CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$629,000 |
$44.85 |
Pricing
supplement no. 838 |
Registration Statement No.
333-155535 |
Structured |
JPMorgan
Chase & Co. $629,000 Buffered Return Enhanced Notes Linked to the S&P 500® Index due September 28, 2012 |
General
Key Terms
Index: |
The S&P 500® Index (“SPX”) (the “Index”) |
Upside Leverage Factor: |
2 |
Payment at Maturity: |
If the Ending Index Level is greater than the Initial Index Level, at maturity you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by two, subject to a Maximum Total Return on the notes of 21.00%. For example, if the Index Return is equal to or greater than 10.50%, you will receive the Maximum Total Return on the notes of 21.00%, which entitles you to a maximum payment at maturity of $1,210 for every $1,000 principal amount note that you hold. Accordingly, if the Index Return is positive, your payment at maturity per $1,000 principal amount note will be calculated as follows, subject to the Maximum Total Return: |
|
$1,000 + [$1,000 x (Index Return x 2)] |
|
If the Ending Index Level is equal to or less than the Initial Index Level by up to 10%, you will receive the principal amount of your notes at maturity. If the Ending Index Level is less than the Initial Index Level by more than 10%, you will lose 1% of the principal amount of your notes for every 1% that the Index declines beyond 10% and your payment at maturity per $1,000 principal amount note will be calculated as follows: |
|
$1,000 + [$1,000 x (Index Return + 10%)] |
|
If the Ending Index Level is less than the Initial Index Level by more than 10%, you could lose up to $900 per $1,000 principal amount note. |
Buffer Amount: |
10%, which results in a minimum payment of $100 per $1,000 principal amount note. |
Index Return: |
Ending Index Level – Initial Index Level |
Initial Index Level: |
The Index closing level on the pricing date, which was 1142.16. |
Ending Index Level: |
The Index closing level on the Observation Date. |
Observation Date: |
September 25, 2012† |
Maturity Date: |
September 28, 2012† |
CUSIP: |
48124AC54 |
† |
Subject to postponement in the event of a market disruption event and as described under “Description of Notes — Payment at Maturity” in the accompanying product supplement no. 39-A-VI. |
Investing in the Buffered Return Enhanced Notes involves a number of risks. See “Risk Factors” beginning on page PS-10 of the accompanying product supplement no. 39-A-VI and “Selected Risk Considerations” beginning on page PS-2 of this pricing supplement.
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying 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 |
$38.96 |
$961.04 |
|
|||
Total |
$629,000 |
$24,505.84 |
$604,494.16 |
|
(1) |
The price to the public includes the estimated cost of hedging our obligations under the notes through one or more of our affiliates. |
(2) |
J.P. Morgan Securities LLC (formerly known as J.P. Morgan Securities, Inc.), which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $38.96 per $1,000 principal amount note and will use a portion of that commission to allow selling concessions to other affiliated or unaffiliated dealers of $21.93 per $1,000 principal amount note. The concessions of $21.93 include concessions to be allowed to selling dealers and concessions to be allowed to any arranging dealer. This commission includes the projected profits that our affiliates expect to realize, some of which may be allowed to other dealers, for assuming risks inherent in hedging our obligations under the notes. See “Plan of Distribution” beginning on page PS-174 of the accompanying product supplement no. 39-A-VI. |
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 27, 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. 39-A-VI dated February 22, 2010. This pricing supplement, together with the documents listed below, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the accompanying product supplement no. 39-A-VI, 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. 39-A-VI dated February 22, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000670/e37841_424b2.pdf
Prospectus
supplement dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005661/e33600_424b2.pdf
Prospectus
dated November 21, 2008:
http://www.sec.gov/Archives/edgar/data/19617/000089109208005658/e33655_424b2.pdf
Our Central Index Key, or CIK, on the SEC website is 19617. As used in this pricing supplement, the “Company,” “we,” “us” or “our” refers to JPMorgan Chase & Co.
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments — |
PS-1 |
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index or in any of the component securities of the Index. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 39-A-VI dated February 22, 2010.
|
|
JPMorgan
Structured Investments — |
PS-2 |
What Is the Total Return on the Notes at Maturity Assuming a Range of Performance for the Index?
