|
CALCULATION OF REGISTRATION FEE
|
Title
of Each Class of Securities Offered
|
Maximum
Aggregate
Offering Price
|
Amount
of
Registration Fee
|
|
Notes
|
$100,000
|
$11.46
|
Pricing supplement no. 369
To prospectus dated November 14, 2011,
prospectus supplement dated November 14, 2011 and
product supplement no. 4-I dated November 14, 2011
|
Registration Statement No. 333-177923
Dated May 1, 2012
Rule 424(b)(2)
|
|
Structured
Investments
|
|
$100,000
Digital Notes Linked to the Common Stock
of Apple Inc. due May 15, 2013
|
General
|
·
|
|
The notes are designed for
investors who seek a fixed return of 17.30% at maturity if the Final Stock Price is not less than the Initial Stock Price by more
than 20.00%. Investors should be willing to forgo interest and dividend payments and, if the Final Stock Price is less than the
Initial Stock Price by more than 20.00%, be willing to lose some or all of their principal.
Any payment on the notes is subject
to the credit risk of JPMorgan Chase & Co.
|
|
·
|
|
Senior unsecured obligations
of JPMorgan Chase & Co. maturing May 15, 2013
†
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|
·
|
|
Minimum denominations of $10,000
and integral multiples of $1,000 in excess thereof
|
|
·
|
|
The notes priced on May 1,
2012 and are expected to settle on or about May 4, 2012. The pricing date, for purposes of these notes, is the day that the terms
of the notes become final.
The Initial Stock Price has been determined by reference to the closing price of one share of the
Reference Stock on April 27, 2012 and not by reference to the closing price of one share of the Reference Stock on the pricing
date.
|
Key Terms
|
Reference Stock:
|
The common stock, no par value, of Apple Inc. (NASDAQ Stock Market symbol “AAPL”). We refer to Apple Inc. as “Apple.”
|
|
Contingent Buffer Amount:
|
20.00%
|
Payment at Maturity:
|
If the Final Stock Price is greater than or equal to the Initial Stock Price or is less than the Initial Stock Price by up to 20.00%, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Digital Return, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|
|
$1,000 + ($1,000 × Digital Return)
|
|
|
If the Final Stock Price is less than the Initial Stock Price by more than 20%, you will lose 1% of the principal amount of your notes for every 1% that the Final Stock Price is less than the Initial Stock Price, and your payment at maturity per $1,000 principal amount note will be calculated as follows:
|
|
|
$1,000 + ($1,000 × Stock Return)
|
|
|
If the Final Stock Price is less than the Initial Stock Price by more than 20.00%, you will lose more than 20.00% of your initial investment and may lose all of your initial investment at maturity.
|
|
Digital Return:
|
17.30%, which reflects the maximum return on the notes. Accordingly, the maximum payment at maturity is $1,173 per $1,000 principal amount note.
|
|
Stock Return:
|
Final Stock
Price – Initial Stock Price
Initial Stock Price
|
|
Initial Stock Price:
|
The closing price of one share of the Reference Stock
on April 27, 2012
, which was $603.00,
divided
by the Stock Adjustment Factor
|
|
Final Stock Price:
|
The closing price of one share of the Reference Stock on the Observation Date
|
|
Stock Adjustment Factor:
|
Set initially at 1.0 on the pricing date and subject to adjustment under certain circumstances. See “General Terms of Notes — Additional Reference Stock Provisions — A. Anti-Dilution Adjustments” in the accompanying product supplement no. 4-I for further information.
|
|
Observation Date
†
:
|
May 10, 2013
|
|
Maturity Date
†
:
|
May 15, 2013
|
|
CUSIP:
|
48125VXP0
|
|
†
|
|
Subject to postponement in the event of a market disruption event and as described
under “Description of Notes — Payment at Maturity” and “Description of Notes — Postponement of a
Determination Date — A. Notes Linked to a Single Component” in the accompanying product supplement no. 4-I
|
Investing
in the Digital Notes involves a number of risks. See “Risk Factors” beginning on page PS-21 of the accompanying product
supplement no. 4-I and “Selected Risk Considerations” beginning on page PS-3 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
|
$10
|
$990
|
|
Total
|
$100,000
|
$1,000
|
$99,000
|
|
(1)
|
|
The price to the public 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.
