your notes using those pricing models. The amount of the excess will decline on a straight line basis over the period from the date of this pricing supplement through November 8, 2012.
 
Original issue date (settlement date):
on or about October 5, 2012
Original issue price:
100.00% of the principal amount
Underwriting commission/discount:
2.00% of the principal amount
Net proceeds to the issuer:
98.00% of the principal amount
 
The original issue price includes the estimated 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 and Hedging” beginning on page PS-48 of the accompanying product supplement no. 4-I.
 
JPMS, acting as agent for JPMorgan Chase & Co., received a commission of 2.00% of the principal amount and sold the notes to an unaffiliated dealer at a discount equal to this commission.
 
The issue price, fees and commissions and net proceeds listed above relate to the notes we sell initially. We may decide to sell additional notes after the date of this pricing supplement, at issue prices and with fees and commission and net proceeds that differ from the amounts set forth above. The return (whether positive or negative) on your investment in notes will depend in part on the issue price you pay for your notes.
 
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these securities or passed upon the accuracy or adequacy of this pricing supplement, the accompanying product supplement, the accompanying underlying supplement, the accompanying prospectus supplement or the accompanying prospectus. Any representation to the contrary is a criminal offense.
 
The notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
 
We may use this pricing supplement in the initial sale of the notes. In addition, JPMS or any other affiliate of ours may use this pricing supplement in a market-making transaction in a note after its initial sale. Unless JPMS or its agents inform the purchaser otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction.
 
Pricing Supplement dated September 28, 2012.

 
 
 
 
SUMMARY INFORMATION
 
You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the applicable agent.  We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance.  In the event of any changes to the terms of the notes, we will notify you and you will be asked to accept such changes in connection with your purchase.  You may also choose to reject such changes in which case we may reject your offer to purchase.
 
You should read this pricing supplement together with the prospectus dated November 14, 2011, as supplemented by the prospectus supplement dated November 14, 2011 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. 4-I dated November 14, 2011 and underlying supplement no. 1-I dated November 14, 2011.  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. 4-I and “Risk Factors” in the accompanying underlying supplement no. 1-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. 4-I dated November 14, 2011:    
 
●           Underlying supplement no. 1-I dated November 14, 2011:           
 
●           Prospectus supplement dated November 14, 2011:     
 
●           Prospectus dated November 14, 2011:                                                                           
 
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.
 
 
Key Terms
 
Issuer: JPMorgan Chase & Co.
 
Index: the MSCI EAFE® Index (Bloomberg symbol, “MXEA Index”), as maintained by MSCI Inc. (“MSCI”)
 
Principal amount: each note will have a principal amount of $1,000; $5,567,000 in the aggregate for all the offered notes; the aggregate principal amount of the offered notes may be increased if the issuer, at its sole option, decides to sell an additional amount of the offered notes on a date subsequent to the date of this pricing supplement
 
Purchase at amount other than principal amount: the amount we will pay you at the stated maturity date for your notes will not be adjusted based on the issue price you pay for your notes, so if you acquire notes at a premium (or discount) to the principal amount and hold them to the stated maturity date, it could affect your investment in a number of ways. The return on your investment in the notes will be lower (or higher) than it would have been had you purchased the notes at the principal amount. Also, the cap level would be triggered at a lower (or higher) percentage return than indicated below, relative to your
 
 
 
PS-2
 
 
 
initial investment.  See “Selected Risk Factors — If You Purchase Your Notes at a Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected” beginning on page PS-10 of this pricing supplement.
 
Payment on the stated maturity date: for each $1,000 principal amount note, we will pay you on the stated maturity date an amount in cash equal to:
 
·
if the final index level is greater than or equal to the cap level of of 112.80% of the initial index level, the maximum settlement amount of $1,384.00;
 
·
if the final index level is greater than the initial index level but less than the cap level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the upside leverage factor of 3 times (c) the index return; or
 
·
if the final index level is equal to or less than the initial index level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the index return. You will receive less than $1,000 if the final index level is less than the initial index level.
 
Initial index level: 1,510.76, which was the closing level of the index on the trade date
 
Final index level: the closing level of the index on the determination date.  In certain circumstances, the closing level of the index will be based on the alternative calculation of the index described under “Description of Notes — Postponement of a Determination Date — A. Notes Linked to a Single Component” beginning on page PS-18 of the accompanying product supplement or “General Terms of Notes — Additional Index Provisions — B. Discontinuation of an Index; Alteration of Method of Calculation” beginning on page PS-66 of the accompanying product supplement. The accompanying product supplement refers to the final index level as the “Ending Index Level.”
 
