CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$3,180,000 |
$226.73 |
Pricing
supplement no. 980 |
Registration Statement No.
333-155535 |
Structured |
$3,180,000 Semi-Annual Review Notes Linked to the iShares® MSCI EAFE Index Fund due June 4, 2012 |
General
Key Terms
Index Fund: |
iShares® MSCI EAFE Index Fund (the “Index Fund”). For additional information about the iShares® MSCI EAFE Index Fund, see Appendix A to this pricing supplement. |
Automatic Call: |
If the closing price of one share of the Index Fund on any Review Date is greater than or equal to the Trigger Price, the notes will be automatically called for a cash payment per note that will vary depending on the applicable Review Date and call premium, and which will be paid on the applicable Call Settlement Date. |
Trigger Price: |
100% of the Initial Share Price for each Review Date |
Payment if Called: |
For every $1,000 principal amount note, you will receive one payment of $1,000 plus a call premium calculated as follows: • 8.65% x $1,000 if called on the first Review Date |
Payment at Maturity: |
If the notes are not called and a mandatory redemption is not triggered and if the Final Share Price is less than the Initial Share Price by up to 25%, you will receive the principal amount of your notes at maturity. If the Final Share Price is less than the Initial Share Price by more than 25%, you will lose 1% of the principal amount of your notes for every 1% that the Final Share Price is less than the Initial Share Price, and your payment at maturity per $1,000 principal amount note will be calculated as follows: $1,000 + ($1,000 x Share Return) If the notes are not automatically called, you will lose at least 25% of your investment at maturity if the Final Share Price is less than the Initial Share Price by more than 25%. |
Contingent Buffer Amount: |
25% |
Share Return: |
Final
Share Price – Initial Share Price |
Initial Share Price: |
The closing price of one share of the Index Fund on the pricing date, which was $54.25, divided by the Share Adjustment Factor |
Final Share Price: |
The closing price of one share of the Index Fund on the final Review Date |
Review Dates†: |
May, 31, 2011 (first Review Date), November 30, 2011 (second Review Date) and May 30, 2012 (final Review Date) |
Call Settlement Dates†: |
June 3, 2011 (first Call Settlement Date), December 5, 2011 (second Call Settlement Date) and June 4, 2012 (final Call Settlement Date, which is also the Maturity Date), each of which is the third business day after the applicable Review Date specified above, except that the final Call Settlement Date is the Maturity Date. |
Share Adjustment Factor: |
Set equal to 1.0 on the pricing date and subject to adjustment under certain circumstances. See “Description of Notes — Payment at Maturity” and “General Terms of Notes — Anti-Dilution Adjustments” in the accompanying product supplement 144-A-IV for further information about these adjustments. |
Maturity Date†: |
June 4, 2012 |
CUSIP: |
48124A4G9 |
† |
Subject to postponement in the event of a market disruption event and as described under “Description of Notes — Payment at Maturity” or “Description of Notes — Automatic Call,” as applicable, in the accompanying product supplement no. 144-A-IV |
Investing in the Semi-Annual Review Notes involves a number of risks. See “Risk Factors” beginning on page PS-6 of the accompanying product supplement no. 144-A-IV 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.
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Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
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Per note |
$1,000 |
$10 |
$990 |
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Total |
$3,180,000 |
$31,800 |
$3,148,200 |
|
(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, which we refer to as JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission of $10 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 $0.50 per $1,000 principal amount note. This commission includes the projected profits that our affiliates expect to realize, some of which have been allowed to other unaffiliated dealers, for assuming risks inherent in hedging our obligations under the notes. See “Plan of Distribution (Conflicts of Interest)” beginning on page PS-56 of the accompanying product supplement no. 144-A-IV. |
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.
November 30, 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. 144-A-IV dated January 29, 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. 144-A-IV, 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. 144-A-IV dated January 29,
2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210000320/e37642_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” and “our” refer to JPMorgan Chase & Co.
Selected Purchase Considerations
The discussion in the preceding paragraph, when read in combination with the section entitled “Certain U.S.
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JPMorgan
Structured Investments — |
PS-1 |
Federal Income Tax Consequences” in the accompanying product supplement, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal income tax consequences of owning and disposing of notes.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Index Fund, the Underlying Index or any of the equity securities held by the Index Fund or included in the Underlying Index. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 144-A-IV dated January 29, 2010.
