Obligation JPMorgan Chase 7.5% ( US48126DR682 ) en USD

JPMorgan Chase

84 % ▲

Etas-Unis

US48126DR682 ( en USD )

7.5% par an ( paiement semestriel )

28/03/2028

Prospectus brochure de l'obligation JP Morgan US48126DR682 en USD 7.5%, échéance 28/03/2028

1 000 USD

40 000 000 USD

48126DR68

28/09/2025 ( Dans 67 jours )

JPMorgan Chase & Co. est une société multinationale de services financiers américaine, offrant des services bancaires d'investissement, de gestion de patrimoine, de banque commerciale et de cartes de crédit à une clientèle mondiale.

L'Obligation émise par JPMorgan Chase ( Etas-Unis ) , en USD, avec le code ISIN US48126DR682, paye un coupon de 7.5% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 28/03/2028

L'Obligation émise par JPMorgan Chase ( Etas-Unis ) , en USD, avec le code ISIN US48126DR682, a été notée NR par l'agence de notation Moody's.

L'Obligation émise par JPMorgan Chase ( Etas-Unis ) , en USD, avec le code ISIN US48126DR682, a été notée NR par l'agence de notation Standard & Poor's ( S&P ).

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...
424B2 1 e52753_424b2.htm PRICING SUPPLEMENT NO. 1217
CALCULATION OF REGISTRATION FEE
Maximum Aggregate
Amount of
Title of Each Class of Securities Offered
Offering Price
Registration Fee
Notes
$25,000,000
$3,410.00

1 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

March 2013
Pricing Supplement No. 1217
Registration Statement No. 333-177923
Dated March 22, 2013
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED INVESTMENTS
Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
As further described below, interest will accrue on the notes (i) in Year 1: at a rate of 7.50% per annum and (ii) in Years 2 to maturity: for each day that the closing
value of the Russell 2000® Index is at or above the index reference level, at a variable rate per annum equal to 4 times the difference, if any, between the 30-Year
Constant Maturity Swap Rate ("30CMS") and the 5-Year Constant Maturity Swap Rate ("5CMS") as determined on the CMS reference determination date at the start
of the related quarterly interest payment period; subject to the maximum interest rate of 7.50% per annum for each floating interest payment period and the minimum
interest rate of 0.00% per annum. The notes provide an above-market interest rate in Year 1; however, for each interest payment period in Years 2 to maturity, the
notes will not pay any interest with respect to the interest payment period if the CMS reference index level is equal to or less than 0.00% on the related quarterly CMS
reference determination date. In addition, if on any calendar day the index closing value is less than the index reference level, interest will accrue at a rate of 0.00% per
annum for that day. Any payment on the notes is subject to the credit risk of JPMorgan Chase & Co.
SUMMARY TERMS
Issuer:
JPMorgan Chase & Co.
Aggregate principal amount:
$25,000,000. We may increase the aggregate principal amount prior to the original issue date but are not required to do so.
Issue price:
At variable prices (see "Commissions and Issue Price" below)
Stated principal amount:
$1,000 per note
Pricing date:
March 22, 2013
Original issue date:
March 28, 2013 (4 business days after the pricing date)
Maturity date:
March 28, 2028; provided that if such day is not a business day, any payment at maturity will be made on the next succeeding
business day and no adjustment will be made to any interest payment made on that succeeding business day.
Payment at maturity:
The payment at maturity per note will be the stated principal amount plus accrued and unpaid interest, if any.
Interest:
From and including the original issue date to but excluding March 28, 2014: 7.50% per annum
From and including March 28, 2014 to but excluding the maturity date (the "floating interest rate period"):
For each interest payment period during the floating interest rate period, a variable rate per annum equal to the product of:
(a) leverage factor times the CMS reference index level; subject to the minimum interest rate and the maximum
interest rate; and
(b) N/ACT; where,
"N" = the total number of calendar days in the applicable interest payment period on which the index closing value is greater
than or equal to the index reference level (each such day, an "accrual day"); and
"ACT" = the total number of calendar days in the applicable interest payment period.
The CMS reference index level applicable to an interest payment period will be determined on the related CMS reference
determination date.
Beginning March 28, 2014, it is possible that you could receive little or no interest on the notes. If, on the related
CMS reference determination date, the CMS reference index level is equal to or less than the CMS reference index
strike, interest will accrue at a rate of 0.00% for that interest payment period. In addition, if on any day, the index
closing value is determined to be less than the index reference level, interest will accrue at a rate of 0.00% per
annum for that day. The determination of the index closing value will be subject to certain market disruption
events.
Leverage factor:
4
Interest payment period:
Quarterly
Interest payment period end dates: Unadjusted
Interest payment dates:
Each March 28, June 28, September 28 and December 28, beginning June 28, 2013; provided that if any such day is not a
business day, that interest payment will be made on the next succeeding business day and no adjustment will be made to any
interest payment made on that succeeding business day.
Interest reset dates:
Each March 28, June 28, September 28 and December 28, beginning March 28, 2014
CMS reference determination
Two (2) U.S. government securities business days prior to the related interest reset date at the start of the applicable interest
dates:
payment period.
Maximum interest rate:
7.50% per annum in any quarterly interest payment period during the floating interest rate period
Minimum interest rate:
0.00% per annum
CMS reference index level:
30CMS minus 5CMS, expressed as a percentage.
Please see "Additional Provisions--CMS Reference Index Level" below.
CMS reference index strike:
0.00%
Index:
The Russell 2000® Index
Index reference level:
75.00% of the index closing value on March 26, 2013
Agent:
J.P. Morgan Securities LLC ("JPMS")
2 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...
Calculation agent:
JPMS