Index return: the quotient of (i) the final index level minus the initial index level divided by (ii) the initial index level, expressed as a percentage
 
Upside leverage factor: 3
 
Cap level: 112.80% of the initial index level
 
Maximum settlement amount: $1,384.00
 
Trade date: September 28, 2012
 
Original issue date (settlement date): on or about October 5, 2012
 
Determination date: September 30, 2014, subject to postponement in the event of a market disruption event and as described under “Description of Notes — Postponement of a Determination Date — A. Notes Linked to a Single Component” beginning on page PS-18 of the accompanying product supplement
 
Stated maturity date: October 3, 2014, subject to postponement in the event of a market disruption event and as described under “Description of Notes — Payment at Maturity — D. Other Terms” on page PS-16 of the accompanying product supplement.  The accompanying product supplement refers to the stated maturity date as the “maturity date.”
 
No interest: The offered notes do not bear interest.
 
No listing: The offered notes will not be listed on any securities exchange or interdealer quotation system.
 
No redemption: The offered notes will not be subject to redemption right or price dependent redemption right.
 
 
 
PS-3
 
 
 
Closing level: as described under “Description of Notes — Payment at Maturity — C. Determining the Value of the Underlying — 2. The Level of an Index” on page PS-14 of the accompanying product supplement.  The accompanying product supplement refers to the closing level as the “Index closing level.”
 
Business day: as described under “Description of Notes — Payment at Maturity — D. Other Terms” on page PS-16 of the accompanying product supplement
 
Trading day: as described under “Description of Notes — Payment at Maturity — C. Determining the Value of the Underlying — 2. The Level of an Index” on page PS-14 of the accompanying product supplement
 
Use of proceeds and hedging: as described under “Use of Proceeds and Hedging” on page PS-48 of the accompanying product supplement no. 4-I
 
Capital gains tax treatment: You should review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.  The following discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel, Davis Polk & Wardwell LLP, regarding the material U.S. federal income tax consequences of owning and disposing of notes.
 
Based on current market conditions, in the opinion of our special tax counsel it is reasonable to treat the notes as “open transactions” that are not debt instruments for U.S. federal income tax purposes.  Assuming this treatment 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 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, such as 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 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 and impose 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.
 
ERISA: as described under “Benefit Plan Investor Considerations” beginning on page PS-86 of the accompanying product supplement no. 4-I
 
Supplemental plan of distribution: as described under “Plan of Distribution (Conflicts of Interest)” beginning on page PS-77 of the accompanying product supplement no. 4-I; we estimate that our share of the total offering expenses, excluding underwriting discounts and commissions, will be approximately
 
$10,000.
 
We will deliver the notes against payment therefor in New York, New York on or about October 5, 2012, which is the fifth scheduled business day following the date of this pricing supplement and of the pricing of the notes. Under Rule 15c6-1 of the Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on any date prior to three business days before delivery will be required, by virtue of the fact that the notes will initially settle in five business days (T + 5), to specify alternative settlement arrangements to prevent a failed settlement.
 
 
 
PS-4
 
 
 
Calculation agent: JPMS
 
CUSIP no.: 48126DAM1
 
ISIN no.: US48126DAM11
 
FDIC: the notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank
 
Supplemental Terms of the Notes
 
For purposes of the notes offered by this pricing supplement, all references to each of the following defined terms used in the accompanying product supplement will be deemed to refer to the corresponding defined term used in this pricing supplement, as set forth in the table below:
 
Product Supplement Defined Term
Pricing Supplement Defined Term
Ending Index Level
final index level
Index closing level
closing level
pricing date
trade date
maturity date
stated maturity date
term sheet
preliminary pricing supplement
 
In addition, the following terms used in this pricing supplement are not defined with respect to Capped Leveraged Index-Linked Notes in the accompanying product supplement: upside leverage factor, maximum settlement amount and cap level.  Accordingly, please refer to “Key Terms” beginning on page PS-2 of this pricing supplement for the definitions of these terms.
 
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 29, 2012, which was filed as an exhibit to a Current Report on Form 8-K by us on March 29, 2012.
 
