CALCULATION OF REGISTRATION FEE
Title of Each Class of |
Maximum Aggregate
|
Amount of
|
Notes |
$140,000 |
$9.98 |
Reopening supplement
no. 1 to pricing supplement no. 964 |
Registration
Statement No. 333-155535 |
Structured |
$140,000† Bearish Notes Linked Inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker due November 30, 2016 |
General
Key Terms
Index: |
The J.P. Morgan US Treasury Note Futures (G) Tracker (the “Index”) |
|
Payment at Maturity: |
At maturity, you will receive a cash payment, for each $1,000 principal amount note, of $1,000 plus the Additional Amount, which will not be less than zero. You are entitled to repayment of principal in full at maturity, subject to the credit risk of JPMorgan Chase & Co. |
|
Additional Amount: |
The Additional Amount per $1,000 principal amount note paid at maturity will equal $1,000 × the Index Change × the Participation Rate; provided that the Additional Amount will not be less than zero. |
|
Participation Rate: |
100% |
|
Index Change: |
Initial Index
Level – Ending Index Level |
|
Initial Index Level: |
The Index closing level on November 23, 2010 (the pricing date for the original notes), which was 197.94 |
|
Ending Index Level: |
The Index closing level on the Observation Date |
|
Reopening Pricing Date: |
December 3, 2010, which is the date on which the reopened notes are priced |
|
Settlement Date |
For the reopened notes, on or about December 7, 2010 |
|
Observation Date: |
November 25, 2016* |
|
Maturity Date: |
November 30, 2016* |
|
CUSIP: |
48124AV95 |
* |
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. 190-A-I |
Investing in the Bearish Notes involves a number of risks. See “Risk Factors” beginning on page RS-6 of the accompanying product supplement no. 190-A-I and “Selected Risk Considerations” beginning on page RS-2 of this reopening 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 reopening supplement or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.
†The notes offered hereby, which we refer to as the “reopened notes,” constitute a further issuance of, and will be consolidated with and form a single tranche with, the $133,000 aggregate principal amount of Bearish Notes Linked Inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker due November 30, 2016, originally issued on November 30, 2010, which we refer to as the “original notes.” The reopened notes will have the same CUSIP as the original notes and will trade interchangeably with the original notes. References to the “notes” will collectively refer to the reopened notes and the original notes. After the issuance of the reopened notes, the aggregate principal amount of the outstanding notes of this tranche will be $273,000.
|
|||
|
Price to Public (1) |
Fees and Commissions (2) |
Proceeds to Us |
|
|||
Per note |
$1,000 |
$61.50 |
$938.50 |
|
|||
Total |
$140,000 |
$8,610 |
$131,390 |
|
(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 $61.50 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 $32.50 per $1,000 principal amount note. The concessions of $32.50 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 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-31 of the accompanying product supplement no. 190-A-I. |
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.
December 3, 2010
Additional Terms Specific to the Notes
You should read this reopening supplement no. 1 to pricing supplement no. 964 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. 190-A-I dated May 25, 2010. This reopening supplement, together with the documents listed below, contains the terms of the notes, supplements the pricing supplement related hereto dated November 23, 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. 190-A-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.
190-A-I dated May 25, 2010:
http://www.sec.gov/Archives/edgar/data/19617/000089109210002135/e38873_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 reopening supplement, the “Company,” “we,” “us” and “our” refer to JPMorgan Chase & Co.
We may create and issue additional notes with the same terms as these notes, so that any additional notes will be considered part of the same tranche as the original notes and the reopened notes.
Supplemental Terms of the Notes
For purposes of this offering, all references to “Bearish Principal Protected Notes” and “Bearish Principal Protected Notes Linked Inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker” in the accompanying product supplement no. 190-A-I are deemed to refer to “Bearish Notes Linked Inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker.”
J.P. Morgan US Treasury Note Futures (G) Tracker
The J.P. Morgan US Treasury Note Futures (G) Tracker (the “Futures Tracker” or the “Index”) was developed and is maintained and calculated by J.P. Morgan Securities Ltd.
The Futures Tracker is a notional, dynamic strategy that aims to replicate the returns of maintaining a long position in 10-Year U.S. Treasury notes futures contracts (each, a “10Y Treasury Futures Contract” and collectively, “10Y Treasury Futures”). At any given time, the Futures Tracker is composed of a single 10Y Treasury Futures Contract that is either the contract closest to expiration (each, the “Near Futures Contract”) or the next 10Y Treasury Futures Contract scheduled to expire immediately following the Near Futures Contract (the “Far Futures Contract”).
The Futures Tracker is published by Bloomberg L.P. under the ticker symbol “RFJGUSBE.”
The Futures Tracker notionally invests in a Near Futures Contract initially and maintains this notional exposure to 10Y Treasury Futures by closing out its position in the expiring Near Futures Contract and establishing a new position in a Far Futures Contract in a process referred to as “rolling.” The rolling process occurs quarterly, generally on the second to last Tracker Business Day of the month before the current futures contract in which the Index is notionally invested expires. For more information, see “The J.P. Morgan US Treasury Note Futures (G) Tracker” in the accompanying product supplement number no. 190-A-I.
The Index is described as a “notional” or “synthetic” portfolio or strategy because its reported value does not represent the value of any actual assets held by any person and there is no actual portfolio of assets in which any person has any ownership interest.