Terms continued on the following page
Commissions and issue price:
Price to Public(1)(2)
Fees and Commissions(2)
Proceeds to Issuer
Per Note
At variable prices
$35.00
$965
Total
At variable prices
$875,000
$24,125,000

(1) The notes sold in one or more negotiated transactions at varying prices to be determined at the time of each sale, which were at market prices prevailing, at
prices related to such prevailing prices or at negotiated prices; provided, however, that such prices were not less than $970 per note and not more than $1,000
per note. See "Risk Factors--The Price You Pay For The Notes May Be Higher Than The Prices Paid By Other Investors."
(2) JPMS or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Smith Barney LLC (an affiliate of the agent) and
their financial advisors, of up to $35 per note depending on market conditions. See "Plan of Distribution (Conflicts of Interest)" beginning on page PS-42 of the
accompanying product supplement no. 1-I.
Investing in the notes involves a number of risks. See "Risk Factors" on page US-1 of the accompanying underlying supplement no. 1-I, "Risk Factors"
on page PS-13 of the accompanying product supplement no. 1-I and "Risk Factors" beginning on page 9 of this pricing supplement.
Neither the Securities and Exchange Commission (the "SEC") nor any state securities commission has approved or disapproved of the notes or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus
supplement and 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.
YOU SHOULD READ THIS PRICING SUPPLEMENT TOGETHER WITH THE RELATED UNDERLYING SUPPLEMENT NO. 1-I, PRODUCT SUPPLEMENT NO. 1-I, PROSPECTUS SUPPLEMENT AND
PROSPECTUS, EACH OF WHICH CAN BE ACCESSED VIA THE HYPERLINKS BELOW, BEFORE YOU DECIDE TO INVEST.
Underlying supplement no. 1-I dated November 14, 2011: http://sec.gov/Archives/edgar/data/19617/000089109211007615/e46154_424b2.pdf
Product supplement no. 1-I dated November 14, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211007588/e46195_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

3 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...
Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes

Terms continued from previous page:
Index closing value:
The closing value of the index. Please see "Additional Provisions--The Russell 2000® Index" below.
Index cutoff:
The index closing value for any day from and including the fifth index business day prior to the related interest payment date
for any interest payment period shall be the index closing value on such fifth index business day prior to such interest
payment date.
Redemption:
None
Day-count convention:
Actual/Actual
Specified currency:
U.S. dollars
Listing
The notes will not be listed on any securities exchange.
Denominations
$1,000 / $1,000
CUSIP / ISIN:
48126DR68 / US48126DR682
Book-entry or certificated note:
Book-entry
Business day:
New York