 
 
PS-5
 
 
 
HYPOTHETICAL EXAMPLES
 
The following table and chart are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact that the various hypothetical index levels on the determination date could have on the payment at maturity assuming all other variables remain constant.
 
The examples below are based on a range of final index levels that are entirely hypothetical; no one can predict what the index level will be on any day throughout the term of your notes, and no one can predict what the final index level will be on the determination date. The index has been highly volatile in the past — meaning that the index level has changed considerably in relatively short periods — and its performance cannot be predicted for any future period.
 
The information in the following examples reflects hypothetical rates of return on the offered notes assuming that they are purchased on the original issue date at the principal amount and held to the stated maturity date. If you sell your notes in a secondary market prior to the stated maturity date, your return will depend upon the market value of your notes at the time of sale, which may be affected by a number of factors that are not reflected in the table below, such as interest rates, the volatility of the index and our creditworthiness. In addition, assuming no changes in market conditions or our creditworthiness and any other relevant factors, the value of your notes on the trade date (as determined by reference to pricing models used by JPMS and taking into account our credit spreads) is, and the price you may receive for your notes may be, significantly less than the issue price. For more information on the value of your notes in the secondary market, see “Risk Factors — Risks Relating to the Notes Generally — Secondary Trading May Be Limited” on page PS-27 of the accompanying product supplement no. 4-I, “Selected Risk Factors — Assuming No Changes in Market Conditions or any Other Relevant Factors, the Market Value of Your Notes on the Trade Date (as Determined By Reference to Pricing Models Used By JPMS) Is, and the Price You May Receive for Your Notes May Be, Significantly Less Than the Issue Price” on page PS-10 of this pricing supplement and “Selected Risk Factors — Lack of Liquidity” on page PS-11 of this pricing supplement. The information in the table also reflects the key terms and assumptions in the box below.
 
Key Terms and Assumptions
Principal amount
$1,000   
Upside leverage factor
3   
Cap level
112.80% of the initial index level   
Maximum settlement amount
$1,384.00   
Neither a market disruption event nor a non-trading day occurs on the originally scheduled determination date
 
During the term of the notes, the index is not discontinued, the method of calculating the index does not change in a material respect and the index is not modified so that its level does not, in the opinion of the calculation agent, fairly represent the level of the index had those modifications not been made
 
Notes purchased on original issue date at the principal amount and held to the stated maturity date

 
For these reasons, the actual performance of the index over the term of your notes, as well as the amount payable at maturity, if any, may bear little relation to the hypothetical examples shown below or to the historical index levels shown elsewhere in this pricing supplement. For information about the historical levels of the index during recent periods, see “The Index — Historical High, Low and Closing Levels of the Index” below. Before investing in the offered notes, you should consult publicly available information to determine the levels of the index between the date of this pricing supplement and the date of your purchase of the offered notes.
 
 
 
PS-6
 
 
 
Also, the hypothetical examples shown below do not take into account the effects of applicable taxes.  Because of the U.S. tax treatment applicable to your notes, tax liabilities could affect the after-tax rate of return on your notes to a comparatively greater extent than the after-tax return on the index stocks.
 
The levels in the left column of the table below represent hypothetical final index levels and are expressed as percentages of the initial index level. The amounts in the right column represent the hypothetical payments at maturity, based on the corresponding hypothetical final index level (expressed as a percentage of the initial index level), and are expressed as percentages of the principal amount of a note (rounded to the nearest one-thousandth of a percent). Thus, a hypothetical payment of maturity of 100.000% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding principal amount of the offered notes on the stated maturity date would equal 100.000% of the principal amount of a note, based on the corresponding hypothetical final index level (expressed as a percentage of the initial index level) and the assumptions noted above.
 
Hypothetical Final Index Level
 
(as Percentage of Initial Index Level)
Hypothetical Payment at Maturity
 
(as Percentage of Principal Amount)
150.000%
138.400%
140.000%
138.400%
130.000%
138.400%
120.000%
138.400%
112.800%
138.400%
110.000%
130.000%
105.000%
115.000%
102.500%
107.500%
100.000%
100.000%
75.000%
75.000%
50.000%
50.000%
25.000%
25.000%
0.000%
0.000%

If, for example, the final index level were determined to be 25.000% of the initial index level, the payment that we would deliver on your notes at maturity would be 25.000% of the principal amount of your notes, as shown in the table above. As a result, if you purchased your notes on the original issue date at the principal amount and held them to the stated maturity date, you would lose 75.000% of your investment (if you purchased your notes at a premium to principal amount you would lose a correspondingly higher percentage of your investment).  In addition, if the final index level were determined to be 150.000% of the initial index level, the payment that we would deliver on your notes at maturity would be capped at the maximum settlement amount (expressed as a percentage of the principal amount), or 138.400% of each $1,000 principal amount note, as shown in the table above. As a result, if you held your notes to the stated maturity date, you would not benefit from any increase in the final index level over 112.800% of the initial index level.
 