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(2)
|
|
J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan
Chase & Co., will receive a commission of $10.00 per $1,000 principal amount note. See “Plan of Distribution (Conflicts
of Interest)” beginning on page PS-77 of the accompanying product supplement no. 4-I.
|
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.
May 1, 2012
Additional
Terms Specific to the Notes
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.
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, 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:
http://www.sec.gov/Archives/edgar/data/19617/000089109211007593/e46160_424b2.pdf
|
|
·
|
|
Prospectus supplement dated
November 14, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211007578/e46180_424b2.pdf
|
|
·
|
|
Prospectus dated November
14, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211007568/e46179_424b2.pdf
|
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.
JPMorgan Structured Investments
|
PS-2
|
|
Digital Notes Linked to the Common Stock of Apple Inc.
|
What
Is the Total Return on the Notes at Maturity, Assuming a Range of Performances for the Reference Stock?
The
following table illustrates the hypothetical total return at maturity on the notes. The “total return” as used in
this pricing supplement is the number, expressed as a percentage, that results from comparing the payment at maturity per $1,000
principal amount note to $1,000. The hypothetical total returns set forth below assume an Initial Stock Price of $575.00 and reflect
the Digital Return of 17.30% and the Contingent Buffer Amount of 20.00%. The hypothetical total returns set forth below are for
illustrative purposes only and may not be the actual total returns applicable to a purchaser of the notes. The numbers appearing
in the following table and examples have been rounded for ease of analysis.
|
Final Stock Price
|
Stock Return
|
Total Return
|
|
$1,035.0000
|
80.00%
|
17.30%
|
|
$977.5000
|
70.00%
|
17.30%
|
|
$920.0000
|
60.00%
|
17.30%
|
|
$862.5000
|
50.00%
|
17.30%
|
|
$805.0000
|
40.00%
|
17.30%
|
|
$747.5000
|
30.00%
|
17.30%
|
|
$718.7500
|
25.00%
|
17.30%
|
|
$690.0000
|
20.00%
|
17.30%
|
|
$674.4750
|
17.30%
|
17.30%
|
|
$661.2500
|
15.00%
|
17.30%
|
|
$632.5000
|
10.00%
|
17.30%
|
|
$603.7500
|
5.00%
|
17.30%
|
|
$589.3750
|
2.50%
|
17.30%
|
|
$580.7500
|
1.00%
|
17.30%
|
|
$575.0000
|
0.00%
|
17.30%
|
|
$546.2500
|
-5.00%
|
17.30%
|
|
$517.5000
|
-10.00%
|
17.30%
|
|
$488.7500
|
-15.00%
|
17.30%
|
|
$460.0000
|
-20.00%
|
17.30%
|
|
$459.9425
|
-20.01%
|
-20.01%
|
|
$402.5000
|
-30.00%
|
-30.00%
|
|
$345.0000
|
-40.00%
|
-40.00%
|
|
$287.5000
|
-50.00%
|
-50.00%
|
|
$230.0000
|
-60.00%
|
-60.00%
|
|
$172.5000
|
-70.00%
|
-70.00%
|
|
$115.0000
|
-80.00%
|
-80.00%
|
|
$57.5000
|
-90.00%
|
-90.00%
|
|
$0.0000
|
-100.00%
|
-100.00%
|
Hypothetical
Examples of Amounts Payable at Maturity
The
following examples illustrate how the total returns set forth in the table above are calculated.
Example
1: The closing price of one share of the Reference Stock increases from the Initial Stock Price of $575.00 to a Final Stock Price
of $589.375.
Because the Final Stock Price of $589.375 is greater than the Initial Stock Price of $575, regardless of the
Stock Return, the investor receives a payment at maturity of $1,173 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × 17.30%) = $1,173
Example
2: The closing price of one share of the Reference Stock decreases from the Initial Stock Price of $575.00 to a Final Stock Price
of $546.25.