Selected Purchase Considerations
|
|
JPMorgan
Structured Investments — |
RS-1 |
|
||
Calendar Period |
Accrued OID During |
Total Accrued OID from |
|
||
November 30, 2010 through December 31, 2010 |
$2.53 |
$2.53 |
|
||
January 1, 2011 through December 31, 2011 |
$30.71 |
$33.24 |
|
||
January 1, 2012 through December 31, 2012 |
$31.65 |
$64.89 |
|
||
January 1, 2013 through December 31, 2013 |
$32.62 |
$97.51 |
|
||
January 1, 2014 through December 31, 2014 |
$33.62 |
$131.13 |
|
||
January 1, 2015 through December 31, 2015 |
$34.64 |
$165.77 |
|
||
January 1, 2016 through November 30, 2016 |
$32.71 |
$198.48 |
|
Neither the comparable yield nor the projected payment schedule constitutes a representation by us regarding the actual Additional Amount, if any, that we will pay on the 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 or any of the 10Y Treasury Futures Contracts underlying the Index. These risks are explained in more detail in the “Risk Factors” section of the accompanying product supplement no. 190-A-I dated May 25, 2010.
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JPMorgan
Structured Investments — |
RS-2 |
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|
JPMorgan
Structured Investments — |
RS-3 |
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JPMorgan
Structured Investments — |
RS-4 |
Sensitivity Analysis – Hypothetical Payment at Maturity for Each $1,000 Principal Amount Note
The following table illustrates the payment at maturity (including, where relevant, the payment of the Additional Amount) for a $1,000 principal amount note for a hypothetical range of performances for the Index Change from -80% to +80%. The following table and examples assume an Initial Index Level of 200 and reflect the Participation Rate of 100%. The following results are based solely on the hypothetical example cited. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the table and examples below have been rounded for ease of analysis.
|
|||||||
Ending
|
Index
|
Index
Change × |
Additional
|
|
Principal |
|
Payment
at |
|
|||||||
360.00 |
-80.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
340.00 |
-70.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
320.00 |
-60.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
300.00 |
-50.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
280.00 |
-40.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
260.00 |
-30.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
240.00 |
-20.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
220.00 |
-10.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
210.00 |
-5.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
200.00 |
0.00% |
N/A |
$0.00 |
+ |
$1,000.00 |
= |
$1,000.00 |
180.00 |
10.00% |
10.00% |
$100.00 |
+ |
$1,000.00 |
= |
$1,100.00 |
160.00 |
20.00% |
20.00% |
$200.00 |
+ |
$1,000.00 |
= |
$1,200.00 |
140.00 |
30.00% |
30.00% |
$300.00 |
+ |
$1,000.00 |
= |
$1,300.00 |
120.00 |
40.00% |
40.00% |
$400.00 |
+ |
$1,000.00 |
= |
$1,400.00 |
100.00 |
50.00% |
50.00% |
$500.00 |
+ |
$1,000.00 |
= |
$1,500.00 |
80.00 |
60.00% |
60.00% |
$600.00 |
+ |
$1,000.00 |
= |
$1,600.00 |
60.00 |
70.00% |
70.00% |
$700.00 |
+ |
$1,000.00 |
= |
$1,700.00 |
40.00 |
80.00% |
80.00% |
$800.00 |
+ |
$1,000.00 |
= |
$1,800.00 |
|
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 level of the Index declines from the Initial Index Level of 200 to an Ending Index Level of 160. Because the Ending Index Level of 160 is less than the Initial Index Level of 200, the Additional Amount is equal to $200 and the payment at maturity is equal to $1,200 per $1,000 principal amount note, calculated as follows:
$1,000 + ($1,000 x [(200-160)/200] x 100%) = $1,200
Example 2: The level of the Index increases from the Initial Index Level of 200 to an Ending Index Level of 240. Because the Ending Index Level of 240 is greater than the Initial Index Level of 200, the payment at maturity per $1,000 principal amount note is the principal amount of $1,000.
Example 3: The value of the Index neither increases nor decreases from the Initial Index Value of 200. Because the Ending Index Value of 200 is equal to the Initial Index Value of 200, the payment at maturity is equal to $1,000 per $1,000 principal amount note.
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JPMorgan
Structured Investments — |
RS-5 |
The following graph demonstrates the hypothetical total return on the notes at maturity for a subset of the Index Changes detailed in the table on the previous page (-30% to 40%). The numbers appearing in the graph have been rounded for ease of analysis.
Hypothetical Back-Tested and Historical Information
The following graph sets forth the hypothetical back-tested performance of the Index based on the hypothetical back-tested weekly Index closing levels from January 7, 2005 through August 27, 2009, and the historical performance of the Index based on the weekly Index closing values from August 28, 2009 through November 26, 2010. The Index was established as of the close of business on August 28, 2009. The Index closing level on December 2, 2010 was 194.74. We obtained the hypothetical back-tested 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 hypothetical back-tested 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 any positive return on your initial investment. The hypothetical back-tested performance of the Index set forth in the following graph was calculated on materially the same basis as the performance of the Index is now calculated.
The hypothetical historical values above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight.
Alternative modeling techniques or assumptions would produce different hypothetical historical information that might prove to be more appropriate and that might differ significantly from the hypothetical historical information set forth above. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the chart above.
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JPMorgan
Structured Investments — |
RS-6 |