The following chart also shows a graphical illustration of the hypothetical payments at maturity (expressed as a percentage of the principal amount of your notes) that we would pay on your notes on the stated maturity date, if the final index level (expressed as a percentage of the initial index level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final index level (expressed as a percentage of the initial index level) of less than 100.000% (the section left of the 100.000% marker on the horizontal axis) would result in a hypothetical payment at maturity of less than 100.000% of the principal amount of your notes (the section below the 100.000% marker on the vertical axis) and, accordingly, in a loss of principal to the holder of the notes. The chart also shows that any hypothetical final index level (expressed as a percentage of the initial index level) of greater than or equal to 112.80% (the section right of the 112.80% marker on the horizontal axis) would result in a capped return on your investment.
 
 
 
PS-7
 
 
 
 
The payments at maturity shown above are entirely hypothetical; they are based on closing levels for the index that may not be achieved on the determination date and on assumptions that may prove to be erroneous. The actual market value of your notes on the stated maturity date or at any other time, including any time you may wish to sell your notes, may bear little relation to the hypothetical payments at maturity shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered notes. The hypothetical payments at maturity on notes held to the stated maturity date in the examples above assume you purchased your notes at their principal amount and have not been adjusted to reflect the actual issue price you pay for your notes. The return on your investment (whether positive or negative) in your notes will be affected by the amount you pay for your notes. If you purchase your notes for a price other than the principal amount, the return on your investment will differ from, and may be significantly lower than, the hypothetical returns suggested by the above examples. Please read “Selected Risk Factors — Many Economic and Market Factors Will Impact the Value of the Notes” on page PS-12 of this pricing supplement.
 
The hypothetical returns 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 returns shown above would likely be lower.
 
We cannot predict the actual final index level or what the market value of your notes will be on any particular day, nor can we predict the relationship between the index level and the market value of your notes at any time prior to the stated maturity date. The actual amount that you will receive, if any, at maturity and the rate of return on the offered notes will depend on the actual final index level determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your notes, if any, on the stated maturity date may be very different from the information reflected in the table and chart above.
 
 
 
 
PS-8
 
 
 
SELECTED RISK FACTORS
 
An investment in your notes is subject to the risks described below, as well as the risks described under “Risk Factors” in the accompanying product supplement no. 4-I and “Risk Factors” in the accompanying underlying supplement. Your notes are a riskier investment than ordinary debt securities. Also, your notes are not equivalent to investing directly in the index stocks, i.e., the stocks underlying the index to which your notes are linked. You should carefully consider whether the offered notes are suited to your particular circumstances.
 
You May Lose Some or All of Your Investment in the Notes
 
The notes do not guarantee any return of principal. The return on the notes at maturity is linked to the performance of the index and will depend on whether, and the extent to which, the index return is positive or negative. Your investment will be exposed to loss if the final index level is less than the initial index level. For every 1% that the final index level is less than the initial index level, you will lose an amount equal to 1% of the principal amount of your notes. Accordingly, you could lose some or all of your initial investment at maturity.  Also, the market price of your notes prior to the stated maturity date may be significantly lower than the purchase price you pay for your notes.  Consequently, if you sell your notes before the stated maturity date, you may receive far less than the amount of your investment in the notes.
 
Your Maximum Gain on the Notes Is Limited to the Maximum Settlement Amount
 
If the final index level is greater than the initial index level, for each $1,000 principal amount note, you will receive at maturity a payment that will not exceed the maximum settlement amount, regardless of the appreciation in the index, which may be significant. Accordingly, the amount payable on your notes may be significantly less than it would have been had you invested directly in the index. The maximum settlement amount is $1,384.00.
 
The Notes Are Subject to the 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, 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 affect adversely the value of the notes.  If we were to default on our payment obligations, you may not receive any amounts owed to you under the notes and you could lose your entire investment.
 