Although the Final Stock Price of $546.25 is less than the Initial Stock Price of $575, because the Final Stock
Price is not less than the Initial Stock Price by more than the Contingent Buffer Amount of 20.00%, the investor receives a payment
at maturity of $1,173 per $1,000 principal amount note, calculated as follows:
$1,000
+ ($1,000 × 17.30%) = $1,173
Example
3: The closing price of one share of the Reference Stock decreases from the Initial Stock Price of $575.00 to a Final Stock Price
of $345.00
. Because the Final Stock Price of $345.00 is less than the Initial Stock Price of $575.00 by more than the Contingent
Buffer Amount of 20.00% and because the Stock Return is -40%, the investor receives a payment at maturity of $600 per $1,000 principal
amount note, calculated as follows:
$1,000
+ ($1,000 × -40%) = $600
JPMorgan Structured Investments
|
PS-3
|
|
Digital Notes Linked to the Common Stock of Apple Inc.
|
Example
4: The closing price of one share of the Reference Stock increases from the Initial Stock Price of $575.00 to a Final Stock Price
of $862.50.
Because the Final Stock Price of $862.50 is greater than the Initial Stock Price of $575 and although the Stock
Return of 50% is greater than the Digital Return of 17.30%, the investor receives a payment at maturity of $1,173 per $1,000 principal
amount note, the maximum payment on the notes, calculated as follows:
$1,000
+ ($1,000 × 17.30%) = $1,173
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 returns and hypothetical payouts
shown above would likely be lower.
Selected
Purchase Considerations
|
·
|
|
FIXED APPRECIATION POTENTIAL
— If the Final Stock Price is greater than or equal to the Initial Stock Price, you will receive a fixed return equal
to the Digital Return of 17.30% at maturity, which also reflects the maximum return on the notes at maturity. Accordingly, the
maximum payment at maturity is $1,173 per $1,000 principal amount note. Because the notes are our senior unsecured obligations,
payment of any amount on the notes is subject to our ability to pay our obligations as they become due.
|
|
·
|
|
POTENTIAL FOR A FIXED RETURN
ON THE NOTES EVEN EQUAL TO THE DIGITAL RETURN EVEN IF THE STOCK RETURN IS NEGATIVE
— If the Final Stock Price is less
than the Initial Stock Price by up to the Contingent Buffer Amount of 20.00%, you will earn a fixed, positive return on the notes
equal to the Digital Return of 17.30%. If the Final Stock Price is less than the Initial Stock Price by more than the Contingent
Buffer Amount of 20.00%, for every 1% that the Final Stock Price is less than the Initial Stock Price, you will lose an amount
equal to 1% of the principal amount of your notes. Accordingly, under these circumstances, you will lose more than 20.00% of you
initial investment and may lose all of your initial investment at maturity.
|
|
·
|
|
RETURN LINKED TO A SINGLE
REFERENCE STOCK
— The return on the notes is linked to the performance of a single Reference Stock, which is the common
stock of Apple. For additional information see “The Reference Stock” in this pricing supplement.
|
|
·
|
|
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, 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 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.
Non-U.S.
Holders - Additional Tax Consideration
Non-U.S.
Holders should note that recently proposed Treasury regulations, if finalized in their current form, could impose a withholding
tax at a rate of 30% (subject to reduction under an applicable income tax treaty) on amounts attributable to U.S.-source dividends
(including, potentially, adjustments to account for extraordinary dividends) that are paid or “deemed paid” after
December 31, 2012 under certain financial instruments, if certain other conditions are met. While significant aspects of the application
of these proposed regulations to the notes are
JPMorgan Structured Investments
|
PS-4
|
|
Digital Notes Linked to the Common Stock of Apple Inc.
|
uncertain,
if these proposed regulations were finalized in their current form, we (or other withholding agents) might determine that withholding
is required with respect to notes held by a Non-U.S. Holder or that the Non-U.S. Holder must provide information to establish
that withholding is not required. Non-U.S. Holders should consult their tax advisers regarding the potential application of these
proposed regulations. If withholding is so required, we will not be required to pay any additional amounts with respect to amounts
so withheld.
