CALCULATION OF REGISTRATION FEE
Title
of Each Class of |
Maximum
Aggregate |
Amount
of |
Notes |
$4,250,000 |
$303.03 |
Pricing supplement
no. 829 |
Registration
Statement No. 333-155535 Dated September 24, 2010; Rule 424(b)(2) |
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Structured |
$4,250,000 13.20% per annum Upside Auto Callable Reverse Exchangeable Notes due September 28, 2011 Linked to the Common Stock of Bank of America Corporation |
General
Key Terms
Reference Stock: |
The common stock, par value $0.01 per share, of Bank of America Corporation (New York Stock Exchange symbol “BAC”). We refer to Bank of America Corporation as “Bank of America.” |
Interest Rate: |
|
in each case equivalent to 13.20% per annum, paid monthly and calculated on a 30/360 basis. | |
Automatic Call: |
If on any of the four (4) Call Dates, the closing price of the Reference Stock is greater than the Initial Share Price, the notes will be automatically called on that Call Date. |
Payment if Called: |
If the notes are automatically called, on the applicable Call Settlement Date, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest to but excluding that Call Settlement Date. |
Protection Amount: |
$3.40, which is equal to 25.00% of the Initial Share Price, subject to adjustments |
Pricing Date: |
September 24, 2010 |
Settlement Date: |
On or about September 29, 2010 |
Call Dates*: |
December 27, 2010 (first Call Date), March 24, 2011 (second Call Date), June 24, 2011 (third Call Date) and September 23, 2011 (final Call Date, which is also the Observation Date) |
Call Settlement Dates*: |
December 30, 2010 (first Call Settlement Date), March 29, 2011 (second Call Settlement Date), June 29, 2011 (third Call Settlement Date) and September 28, 2011 (final Call Settlement Date, which is also the Maturity Date), each of which is the third business day after the applicable Call Date specified above, provided that the final Call Settlement Date is the Maturity Date. |
Observation Date: |
September 23, 2011* |
Maturity Date: |
September 28, 2011* |
CUSIP: |
48124AK48 |
Interest Payment Dates: |
Interest on the notes will be payable monthly in arrears on the 29th calendar day of each month, except that the interest payment with respect to December 2010 will be payable on December 30, 2010, the interest payment with respect to February 2011 will be payable on March 1, 2011 and the interest payment with respect to September 2011 will be payable on the Maturity Date (each such day, an “Interest Payment Date”), commencing October 29, 2010, to and including the Maturity Date, unless the notes are automatically called. If the notes are automatically called, interest will accrue to but excluding the applicable Call Settlement Date, and will be payable on each Interest Payment Date occurring before the applicable Call Settlement Date and on the applicable Call Settlement Date. See “Selected Purchase Considerations — Monthly Interest Payments” in this pricing supplement for more information. |
Payment at Maturity: |
If the notes are not automatically called, the payment at maturity, in excess of any accrued and unpaid interest, will be based on the performance of the Reference Stock. If the notes are not automatically called, for each $1,000 principal amount note, you will receive $1,000 plus any accrued and unpaid interest at maturity, unless the Final Share Price is less than the Initial Share Price by more than the Protection Amount. If the notes are not automatically called and the Final Share Price is less than the Initial Share Price by more than the Protection Amount ($3.40 initially), at maturity you will receive, in addition to any accrued and unpaid interest, instead of the principal amount of your notes, a cash payment equal to the Cash Value. The Cash Value will be less than the principal amount of your notes, and may be zero The Cash Value will most likely be substantially less than the principal amount of your notes, and may be zero. |
Cash Value: |
The product of (1) $1,000 divided by the Initial Share Price and (2) the Final Share Price, subject to adjustments |
Initial Share Price: |
$13.60, the closing price of the Reference Stock on the Pricing Date. The Initial Share Price is subject to adjustments in certain circumstances. See “Description of Notes — Payment at Maturity” and “General Terms of Notes — Anti-Dilution Adjustments” in the accompanying product supplement no. 108-A-II for further information about these adjustments. |
Final Share Price: |
The closing price of the Reference Stock on the Observation Date |
* | Subject to postponement in the event of a market disruption event and as described under “Description of Notes — Automatic Call” or “Description of Notes — Payment at Maturity,” as applicable, in the accompanying product supplement no. 108-A-II |
Investing in the Upside Auto Callable Reverse Exchangeable Notes involves a number of risks. See “Risk Factors” beginning on page PS-7 of the accompanying product supplement no. 108-A-II and “Selected Risk Considerations” beginning on page PS-4 of this pricing supplement.