Recent events affecting us have led to heightened regulatory scrutiny, may lead to additional regulatory or legal proceedings against us and may adversely affect our credit ratings and credit spreads and, as a result, the market value of the notes.  See “Executive Overview — Recent Developments,” “Liquidity Risk Management — Credit Ratings,” “Item 4. Controls and Procedures” and “Part II. Other Information — Item 1A. Risk Factors” in our Quarterly Report on Form 10-Q for the quarter ended June 30, 2012.
 
Potential Conflicts of Interest
 
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, our economic interests and the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes.  In addition, our business activities, including hedging and trading activities, could cause our economic interests to be adverse to yours and could adversely affect any payment on the notes and the value of the notes.  It is possible that hedging or trading activities of ours or our affiliates could result in substantial returns for us or our affiliates while the value of the notes declines.  Please refer to “Risk Factors — Risks Relating to the Notes Generally” beginning on page PS-21 of the accompanying product supplement no. 4-I for additional information about these risks.
 
 
 
PS-9
 
 
 
Assuming No Changes in Market Conditions or any Other Relevant Factors, the Market Value of Your Notes on the Trade Date (as Determined By Reference to Pricing Models Used By JPMS) Is, and the Price You May Receive for Your Notes May Be, Significantly Less Than the Issue Price
 
The original issue price for your notes, the price at which JPMS would initially buy or sell your notes (if JPMS makes a market, which it is under no obligation to do) and the value that the unaffiliated dealer will initially use for account statements and otherwise will significantly exceed the value of your notes using such pricing models. The amount of the excess will decline on a straight line basis over the period from the date of this pricing supplement through November 8, 2012. After November 8, 2012, the price at which JPMS would buy or sell notes will reflect the value determined by reference to the pricing models, plus JPMS’s customary bid and asked spread.
 
In addition to the factors discussed above, the value or quoted price of your notes at any time, however, will reflect many factors and cannot be predicted. If JPMS makes a market in the notes, the price quoted by JPMS would reflect any changes in market conditions and other relevant factors, including a deterioration in our creditworthiness or perceived creditworthiness whether measured by our credit ratings or other credit measures. These changes may adversely affect the market price of your notes, including the price you may receive for your notes in any market making transaction. To the extent that JPMS makes a market in the notes, it may receive income from the spreads between its bid and offer prices for the notes, if any. The quoted price (and the value of your notes that the unaffiliated dealer will use for account statements or otherwise) could be higher or lower than the original issue price, and may be higher or lower than the value of your notes as determined by reference to pricing models used by JPMS.
 
If at any time a third party dealer quotes a price to purchase your notes or otherwise values your notes, that price may be significantly different (higher or lower) than any price quoted by JPMS. You should read “— Many Economic and Market Factors Will Impact the Value of the Notes” on page PS-12 of this pricing supplement.
 
Furthermore, if you sell your notes, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount.
 
There is no assurance that JPMS or any other party will be willing to purchase your notes and, in this regard, JPMS is not obligated to make a market in the notes. See  “— Lack of Liquidity” on page PS-11 of this pricing supplement.
 
We May Sell an Additional Aggregate Principal Amount of the Notes at a Different Issue Price
 
At our sole option, we may decide to sell an additional aggregate principal amount of the notes subsequent to the date of this pricing supplement. The issue price of the notes in the subsequent sale may differ substantially (higher or lower) from the issue price you paid as provided on the cover of this pricing supplement.
 
If You Purchase Your Notes at a Premium to the Principal Amount, the Return on Your Investment Will Be Lower Than the Return on Notes Purchased at the Principal Amount and the Impact of Certain Key Terms of the Notes Will Be Negatively Affected
 
The amount you will be paid for your notes on the stated maturity date will not be adjusted based on the issue price you pay for the notes. If you purchase notes at a price that differs from the principal amount of the notes, then the return on your investment in the notes held to the stated maturity date will differ from, and may be substantially less than, the return on notes purchased at the principal amount. If you purchase your notes at a premium to the principal amount and hold them to the stated maturity date the return on your investment in the notes will be lower than it would have been had you purchased the notes at the principal amount or a discount to the principal amount. In addition, the impact of the cap level on the return on your investment will depend upon the price you pay for your notes relative to the principal amount. For example, if you purchase your notes at a premium to the principal amount, the cap level will permit only a lower percentage increase in your investment in the notes than would have been the case for notes purchased at the principal amount or a discount to the principal amount.
 