4 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...
Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
The Notes
The notes offered are senior unsecured obligations of JPMorgan Chase & Co. In year 1, the notes pay interest at a rate of 7.50% per annum. Beginning March 28,
2014, interest will accrue on the notes for each day that the closing value of the Russell 2000® Index is at or above the index reference level, at a variable rate per
annum equal to 4 times the CMS reference index level for the related quarterly interest payment period; subject to the maximum interest rate of 7.50% per annum per
interest payment period and the minimum interest rate of 0.00% per annum. The floating interest rate is based on the CMS reference index level and the level of the
Russell 2000® Index. If 30CMS is less than or equal to 5CMS on the applicable CMS reference determination date, the floating interest rate will be 0.00% and no
interest will accrue on the notes for such interest period. In addition, if on any calendar day during the interest payment period the index closing value is less than the
index reference level, interest will accrue at a rate of 0.00% per annum for that day. We describe the basic features of these notes in the sections of the accompanying
prospectus called "Description of Debt Securities," the accompanying prospectus supplement called "Description of Notes" and the accompanying product supplement
no. 1-I called "Description of Notes," subject to and as modified by the provisions described in this pricing supplement. All payments on the notes are subject to the
credit risk of JPMorgan Chase & Co.
Additional Provisions
CMS Reference Index Level
What are the 30-Year Constant Maturity Swap Rate ("30CMS") and the 5-Year Constant Maturity Swap Rate ("5CMS")?
The 30CMS, which is the rate for U.S. dollar swap with a Designated Maturity of 30 years that appears on Reuters page "ISDAFIX1" (or any successor page) at
approximately 11:00 a.m., New York City time, on any CMS reference determination date, as determined by the calculation agent.
The 5CMS, which is the rate for U.S. dollar swap with a Designated Maturity of 5 years that appears on Reuters page "ISDAFIX1" (or any successor page) at
approximately 11:00 a.m., New York City time, on any CMS reference determination date, as determined by the calculation agent.
An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) that a counterparty in the swaps market would have to
pay for a given maturity, in order to receive a floating rate (paid quarterly) equal to 3-month LIBOR for that same maturity.
CMS Reference Determination Dates
Two (2) U.S. government securities business days prior to the related interest reset date at the start of the applicable interest payment period.
U.S. Government Securities Business Day
Any day, other than a Saturday, Sunday or a day on which the Securities Industry and Financial Markets Association ("SIFMA") recommends that the fixed income
departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
CMS Rate Fallback Provisions
On any CMS reference determination date, if the 30CMS or the 5CMS cannot be determined by reference to Reuters page "ISDAFIX1" (or any successor page), then
the calculation agent will determine such affected rate for such day on the basis of the mid-market semi-annual swap rate quotations to the calculation agent provided
by five leading swap dealers in the New York City interbank market (the "Reference Banks") at approximately 11:00 a.m., New York City time, on such CMS reference
determination date, and, for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated
on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate swap transaction with a term equal to the applicable 30 year or 5 year maturity commencing
on such CMS reference determination date and in a representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg,
calculated on an actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a designated maturity of three months. The calculation agent will request the
principal New York City office of each of the Reference Banks to provide a quotation of its rate.
March 2013
Page 3
5 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
If at least three quotations are provided, the rate for that day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality,
one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the rate will be
determined by the calculation agent in good faith and in a commercially reasonable manner.
The Russell 2000® Index