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JPMorgan
Structured Investments — |
PS-2 |
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JPMorgan
Structured Investments — |
PS-3 |
Hypothetical Examples of Amounts Payable upon Automatic Call or at Maturity
The following table illustrates the hypothetical simple total return (i.e., not compounded) on the notes that could be realized on the applicable Review Date for a range of movements in the closing price of one share of the Index Fund as shown under the column “Closing Price Appreciation/Depreciation at Review Date.” The following table assumes a hypothetical Trigger Price equal to a hypothetical Initial Share Price of $54.00 and reflects the Contingent Buffer Amount of 25%. The table reflects that the percentages used to calculate the call price applicable to the first, second and final Review Dates are 8.65%, 17.30% and 25.95%, respectively, regardless of the appreciation of the closing price of one share of the Index Fund, which may be significant. There will be only one payment on the notes whether called or at maturity. An entry of “N/A” indicates that the notes would not be called on the applicable Review Date and no payment would be made for such date. The hypothetical returns set forth below are for illustrative purposes only and may not be the actual total return applicable to a purchaser of the notes.
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Closing Price |
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|
Appreciation / |
Total Return at |
Total Return at |
Total Return at |
|
Depreciation at |
First |
Second |
Final |
Closing Price |
Review Date |
Review Date |
Review Date |
Review Date |
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$97.20 |
80.00% |
8.65% |
17.30% |
25.95% |
$91.80 |
70.00% |
8.65% |
17.30% |
25.95% |
$86.40 |
60.00% |
8.65% |
17.30% |
25.95% |
$81.00 |
50.00% |
8.65% |
17.30% |
25.95% |
$75.60 |
40.00% |
8.65% |
17.30% |
25.95% |
$70.20 |
30.00% |
8.65% |
17.30% |
25.95% |
$64.80 |
20.00% |
8.65% |
17.30% |
25.95% |
$59.40 |
10.00% |
8.65% |
17.30% |
25.95% |
$54.00 |
0.00% |
8.65% |
17.30% |
25.95% |
$53.95 |
-0.10% |
N/A |
N/A |
0.00% |
$51.30 |
-5.00% |
N/A |
N/A |
0.00% |
$48.60 |
-10.00% |
N/A |
N/A |
0.00% |
$45.90 |
-15.00% |
N/A |
N/A |
0.00% |
$43.20 |
-20.00% |
N/A |
N/A |
0.00% |
$40.50 |
-25.00% |
N/A |
N/A |
0.00% |
$39.96 |
-26.00% |
N/A |
N/A |
-26.00% |
$37.80 |
-30.00% |
N/A |
N/A |
-30.00% |
$32.40 |
-40.00% |
N/A |
N/A |
-40.00% |
$27.00 |
-50.00% |
N/A |
N/A |
-50.00% |
$21.60 |
-60.00% |
N/A |
N/A |
-60.00% |
$16.20 |
-70.00% |
N/A |
N/A |
-70.00% |
$10.80 |
-80.00% |
N/A |
N/A |
-80.00% |
$5.40 |
-90.00% |
N/A |
N/A |
-90.00% |
$0.00 |
-100.00% |
N/A |
N/A |
-100.00% |
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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 Index Fund increases from the Initial Share Price of $54.00 to a closing price of $59.40 on the first Review Date. Because the closing price of one share of the Index Fund on the first Review Date of $59.40 is greater than the corresponding Trigger Price of $54.00, the notes are automatically called, and the investor receives a single payment of $1,086.50 per $1,000 principal amount note.
Example 2: The closing price of one share of the Index Fund decreases from the Initial Share Price of $54.00 to a closing price of $51.30 on the first Review Date and $45.90 on the second Review Date and increases from the Initial Share Price of $54.00 to a closing price of $81.00 on the final Review Date. Although the closing price of one share of the Index Fund on each of the first two Review Dates ($51.30 and $45.90, respectively) is less than the corresponding Trigger Price of $54.00, because the closing price of one share of the Index Fund on the final Review Date ($81.00) is greater than the corresponding Trigger Price of $54.00, the notes are automatically called, and the investor receives a single payment of $1,259.50 per $1,000 principal amount note.
Example 3: The closing price of one share of the Index Fund decreases from the Initial Share Price of $54.00 to a closing price of $51.30 on the first Review Date, $45.90 on the second Review Date and $40.50 on the final Review Date. Because (a) the closing price of one share of the Index Fund on each of the Review Dates ($51.30, $45.90 and $40.50, respectively) is less than the corresponding Trigger Price of $54.00, and (b) the Final Share Price is not less than the Initial Share Price by more than 25%, the notes are not automatically called and the payment at maturity is the principal amount of $1,000 per $1,000 principal amount note.