 
 
PS-10
 
 
No Interest or Dividend Payments or Voting Rights
 
As a holder of the notes, you will not receive interest payments.  As a result, even if the amount payable for your notes on the stated maturity date exceeds the principal amount of your notes, the overall return you earn on your notes may be less than you would have earned by investing in a non-index-linked debt security of comparable maturity that bears interest at a prevailing market rate.  In addition, as a holder of the notes, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the index stocks would have.
 
The Notes Are Subject to Currency Exchange Risk
 
Because the prices of the index stocks are converted into U.S. dollars for purposes of calculating the level of the index, holders of the notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the index stocks trade. Your net exposure will depend on the extent to which those currencies strengthen or weaken against the U.S. dollar and the relative weight of the index stocks denominated in each of those currencies. If, taking into account the relevant weighting, the U.S. dollar strengthens against those currencies, the level of the Index will be adversely affected and the payment at maturity, if any, may be reduced.  Of particular importance to potential currency exchange risk are:
 
·
existing and expected rates of inflation;
 
·
existing and expected rates of inflation;

·
the balance of payments;

·
political, civil or military unrest in the issuing countries of those currencies and the United States; and

·
the extent of government surpluses or deficits in issuing countries of those currencies and the United States.

All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of issuing countries of those currencies and the United States and other countries important to international trade and finance.

The Notes Are Subject to Risks Associated with Securities Issued by Non-U.S. Companies
 
The index stocks have been issued by non-U.S. companies. Investments in securities linked to the value of such non-U.S. equity securities involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross shareholdings in companies in certain countries. Also, there is generally less publicly available information about companies in some of these jurisdictions than about U.S. companies that are subject to the reporting requirements of the SEC, and generally non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements and securities trading rules different from those applicable to U.S. reporting companies. The prices of securities in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
 
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.
 
 
 
PS-11
 
 
Many Economic and Market Factors Will Impact the Value of the Notes
 
In addition to the level of the index on any day, the value of the notes will be impacted 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;
 
·
the time to maturity of the notes;
 
·
the dividend rates on the index stocks;
 
·
interest and yield rates in the market generally;
 
·
a variety of economic, financial, political, regulatory and judicial events;
 
·
the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies in which the index stocks are traded and the correlation between that rate and the level of the index; and
 
·
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
 
These factors may influence the market value of your notes if you sell your notes prior to maturity, including the price you may receive for your notes in any market making transaction. If you sell your notes prior to maturity, you may receive less than the principal amount of your notes. You cannot predict the future performance of the index based on its historical performance.
 
The Tax Consequences of an Investment in the Notes Are Unclear
 
There is no direct legal authority as to the proper U.S. federal income tax characterization of the notes, and we do not intend to request a ruling from the IRS regarding the notes.  The IRS might not accept, and a court might not uphold, the treatment of the notes described in “Key Terms—Capital gains tax treatment” in this pricing supplement and in “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I.  If the IRS were successful in asserting an alternative treatment for the notes, the timing and character of any income or loss on the notes could differ materially and adversely from our description herein.  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, such as 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 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 and impose 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 review carefully the section entitled “Material U.S. Federal Income Tax Consequences” in the accompanying product supplement no. 4-I and 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.
 
 
 
PS-12
 
THE INDEX
 
The MSCI EAFE® Index is a free float-adjusted market capitalization index intended to measure the equity market performance of certain developed markets.  The MSCI EAFE® Index is calculated daily in U.S. dollars and published in real time every 15 seconds during market trading hours.  As of September 28, 2012, the MSCI EAFE® Index consisted of 22 developed market country indices.
 
MSCI EAFE® Index
 
Index Stock Weighting by Country
 
as of September 28, 2012
 
Country:
Percentage (%)*
Australia
8.84%
Austria
0.26%
Belgium
1.15%
Denmark
1.18%
Finland
0.75%
France
9.30%
Germany
8.56%
Greece
0.05%
Hong Kong
3.08%
Ireland
0.27%
Israel
0.60%
Italy
2.23%
Japan
20.11%
Netherlands
2.48%
New Zealand
0.13%
Norway
0.98%
Portugal
0.17%
Singapore
1.89%
Spain
2.91%
Sweden
3.24%
Switzerland
8.59%
United Kingdom
23.22%
* Information provided by MSCI. Percentages may not sum to 100% due to rounding.
 