Selected
Risk Considerations
An
investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Reference
Stock. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement
no. 4-I dated November 14, 2011.
|
·
|
|
YOUR INVESTMENT IN THE
NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of principal. The return on the notes at maturity
is linked to the performance of the Reference Stock and will depend on whether, and the extent to which, the Stock Return is positive
or negative. If the Final Stock Price is less than the Initial Stock Price by more than the Contingent Buffer Amount of 20.00%,
the benefit provided by the Contingent Buffer Amount of 20.00% will terminate. In this case, for every 1% that the Final Stock
Price is less than the Initial Stock Price, you will lose an amount equal to 1% of the principal amount of your notes. Under these
circumstances, you will lose more than 20.00% of your initial investment and may lose all of your initial investment at maturity.
|
|
·
|
|
YOUR MAXIMUM GAIN ON THE
NOTES IS LIMITED TO THE DIGITAL RETURN
— If the Final Stock Price is greater than or equal to the Initial Stock Price
or is less than the Initial Stock Price by up to the Contingent Buffer Amount of 20.00%, for each $1,000 principal amount note,
you will receive at maturity $1,000 plus a fixed return equal to the Digital Return of 17.30%, regardless of any appreciation
in the Reference Stock, which may be significant.
|
|
·
|
|
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.
|
|
·
|
|
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, 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” in the accompanying product
supplement no. 4-I for additional information about these risks.
|
We
and/or our affiliates may also currently or from time to time engage in business with Apple, including extending loans to, or
making equity investments in, Apple or providing advisory services to Apple. In addition, one or more of our affiliates may publish
research reports or otherwise express opinions with respect to Apple, and these reports may or may not recommend that investors
buy or hold the Reference Stock. As a prospective purchaser of the notes, you should undertake an independent investigation of
the Reference Stock issuer that in your judgment is appropriate to make an informed decision with respect to an investment in
the notes.
|
·
|
|
THE BENEFIT PROVIDED BY
THE CONTINGENT BUFFER MAY TERMINATE ON THE OBSERVATION DATE
— If the Final Stock Price is less than the Initial Stock
Price by more than the Contingent Buffer Amount of 20.00%, the benefit provided by the Contingent Buffer Amount will terminate
and you will be fully exposed to any depreciation in the closing price of one share of the Reference Stock. Because the Final
Stock Price will be determined based on the closing price on a single day near the end of the term of the notes, the price of
the Reference Stock at the maturity date or at other times during the term of the notes could be at a level not less than the
Initial Stock Price by more than the Contingent Buffer Amount. This difference could be particularly large if there is a significant
decrease in the price of the Reference Stock during the later portion of the term of the notes or if there is significant volatility
in the price of the Reference Stock during the term of the notes, especially on dates near the Observation Date.
|
|
·
|
|
CERTAIN BUILT-IN COSTS
ARE LIKELY TO AFFECT ADVERSELY THE VALUE OF THE NOTES PRIOR TO MATURITY
— While the payment at maturity, if any, 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, the price, if 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. The notes are not
designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
|
JPMorgan Structured Investments
|
PS-5
|
|
Digital Notes Linked to the Common Stock of Apple Inc.
|
|
·
|
|
NO OWNERSHIP OR DIVIDEND
RIGHTS IN THE REFERENCE STOCK
— As a holder of the notes, you will not have any ownership interest or rights in the
Reference Stock, such as voting rights or dividend payments. In addition, the issuer of the Reference Stock 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
Reference Stock and the notes.
|
|
·
|
|
NO AFFILIATION WITH THE
REFERENCE STOCK ISSUER
— We are not affiliated with the issuer of the Reference Stock. We assume no responsibility for
the adequacy of the information about the Reference Stock issuer contained in this pricing supplement. You should undertake your
own investigation into the Reference Stock and its issuer. We are not responsible for the Reference Stock issuer’s public
disclosure of information, whether contained in SEC filings or otherwise.
|
|
·
|
|
SINGLE STOCK RISK
—
The price of the Reference Stock can fall sharply due to factors specific to the Reference Stock and its issuer, such as stock
price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions
and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic
and political conditions.
|
|
·
|
|
NO INTEREST PAYMENTS
—
As a holder of the notes, you will not receive any interest payments.
|
|
·
|
|
RISK OF THE FINAL STOCK
PRICE BRING LESS THAN THE INITIAL STOCK PRICE BY MORE THAN THE CONTINGENT BUFFER AMOUNT IS GREATER IF THE CLOSING PRICE OF THE
REFERENCE STOCK IS VOLATILE
— The likelihood that the Final Stock Price will be less than the Initial Stock Price by
more than the Contingent Buffer Amount of 20.00%, thereby exposing the notes to the full depreciation of the Reference Stock,
will depend in large part on the volatility of the closing price of the Reference Stock — the frequency and magnitude of
changes in the closing price of the Reference Stock.