Example 4: The closing price of one share of the Index Fund decreases from the Initial Share Price of $54.00 to a closing price of $51.30 on the first Review Date, $45.90 on the second Review Date and $27.00 on the final Review Date. Because (a) the closing price of one share of the Index Fund on each of the Review Dates ($51.30, $45.90 and $27.00, respectively) is less than the corresponding Trigger Price of $54.00, and (b) the Final Share Price is more than 25% below the Initial Share Price, the notes are not automatically called and the investor receives a payment at maturity that is less than the principal amount for each $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x -50%) = $500
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Structured Investments — |
PS-4 |
Historical Information
The following graph sets forth the historical performance of the Index Fund based on the weekly closing prices of one share of the Index Fund from January 7, 2005 through November 26, 2010. The closing price of one share of the Index Fund on November 30, 2010 was $54.25. We obtained the closing prices of the Index Fund 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 prices set forth in the graph below have been adjusted for a 3-for-1 stock split that went effective on June 9, 2005. The historical prices of the Index Fund 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 Index Fund on any Review Date. We cannot give you assurance that the performance of the Index Fund will result in the return of any of your initial investment.
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PS-5 |
Appendix A
The iShares® MSCI EAFE Index Fund
We have derived all information contained in this pricing supplement regarding the iShares® MSCI EAFE Index Fund, including, without limitation, its make up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, iShares® Trust, BlackRock Institutional,Trust Company, N.A. (“BTC”) and BlackRock Fund Advisors (“BFA”). The iShares® MSCI EAFE Index Fund is an investment portfolio maintained and managed by iShares® Trust. BFA is currently the investment adviser to the iShares® MSCI EAFE Index Fund. The iShares® MSCI EAFE Index Fund is an exchange-traded fund (“ETF”) that trades on the NYSE Arca, Inc. (“NYSE Arca”) under the ticker symbol “EFA.” We make no representation or warranty as to the accuracy or completeness of the information derived from these public sources.
iShares® Trust is a registered investment company that consists of numerous separate investment portfolios, including the iShares® MSCI EAFE Index Fund. Information provided to or filed with the SEC by iShares® Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333 92935 and 811 09729, respectively, through the SEC’s website at http://www.sec.gov. For additional information regarding iShares® Trust, BFA and the iShares® MSCI EAFE Index Fund, please see the prospectus dated December 1, 2009 (as supplemented on February 2, 2010). In addition, information about iShares® and the iShares® MSCI EAFE Index Fund may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents and the iShares® website at www.ishares.com. We make no representation or warranty as to the accuracy or completeness of such information. Information contained in the iShares® website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.
Investment Objective and Strategy
The iShares® MSCI EAFE Index Fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in developed European, Australasian and Far Eastern markets, as measured by the MSCI EAFE® Index. The iShares® MSCI EAFE Index Fund holds equity securities traded primarily in certain developed markets. The MSCI EAFE® Index was developed by MSCI Inc. (“MSCI”) as an equity benchmark for international stock performance, and is designed to measure equity market performance in certain developed markets. For more information about the MSCI EAFE® Index, please see “The MSCI EAFE® Index” below.
As of October 29, 2010, the iShares® MSCI EAFE Index Fund holdings by country consisted of the following 29 countries: Australia, Austria, Belgium, Bermuda, China, Cyprus, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Jersey, Luxembourg, Macau, Mauritius, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. In addition, as of October 29, 2010, the Fund’s three largest holdings by country were the United Kingdom, Japan and France. As of such date, its three largest equity securities were Nestle SA-REG, HSBC Holdings plc and Vodafone Group plc, and its three largest sectors were financials, industrials and materials.
The iShares® MSCI EAFE Index Fund uses a representative sampling strategy (as described below under “— Representative Sampling”) to try to track the MSCI EAFE® Index. In addition, the iShares® MSCI EAFE Index Fund may invest up to 10% of its assets in securities not included in the MSCI EAFE® Index but which BFA believes will help the iShares® MSCI EAFE Index Fund track the MSCI EAFE® Index and in futures contracts, options on futures contracts, options and swaps as well as cash and cash equivalents, including shares of money market funds advised by BFA.
Representative Sampling
The iShares® MSCI EAFE Index Fund pursues a “representative sampling” strategy in attempting to track the performance of the MSCI EAFE® Index, and generally does not hold all of the equity securities included in the MSCI EAFE® Index. The iShares® MSCI EAFE Index Fund invests in a representative sample of securities in the MSCI EAFE® Index, which have a similar investment profile as the MSCI EAFE® Index. Securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the MSCI EAFE® Index.