Neither the SEC nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
Per note |
$1,000 |
$13.50 |
$986.50 |
Total |
$4,250,000 |
$57,375 |
$4,192,625 |
(1) | The price to the public includes the cost of hedging our obligations under the notes through one or more of our affiliates, which includes our affiliates’ expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. For additional related information, please see “Use of Proceeds” beginning on page PS-16 of the accompanying product supplement no. 108-A-II, as supplemented by the “Supplemental Use of Proceeds” in this pricing supplement. |
(2) | J.P. Morgan Securities LLC, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $13.50 per $1,000 principal amount note. See “Plan of Distribution” beginning on page PS-37 of the accompanying product supplement no. 108-A-II. For a different portion of the notes to be sold in this offering, an affiliated bank will receive a fee and another affiliate of ours will receive a structuring and development fee. The aggregate amount of these fees will be $13.50 per $1,000 principal amount note. |
The agent for this offering, JPMS, is an affiliate of ours. See “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The notes are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.
September 24, 2010
Additional Terms Specific to the Notes
You should read this pricing supplement together with the prospectus dated November 21, 2008, as supplemented by the prospectus supplement dated November 21, 2008 relating to our Series E medium-term notes of which these notes are a part, and the more detailed information contained in product supplement no. 108-A-II dated December 2, 2008. This pricing supplement, together with the documents listed below, contains the terms of the notes, supplements the term sheet related hereto dated September 24, 2010 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. 108-A-II, 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. 108-A-II
dated December 2, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005840/e33746_424b2.pdf
Prospectus supplement
dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_424b2.pdf
Prospectus dated November
21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005658/e33655_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, the “Company,” “we,” “us” or “our” refers to JPMorgan Chase & Co.
Supplemental Terms of the Notes
For purposes of this offering, the concept of a “Monitoring Period,” as described in the accompanying product supplement no. 108-A-II, is not applicable. Instead, if the notes are not automatically called, whether you will receive at maturity the principal amount of your notes or a cash payment equal to the Cash Value will depend on the closing price of the Reference Stock on a single day (the Observation Date) only, which we also refer to as the Final Share Price, as more fully described under “Key Terms — Payment at Maturity” in this pricing supplement. Accordingly, you should disregard the definition for the “Monitoring Period” in the accompanying product supplement no. 108-A-II, and you should deem references in the accompanying product supplement no. 108-A-II to (a) “the Monitoring Period” to be “the Observation Date,” and (b) “on any day during the Monitoring Period” or “during the Monitoring Period” to be “on the Observation Date.”
For purposes of determining the payment to you at maturity if a Reorganization Event occurs as described under “General Terms of Notes — Anti-Dilution Adjustments — Reorganization Events” in the accompanying product supplement no. 108-A-II, “Physical Delivery Amount” means 73.5294 shares of the Reference Stock, per $1,000 principal amount note, which is the number of shares equal to $1,000 divided by the Initial Share Price, subject to adjustments.
For purposes of the accompanying product supplement no. 108-A-II, if the Final Share Price is less than the Initial Share Price by more than the Protection Amount ($3.40 initially), we have elected to pay you the Cash Value at maturity.
|
|
JPMorgan
Structured Investments — |
PS-1 |
Examples of Hypothetical Payments at Maturity for Each $1,000 Principal Amount Note
The following table illustrates hypothetical payments at maturity or upon an automatic call on a $1,000 investment in the notes, based on a range of hypothetical Final Share Prices and closing prices on any of the Call Dates. The numbers appearing in the following table and examples have been rounded for ease of analysis. For this table of hypothetical payments at maturity, we have also assumed the following:
• the Initial Share Price: | $13.60 | • the Protection Amount (in U.S. dollars): | $3.40 |
• the Interest Rate: | 13.20% per annum if the note is held to maturity | ||
3.30% (equivalent to 13.20% per annum) if the note is automatically called on the first Call Date | |||
6.60% (equivalent to 13.20% per annum) if the note is automatically called on the second Call Date | |||
9.90% (equivalent to 13.20% per annum) if the note is automatically called on the third Call Date | |||
13.20% (equivalent to 13.20% per annum) if the note is automatically called on the final Call Date |
Hypothetical
Highest |
Hypothetical
Final |
Hypothetical
Final |
Payment
on the |
Payment at Maturity** |
$27.20 |
N/A |
N/A |
$1,000.00 |
$1,000.00 |
$20.40 |
N/A |
N/A |
$1,000.00 |
$1,000.00 |
$17.00 |
N/A |
N/A |
$1,000.00 |
$1,000.00 |
$14.28 |
N/A |
N/A |
$1,000.00 |
$1,000.00 |
$13.60 |
$13.60 |
100.00% |
N/A |
$1,000.00 |
$13.60 |
$12.92 |
95.00% |
N/A |
$1,000.00 |
$12.24 |
$10.20 |
75.00% |
N/A |
$1,000.00 |
$11.56 |
$8.84 |
65.00% |
N/A |
$650.00 |
$8.84 |
$6.80 |
50.00% |
N/A |
$500.00 |
$6.80 |
$3.40 |
25.00% |
N/A |
$250.00 |
$4.08 |
$0.00 |
0.00% |
N/A |
$0.00 |
** | Note that you will receive at maturity or on the applicable Call Settlement Date, as applicable, accrued and unpaid interest in cash, in addition to (1) at maturity, the Cash Value or the principal amount of the notes or (2) on the applicable Call Settlement Date, $1,000 in cash. |
The following examples illustrate how the payments at maturity the applicable Call Settlement Date, as applicable, set forth in the table above are calculated.