|
|
·
|
|
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.
|
|
·
|
|
HEDGING AND TRADING IN
THE REFERENCE STOCK
— While the notes are outstanding, we or any of our affiliates may carry out hedging activities
related to the notes, including in the Reference Stock or instruments related to the Reference Stock. We or our affiliates may
also trade in the Reference Stock or instruments related to the Reference Stock from time to time. Any of these hedging or trading
activities as of the pricing date and during the term of the notes could adversely affect our payment to you at maturity. It is
possible that such hedging or trading activities could result in substantial returns for us or our affiliates while the value
of the notes declines.
|
|
·
|
|
THE ANTI-DILUTION PROTECTION
FOR THE REFERENCE STOCK IS LIMITED AND MAY BE DISCRETIONARY —
The calculation agent will make adjustments to the Stock
Adjustment Factor for certain corporate events affecting the Reference Stock. However, the calculation agent will not make an
adjustment in response to all events that could affect the Reference Stock. 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. You should also be aware that the
calculation agent may make adjustments in response to events that are not described in the accompanying product supplement to
account for any diluting or concentrative effect, but the calculation agent is under no obligation to do so or to consider your
interests as a holder of the notes in making these determinations.
|
|
·
|
|
MANY ECONOMIC AND MARKET
FACTORS WILL IMPACT THE VALUE OF THE NOTES
— In addition to the closing price of one share of the Reference Stock 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
in the closing price of the Reference Stock;
|
|
·
|
|
the time to maturity of the
notes;
|
|
·
|
|
the dividend rate on the Reference
Stock;
|
|
·
|
|
the occurrence of certain
events affecting the issuer of the Reference Stock that may or may not require an adjustment to the Stock Adjustment Factor, including
a merger or acquisition;
|
|
·
|
|
interest and yield rates in
the market generally;
|
|
·
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a variety of economic, financial,
political, regulatory and judicial events; and
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·
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our creditworthiness, including
actual or anticipated downgrades in our credit ratings.
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JPMorgan Structured Investments
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PS-6
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Digital Notes Linked to the Common Stock of Apple Inc.
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The Reference Stock
Public
Information
All
information contained herein on the Reference Stock and on Apple is derived from publicly available sources and is provided for
informational purposes only. According to its publicly available filings with the SEC, Apple designs, manufactures and markets
mobile communication and media devices, personal computers and portable digital music players and sells a variety of related software,
services, peripherals, networking solutions and third-party digital content and applications. The common stock of Apple, no par
value, is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed
on The NASDAQ Stock Market, which we refer to as the relevant exchange for purposes of Apple in the accompanying product supplement
no. 4-I. Information provided to or filed with the SEC by Apple pursuant to the Exchange Act can be located by reference to SEC
file number 000-10030, and can be accessed through www.sec.gov. We do not make any representation that these publicly available
documents are accurate or complete.
Historical
Information Regarding the Reference Stock
The
following graph sets forth the historical performance of the common stock of Apple based on the weekly closing prices of one share
of the common stock of Apple from January 5, 2007 through April 27, 2012. The closing price of one share of the common stock of
Apple on May 1, 2012 was $582.13. We obtained the closing prices below from Bloomberg Financial Markets, without independent verification.
The closing prices may be adjusted by Bloomberg Financial Markets for corporate actions such as stock splits, public offerings,
mergers and acquisitions, spin-offs, delistings and bankruptcy.
Since
its inception, the Reference Stock has experienced significant fluctuations. The historical performance of the Reference Stock
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 Reference Stock on the Observation Date. We cannot give you assurance that the performance of the Reference Stock will
result in the return of any of your initial investment. We make no representation as to the amount of dividends, if any, that
the Reference Stock will pay in the future. In any event, as an investor in the notes, you will not be entitled to receive dividends,
if any, that may be payable on the Reference Stock.
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.
JPMorgan Structured Investments
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PS-7
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Digital Notes Linked to the Common Stock of Apple Inc.
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