Correlation
The MSCI EAFE® Index is a theoretical financial calculation, while the iShares® MSCI EAFE Index Fund is an actual investment portfolio. The performance of the iShares® MSCI EAFE Index Fund and the MSCI EAFE® Index will vary due to transaction costs, foreign currency valuation, asset valuations, corporate actions (such as mergers and spin-offs), timing variances, and differences between the iShares® MSCI EAFE Index Fund’s portfolio and the MSCI EAFE® Index resulting from legal restrictions (such as diversification requirements) that apply to the iShares® MSCI EAFE Index Fund but not to the MSCI EAFE® Index or the use of representative sampling. A figure of 100% would indicate perfect correlation. Any correlation of less than 100% is called “tracking error.” BFA expects that, over time, the iShares® MSCI EAFE Index Fund’s tracking error will not exceed 5%. The iShares® MSCI EAFE Index Fund, using a representative sampling strategy, can be expected to have a greater tracking error than a fund using
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JPMorgan
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PS-6 |
replication strategy. Replication is a strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the MSCI EAFE® Index.
Industry Concentration Policy
The iShares® MSCI EAFE Index Fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the MSCI EAFE® Index is concentrated. For purposes of this limitation, securities of the U.S. government (including its agencies and instrumentalities) and repurchase agreements collateralized by U.S. government securities are not considered to be issued by members of any industry.
Holdings Information
As of October 29, 2010, 99.49% of the iShares® MSCI EAFE Index Fund’s holdings consisted of equity securities, 0.01% consisted of cash and 0.50% was in other assets, including dividends booked but not yet received. The following tables summarize the iShares® MSCI EAFE Index Fund’s top holdings in individual companies and by sector as of such date.
Top holdings in individual securities as of October 29, 2010
Company
|
Percentage of
Total Holdings |
Nestle S.A. |
1.77% |
HSBC Holdings plc |
1.68% |
Vodafone Group plc |
1.33% |
BHP Billiton Limited |
1.28% |
BP plc |
1.19% |
Novartis AG |
1.14% |
Royal Dutch Shell plc |
1.07% |
TOTAL S.A. |
1.07% |
Telefónica S.A. |
1.03% |
Banco Santander S.A. |
0.97% |
Top holdings by sector as of October 29, 2010
Sector
|
Percentage of
Total Holdings |
Financials |
24.42% |
Industrials |
12.22% |
Materials |
10.62% |
Consumer Discretionary |
10.27% |
Consumer Staples |
10.17% |
Health Care |
8.32% |
Energy |
7.49% |
Telecommunication Services |
5.89% |
Utilities |
5.34% |
Information Technology |
4.71% |
S-T Securities |
0.01% |
Other/Undefined |
0.52% |
The information above was compiled from the iShares® website. We make no representation or warranty as to the accuracy of the information above. Information contained in the iShares® website is not incorporated by reference in, and should not be considered a part of, this pricing supplement.
Disclaimer
The notes are not sponsored, endorsed, sold or promoted by BFA. BFA makes no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. BFA has no obligation or liability in connection with the operation, marketing, trading or sale of the notes.
The MSCI EAFE® Index
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PS-7 |
We have derived all information contained in this pricing supplement regarding the MSCI EAFE® Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information. Such information reflects the policies of, and is subject to change by, MSCI. We make no representation or warranty as to the accuracy or completeness of such information. The MSCI EAFE® Index is calculated, maintained and published by MSCI. MSCI has no obligation to continue to publish, and may discontinue publication of, the MSCI EAFE® Index.
The MSCI EAFE® Index is a free float adjusted market capitalization index intended to measure the equity market performance of certain developed markets. The MSCI EAFE® Index is calculated daily in U.S. dollars and published in real time every 15 seconds during market trading hours. As of October 22, 2010, the MSCI EAFE® Index consisted of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. Effective May 27, 2010, Israel has been reclassified as a developed market. Since that date, Israel has been included in the MSCI EAFE® Index. The MSCI EAFE® Index is reported by Bloomberg L.P. under the ticker symbol “MXEA.”
Additional Information on the Underlying Index
For more information on the index calculation methodology used to formulate the MSCI EAFE® Index (and which is also used to formulate the indices included in the MSCI Global Index Series), see the section entitled ”The iShares® MSCI Emerging Markets Index Fund” beginning with “Constructing the MSCI Global Investable Market Indices” on page PS-24 of the accompanying product supplement no. 144-A-IV. For the avoidance of doubt, references to the “MSCI Emerging Markets Index” contained in the above-referenced section are replaced with the “MSCI EAFE® Index” for purposes of inclusion in this Appendix A.
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PS-8 |