MSCI EAFE® Index
 
Index Stock Weighting by Sector
 
as of September 28, 2012
 
 
Percentage (%)*
Consumer Discretionary
10.14%
Consumer Staples
12.01%
Energy
8.33%
Financials
23.54%
Health Care
10.24%
Industrials
12.38%
Information Technology
4.30%
Materials
9.59%
Telecommunication Services
5.43%
Utilities
4.05%
* Information provided by MSCI. Percentages may not sum to 100% due to rounding.
 
 
 
PS-13
 
 
 
** Sector designations are determined by the index sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.
 
The above information supplements the description of the index found in the accompanying underlying supplement. For more details about the index, the index sponsor and license agreement between the index sponsor and the issuer, see “Equity Index Descriptions — The MSCI Indices” on page US-41 of the accompanying underlying supplement no. 1-I.
 
Historical High, Low and Closing Levels of the Index
 
The closing level of the index has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the index during any period shown below is not an indication that the index is more or less likely to increase or decrease at any time during the term of your notes.
 
You should not take the historical levels of the index as an indication of the future performance of the index. We cannot give you any assurance that the future performance of the index or the index stocks will result in a return of any of your initial investment on the stated maturity date. In light of the increased volatility currently being experienced by the financial services sector and U.S. and global securities markets, and recent market declines, it may be substantially more likely that you could lose all or a substantial portion of your investment in the notes.
 
Neither we nor any of our affiliates make any representation to you as to the performance of the index. The actual performance of the index over the term of the offered notes, as well as the amount payable at maturity, may bear little relation to the historical levels shown below.
 
The table on the following page shows the high, low and final closing levels of the index for each of the four calendar quarters in 2007, 2008, 2009, 2010 and 2011 and the first, second and third calendar quarters of 2012 (through September 28, 2012). The associated graph shows the closing levels of the index for each day in the same period. We obtained the closing levels listed in the table and graph on the following page from Bloomberg Financial Services, without independent verification.
 
 
 
PS-14
 
 
 
Quarterly High, Low and Closing Levels of the Index
 
 
High
Low
Close
2007
      
Quarter ended March 31
2,182.60
2,030.00
2,147.51
Quarter ended June 30
2,285.36
2,152.13
2,262.24
Quarter ended September 30
2,335.70
2,039.86
2,300.38
Quarter ended December 31
2,388.74
2,179.99
2,253.36
2008
      
Quarter ended March 31
2,253.36
1,913.53
2,038.62
Quarter ended June 30
2,206.72
1,957.23
1,967.19
Quarter ended September 30
1,934.39
1,553.15
1,553.15
Quarter ended December 31
1,568.20
1,044.23
1,237.42
2009
      
Quarter ended March 31
1,281.02
911.39
1,056.23
Quarter ended June 30
1,361.36
1,071.10
1,307.16
Quarter ended September 30
1,580.58
1,251.65
1,552.84
Quarter ended December 31
1,617.99
1,496.75
1,580.77
2010
      
Quarter ended March 31
1,642.20
1,451.53
1,584.28
Quarter ended June 30
1,636.19
1,305.12
1,348.11
Quarter ended September 30
1,570.36
1,337.85
1,561.01
Quarter ended December 31
1,675.07
1,535.13
1,658.30
2011
      
Quarter ended March 31
1,758.97
1,597.15
1,702.55
Quarter ended June 30
1,809.61
1,628.03
1,708.08
Quarter ended September 30
1,727.43
1,331.35
1,373.33
Quarter ended December 31
1,560.85
1,310.15
1,412.55
2012
      
Quarter ended March 31
1,586.11
1,405.10
1,553.46
Quarter ended June 30
1,570.08
1,308.01
1,423.38
Quarter ending September 30 (through September 28, 2012)
1,569.91
1,363.52
1,510.76

 
 
 
 
PS-15
 
 
 
We have not authorized anyone to provide any information other than that contained or incorporated by reference in this pricing supplement, the accompanying underlying supplement no. 1-I, the accompanying product supplement no. 4-I and the accompanying prospectus supplement and prospectus with respect to the notes offered by this pricing supplement and with respect to JPMorgan Chase & Co. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This pricing supplement, together with the accompanying underlying supplement no. 1-I, the accompanying product supplement no. 4-I and the accompanying prospectus supplement and prospectus, 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. The information in this pricing supplement, the accompanying underlying supplement no. 1-I, the accompanying product supplement no. 4-I and the accompanying prospectus supplement and prospectus may be accurate only as of the dates of each of these documents, respectively.  This pricing supplement, the accompanying underlying supplement no. 1-I, the accompanying product supplement no. 4-I and the accompanying prospectus supplement and prospectus do not constitute an offer to sell or a solicitation of an offer to buy the notes in any circumstances in which such offer or solicitation is unlawful.
 