The Russell 2000® Index, which is calculated, maintained and published by Russell Investments ("Russell") a subsidiary of Russell Investment Group (formerly, Frank
Russell Company), measures the capitalization-weighted price performance of the small-cap stocks included in the Russell 2000® Index and is designed to track the
performance of the small capitalization segment of the U.S. equity market. All stocks included in the Russell 2000® Index are traded on a major U.S. exchange. The
companies included in the Russell 2000® Index are the middle 2,000 of the companies that form the Russell 3000ETM Index, which is composed of the 4,000 largest
U.S. companies as determined by market capitalization and represents approximately 99% of the U.S. equity market. The Russell 2000® Index is reported by
Bloomberg L.P. under the ticker symbol "RTY." The Russell 2000® Index is described under the heading "The Russell 2000® Index" in the accompanying underlying
supplement no. 1-I.
Index Closing Value Fallback Provisions
The index closing value on any calendar day beginning March 28, 2014 on which the index level is to be determined (each, an "index determination date") will equal
the official closing value of the index as published by the index publisher or its successor, or in the case of any successor index, the official closing value for any such
successor index as published by the publisher of such successor index or its successor, at the regular weekday close of trading on that calendar day, as determined by
the calculation agent; provided that the index closing value for any day from and including the fifth index business day prior to the related interest payment date for any
interest payment period shall be the index closing value in effect on such fifth index business day prior to such interest payment date; provided further that if a market
disruption event with respect to the index occurs on any index determination date or if any such index determination date is not an index business day, the closing
value of the index for such index determination date will be the closing value of the index on the immediately preceding index business day on which no market
disruption event has occurred. In certain circumstances, the index closing value shall be based on the alternate calculation of the index described under "General
Terms of the Notes--Discontinuance of an Equity Index; Alteration of Method of Calculation" in the accompanying product supplement no. 1-I.
"Index business day" means a day, as determined by the calculation agent, on which trading is generally conducted on each of the relevant exchange(s) for the index,
other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price.
"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the index, or any successor index, and (ii) any futures
or options contracts related to the index or to any security then included in the index.
For more information regarding market disruption events with respect to the index, discontinuance of the index and alteration of the method of calculation, see "General
Terms of the Notes--Market Disruption Event" and "--Discontinuance of an Equity Index; Alteration of Method of Calculation" in the accompanying product supplement
no. 1-I.
March 2013
Page 4
6 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
Hypothetical Examples
The table below presents examples of hypothetical interest that would accrue on the notes during any quarter in the floating interest rate period. The examples below
are for purposes of illustration only. The examples of the hypothetical floating interest rate that would accrue on the notes are based both on the level of the CMS
reference index level on the applicable CMS reference determination date and on the total number of calendar days in a quarterly interest payment period on which the
index closing value of the Russell 2000® Index is greater than or equal to the index reference level.
The actual interest payments during the floating interest rate period will depend on the actual level of the CMS reference index level on each CMS reference
determination date and the index closing value of the Russell 2000® Index on each day during the floating interest payment period. The applicable interest rate for
each quarterly interest payment period will be determined on a per-annum basis but will apply only to that interest payment period. The table assumes that the interest
payment period contains 90 calendar days. The examples below are for purposes of illustration only and would provide different results if different assumptions were
made.
Hypothetical Interest Rate
CMS
4 times CMS
Reference
Reference Index
Number of accrual days on which the index closing value of the Russell 2000® Index
Index Level
Level
is greater than or equal to the index reference level
0
10
20
30
50
75
90
-2.600%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.400%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.200%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.800%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.600%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.400%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.200%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.800%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.600%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.400%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.200%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.200%
0.80%
0.00%
0.0889%
0.1778%
0.2667%
0.4444%
0.6667%
0.8000%
0.400%
1.60%
0.00%
0.1778%
0.3556%
0.5333%
0.8889%
1.3333%
1.6000%
0.600%
2.40%
0.00%
0.2667%
0.5333%
0.8000%
1.3333%
2.0000%
2.4000%
0.800%
3.20%
0.00%
0.3556%
0.7111%
1.0667%
1.7778%
2.6667%
3.2000%
1.000%
4.00%
0.00%
0.4444%
0.8889%
1.3333%
2.2222%
3.3333%
4.0000%
1.200%
4.80%
0.00%
0.5333%
1.0667%
1.6000%
2.6667%
4.0000%
4.8000%
1.400%
5.60%
0.00%
0.6222%
1.2444%
1.8667%
3.1111%
4.6667%
5.6000%
1.600%
6.40%
0.00%
0.7111%
1.4222%
2.1333%
3.5556%
5.3333%
6.4000%
1.800%
7.20%
0.00%
0.8000%
1.6000%
2.4000%
4.0000%
6.0000%
7.2000%
1.875%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
2.000%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
2.200%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
2.400%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
2.600%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
2.800%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%
3.000%
7.50%
0.00%
0.8333%
1.6667%
2.5000%
4.1667%
6.2500%
7.5000%