Example 1: The closing price of the Reference Stock on the first Call Date is $14.28. Because the closing price of the Reference Stock of $14.28 on the first Call Date is greater than the Initial Share Price of $13.60, the notes are automatically called and you will receive a payment on the first Call Settlement Date of $1,000 per $1,000 principal amount note.
Example 2: The highest closing price of the Reference Stock on any of the Call Dates was $13.60, and the Final Share Price is $12.92. Because the highest closing price of the Reference Stock of $13.60 on any of the Call Dates is not greater than the Initial Share Price of $13.60, the notes are not automatically called. Because the Final Share Price of $12.92 is less than the Initial Share Price of $13.60 by not more than the Protection Amount, you will receive at maturity a payment of $1,000 per $1,000 principal amount note.
Example 3: The highest closing price of the Reference Stock on any of the Call Dates was $8.84, and the Final Share Price is $6.80, a decline of more than the Protection Amount. Because the highest closing price of the Reference Stock of $8.84 on any of the Call Dates is not greater than the Initial Share Price of $13.60, the notes are not automatically called. Because the Final Share Price of $6.80 is less than the Initial Share Price of $13.60 by more than the Protection Amount, you will receive the Cash Value at maturity. Because the Final Share Price of the Reference Stock is $6.80, your final payment at maturity is $500.00.
Regardless of the performance of the Reference Stock, you will receive interest payments, for each $1,000 principal amount note, in the aggregate amount of (1) if the notes are held to maturity, $132.00 over the term of the notes or (2) if the notes are automatically called: (i) $33.00 if called on the first Call Date from the issue date to but excluding the first Call Settlement Date, (ii) $66.00 if called on the second Call Date from the issue date to but excluding the second Call Settlement Date; (iii) $99.00 if called on the third Call Date from the issue date to but excluding the final Call Settlement Date or (iv) $132.00 if called on the final Call Date from the issue date to but excluding the final Call Settlement Date. If the notes are held to maturity, the Cash Value you may receive at maturity and the actual Protection Amount applicable to your notes may be more or less than the amounts displayed in this hypothetical and will depend in part on the Initial Share Price. On the Pricing Date, the Initial Share Price was $13.60 and the Protection Amount was $3.40, in each case subject to adjustments.
|
|
JPMorgan
Structured Investments — |
PS-2 |
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments — |
PS-3 |
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. 108-A-II dated December 2, 2008.
|
|
JPMorgan
Structured Investments — |
PS-4 |
|
|
JPMorgan
Structured Investments — |
PS-5 |
The Reference Stock
Public Information
All information contained herein on the Reference Stock and on Bank of America is derived from publicly available sources and is provided for informational purposes only. According to its publicly available filings with the SEC, Bank of America is a financial institution that provides a range of banking, investing, asset management and other financial and risk management products and services. The common stock of Bank of America, par value $0.01 per share, is registered under the Securities Exchange Act of 1934, as amended, which we refer to as the Exchange Act, and is listed on the New York Stock Exchange, which we refer to as the Relevant Exchange for purposes of Bank of America in the accompanying product supplement no. 108-A-II. Information provided to or filed with the SEC by Bank of America pursuant to the Exchange Act can be located by reference to SEC file number 001-06523, 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 Reference Stock based on the weekly closing price (in U.S. dollars) of the Reference Stock from January 7, 2005 through September 24, 2010. The closing price of the Reference Stock on September 24, 2010 was $13.60. We obtained the closing prices and other information below from Bloomberg Financial Markets, without independent verification. The closing prices and this other information may be adjusted by Bloomberg Financial Markets for corporate actions such as stock splits, public offerings, mergers and acquisitions, spin-offs, delistings and bankruptcy. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
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 prices of the Reference Stock on the Call Dates or 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 Bank of America 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.
Supplemental Use of Proceeds
Notwithstanding anything to the contrary in the accompanying product supplement no. 108-A-II (in particular, the second paragraph of the “Use of Proceeds” section on PS-16 of the accompanying product supplement), for purposes of the notes offered by this pricing supplement, the original issue price of the notes will include the reimbursement of certain issuance costs and the estimated cost of hedging our obligations under the notes. The estimated cost of hedging includes the projected profit, which in no event will exceed $25.00 per $1,000 principal amount note, that our affiliates expect to realize in consideration for assuming the risks inherent in hedging our obligations under the notes. Because hedging our obligations entails risk and may be influenced by market forces beyond our control, the actual cost of such hedging may result in a profit that is more or less than expected, or could result in a loss.
Supplemental Plan of Distribution (Conflicts of Interest)
We own, directly or indirectly, all of the outstanding equity securities of JPMS, the agent for this offering. The net proceeds received from the sale of the notes will be used, in part, by JPMS or one of its affiliates in connection with hedging our obligation under the notes. In accordance with NASD Rule 2720, JPMS may not make sales in this offering to any of its discretionary accounts without the prior written approval of the customer.
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JPMorgan
Structured Investments — |
PS-6 |