The following table, graph and examples illustrate 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 Index Level of 1150 and reflect the Maximum Total Return of 21.00%. 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 graph and in the examples on the following page have been rounded for ease of analysis.
|
|||
Ending Index |
Index Return |
Total Return |
Payment at |
|
|||
1840.00 |
60.00% |
21.00% |
$1,210 |
1725.00 |
50.00% |
21.00% |
$1,210 |
1610.00 |
40.00% |
21.00% |
$1,210 |
1495.00 |
30.00% |
21.00% |
$1,210 |
1380.00 |
20.00% |
21.00% |
$1,210 |
1322.50 |
15.00% |
21.00% |
$1,210 |
1265.00 |
10.00% |
20.00% |
$1,200 |
1270.75 |
10.50% |
21.00% |
$1,210 |
1207.50 |
5.00% |
10.00% |
$1,100 |
1178.75 |
2.50% |
5.00% |
$1,050 |
1161.50 |
1.00% |
2.00% |
$1,020 |
1150.00 |
0.00% |
0.00% |
$1,000 |
1092.50 |
-5.00% |
0.00% |
$1,000 |
1035.00 |
-10.00% |
0.00% |
$1,000 |
977.50 |
-15.00% |
-5.00% |
$950 |
805.00 |
-30.00% |
-20.00% |
$800 |
690.00 |
-40.00% |
-30.00% |
$700 |
575.00 |
-50.00% |
-40.00% |
$600 |
460.00 |
-60.00% |
-50.00% |
$500 |
345.00 |
-70.00% |
-60.00% |
$400 |
230.00 |
-80.00% |
-70.00% |
$300 |
115.00 |
-90.00% |
-80.00% |
$200 |
0 |
-100.00% |
-90.00% |
$100 |
|
|||
The following graph demonstrates the hypothetical total return on the notes at maturity for a sub-set of the Index Returns detailed in the table above (-30% to 30%). Your investment may result in a loss of up to 90% of your principal at maturity.
Buffered
Return Enhanced Notes Linked to the S&P 500® Index
Total Return at Maturity
|
|
JPMorgan
Structured Investments — |
PS-3 |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set forth in the table on the previous page are calculated.
Example 1: The level of the Index increases from the Initial Index Level of 1150 to an Ending Index Level of 1207.50. Because the Ending Index Level of 1207.50 is greater than the Initial Index Level of 1150 and the Index Return of 5% multiplied by 2 does not exceed the Maximum Total Return of 21.00%, the investor receives a payment at maturity of $1,100 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (5% x 2)] = $1,100
Example 2: The level of the Index decreases from the Initial Index Level of 1150 to an Ending Index Level of 1035. Although the Index Return is negative, because the Ending Index Level of 1035 is less than the Initial Index Level of 1150 by not more than the Buffer Amount of 10%, the investor receives a payment at maturity of $1,000 per $1,000 principal amount note.
Example 3: The level of the Index increases from the Initial Index Level of 1150 to an Ending Index Level of 1380. Because the Ending Index Level of 1380 is greater than the Initial Index Level of 1150 and the Index Return of 20% multiplied by 2 exceeds the Maximum Total Return of 21.00%, the investor receives a payment at maturity of $1,210 per $1,000 principal amount note, the maximum payment on the notes.
Example 4: The level of the Index decreases from the Initial Index Level of 1150 to an Ending Index Level of 805. Because the Index Return is negative and the Ending Index Level of 805 is less than the Initial Index Level of 1150 by more than the Buffer Amount of 10%,the investor receives a payment at maturity of $800 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-30% + 10%)] = $800
Example 5: The level of the Index decreases from the Initial Index Level of 1150 to an Ending Index Level of 0. Because the Index Return is negative and the Ending Index Level of 0 is less than the Initial Index Level of 1150 by more than the Buffer Amount of 10%, the investor receives a payment at maturity of $100 per $1,000 principal amount note, calculated as follows:
$1,000 + [$1,000 x (-100% + 10%)] = $100
Historical Information
The following graph sets forth the historical performance of the S&P 500® Index based on the weekly Index closing level from January 7, 2005 through September 24, 2010. The Index closing level on September 27, 2010 was 1142.16. We obtained the Index closing levels below from Bloomberg Financial Markets. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial Markets.
The historical levels of the Index should not be taken as an indication of future performance, and no assurance can be given as to the Index closing level on the Observation Date. We cannot give you assurance that the performance of the Index will result in the full return of your initial investment in excess of $100 per $1,000 principal amount note.
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JPMorgan
Structured Investments — |
PS-4 |