If 30CMS is less than or equal to 5CMS on the applicable CMS reference determination date, the floating interest rate will be the minimum interest rate of 0.00% and
no interest will accrue on the notes for such interest period regardless of the total number of calendar days in the interest payment period on which the index closing
value of the Russell 2000® Index is greater than or equal to the index reference level.
March 2013
Page 5
7 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
Historical Information
The CMS Reference Index Level
The following graph sets forth the historical difference between the 30CMS and the 5CMS for the period from January 2, 1998 to March 22, 2013 (the "historical
period"). The historical difference between the 30CMS and the 5CMS should not be taken as an indication of the future performance of the CMS reference index level.
The graph below does not reflect the return the notes would have had during the periods presented because it does not take into account the index closing values or
the leverage factor. We cannot give you any assurance that the level of the CMS reference index level will be positive on any CMS reference determination date. We
obtained the information in the graph below, without independent verification, from Bloomberg Financial Markets.
*The bold line in the graph indicates the CMS reference index strike of 0.00%.
Historical period

Total number of days in historical period
3,972
Number of days CMS reference index level was greater than 0.00%
3,940
Number of days CMS reference index level was less than or equal to 0.00%
32
The historical performance shown above is not indicative of future performance. The CMS reference index level may be negative on one or more specific CMS
reference determination dates during the floating interest rate period even if the level of the CMS reference index level is generally positive and, moreover, the level of
the CMS reference index level has in the past been, and may in the future be, negative.
If the level of the CMS reference index level is negative on any CMS reference determination date during the floating interest rate period, you will not
receive any interest for the related interest payment period. Moreover, even if the level of the CMS reference index level is positive on any such CMS
reference determination date, if the index closing value is less than the index reference level on any day during the interest payment period, you will
not receive any interest with respect to such day, and if the index closing value remains below the index reference level for each day in the applicable
interest payment period, you will receive no interest for that interest payment period.
March 2013
Page 6
8 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
The Russell 2000® Index
The following table sets forth the published high and low index closing values, as well as end-of-quarter index closing values, for each quarter in the period from
January 2, 2008 through March 22, 2013. The graph following the table sets forth the weekly index closing values for the period from January 2, 1998 through March
22, 2013. The index closing value on March 22, 2013 was 946.27. The historical index closing values should not be taken as an indication of future performance, and
we cannot give you any assurance that the index closing value will be higher than the index reference level on any index determination date during the floating interest
rate period in which you are paid the floating interest rate. The graph below does not reflect the return the notes would have had during the periods presented because
it does not take into account the CMS reference index level or the leverage factor. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification.
Russell 2000® Index
High
Low
Period End
2008

First Quarter
753.55
643.97
687.97
Second Quarter
763.27
686.07
689.66
Third Quarter
754.38
657.72
679.58
Fourth Quarter
671.59
385.31
499.45
2009

First Quarter
514.71
343.26
422.75
Second Quarter
531.68
429.16
508.28
Third Quarter
620.69
479.27
604.28
Fourth Quarter
634.07
562.40
625.39
2010

First Quarter
690.30
586.49
678.64
Second Quarter
741.92
609.49
609.49
Third Quarter
677.64
590.03
676.14
Fourth Quarter
792.35
669.45
783.65
2011

First Quarter
843.55
773.18
843.55
Second Quarter
865.29
777.20
827.43
Third Quarter
858.11
643.42
644.16
Fourth Quarter
765.43
609.49
740.92
2012

First Quarter
846.13
747.28
830.30
Second Quarter
840.63
737.24
798.49
Third Quarter
864.70
767.75
837.45
Fourth Quarter
852.49
769.48
849.35
2013

First Quarter (through March 22, 2013)
953.07
872.60
946.27
March 2013
Page 7
9 of 15
3/27/2013 9:22 AM

http://www.sec.gov/Archives/edgar/data/19617/000089109213002631/e...

Fixed to Floating Rate Notes due March 28, 2028
Leveraged CMS Curve and Russell 2000® Index Linked Notes
*The bold line in the graph indicates a hypothetical index reference level of 709.7025 as of March 22, 2013.

Historical period

Total number of days in the historical period, beginning on January 10, 2006**
1,812
Number of days on or after January 10, 2006 that the index closing value was greater than or equal to
1,104
709.7025
Number of days on or after January 10, 2006 that the index closing value was less than 709.7025
708
** From the inception of the Russell 2000® Index until January 10, 2006, its closing value was less than 709.7025

March 2013
Page 8
10 of 15
3/27/2013 9:22 AM