TABLE OF CONTENTS
Pricing Supplement
   
 
Page
Summary Information
PS-2
Hypothetical Examples
PS-6
Selected Risk Factors
PS-9
The Index
PS-13
   
 
Product Supplement No. 4-I dated November 14, 2011
   
Description of Notes
PS-1
Risk Factors
PS-21
Use of Proceeds and Hedging
PS-48
The Components
PS-49
General Terms of Notes
PS-50
Material U.S. Federal Income Tax Consequences
PS-73
Plan of Distribution (Conflicts of Interest)
PS-77
Notice to Investors
PS-79
Benefit Plan Investor Considerations
PS-86
 
Underlying Supplement No. 1-I dated November 14, 2011
   
Risk Factors
US-1
Equity Index Descriptions
US-15
The Dow Jones Industrial AverageSM
US-15
The EURO STOXX 50® Index
US-17
The FTSE™ 100 Index
US-21
The Hang Seng China Enterprises Index
US-23
The Hang Seng® Index
US-27
The Korea Stock Price Index 200
US-31
The MDAX® Index
US-35
The MSCI Indices
US-41
The NASDAQ-100 Index®
US-54
The Nikkei 225 Index
US-59
The Russell Indices
US-62
The S&P 500® Index
US-68
The S&P MidCap 400® Index
US-72
The S&P Select Industry Indices
US-77
The Select Sector Indices
US-82
The TOPIX® Index
US-84
Commodity Index Descriptions
US-87
The Dow Jones-UBS Commodity Indices
US-87
The S&P GSCI Indices
US-100
Fund Descriptions
US-109
The Financial Select Sector SPDR® Fund
US-109
The iShares® Barclays 20+ Year Treasury Bond Fund
US-112
The iShares® Dow Jones Real Estate Index Fund
US-115
The iShares® MSCI Brazil Index Fund
US-119
The iShares® MSCI Emerging Markets Index Fund
US-122
The iShares® MSCI EAFE Index Fund
US-125
The iShares® Russell 2000 Index Fund
US-128
The Market Vectors Gold Miners ETF
US-131
The Market Vectors Junior Gold Miners ETF
US-135
The SPDR® Gold Trust
US-145
The SPDR® S&P 500® ETF Trust
US-148
The SPDR® S&P® Homebuilders ETF
US-151
The SPDR® S&P® Metals & Mining ETF
US-154
The Technology Select Sector SPDR® Fund
US-158
The United States Oil Fund, LP
US-161
 
Prospectus Supplement dated November 14, 2011
   
About This Prospectus Supplement
S-1
Foreign Currency Risks
S-2
Description of Notes
S-4
Description of Warrants
S-21
Description of Units
S-24
 
 
 
PS-16
 
 
 
United States Federal Taxation
S-26
Plan of Distribution (Conflicts of Interest)
S-27
 
Prospectus dated November 14, 2011
   
   
Where You Can Find Information
1
JPMorgan Chase & Co.
2
Consolidated Ratios of Earnings to Fixed Charges
3
Use of Proceeds
3
Important Factors That May Affect Future Results
4
Description of Debt Securities
6
Description of Warrants
12
Description of Units
15
Description of Purchase Contracts
17
Forms of Securities
19
Plan of Distribution (Conflicts of Interest).
23
Independent Registered Public Accounting Firm
25
Legal Matters
26
Benefit Plan Investor Considerations
26
 
 

 
PS-17
 
 
 
 
$5,567,000
 

 
 

 
JPMorgan Chase & Co.
 

 
 

 
Capped Leveraged Index-Linked Notes due 2014
(Linked to the MSCI EAFE® Index)
 

 

 
 

 
Medium-Term Notes, Series E
 

 

 

 

 

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