July 2010
 

Pricing Sheet dated July 26, 2010 relating to

Preliminary Terms No. 24 dated July 1, 2010 to

Registration Statement No. 333-155535

Filed pursuant to Rule 433

PRICING TERMS — JULY 26, 2010

Issuer:

JPMorgan Chase & Co.

Maturity date:

July 27, 2012, subject to adjustment for certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-2-A-II

ETF Shares:

Shares of the iShares^® MSCI Emerging Markets Index Fund

Underlying Index:

MSCI Emerging Markets Index

Aggregate principal amount:

$2,859,020

Payment at maturity:

• If the final share price is greater than the initial share price, for each $10 principal amount Buffered PLUS,

$10 + leveraged upside payment

In no event will the payment at maturity exceed the maximum payment at maturity.

• If the final share price is equal to the initial share price or less than the initial share price by an amount less than or equal to the buffer amount of 10%, for each $10 stated principal amount Buffered PLUS,

$10

• If the final share price is less than the initial share price by an amount greater than the buffer amount of 10%, for each $10 stated principal amount Buffered PLUS,

($10 x share performance factor) + $1.00

This amount will be less than the stated principal amount of $10 per Buffered PLUS. However, under no circumstances will the Buffered PLUS pay less than $1.00 per Buffered PLUS at maturity.

Leveraged upside payment:

$10 x leverage factor x share percent increase

Leverage factor:

200%

Share percent increase:

(final share price – initial share price) / initial share price

Initial share price:

$41.44, which is the closing price of one ETF Share on the pricing date, divided by the adjustment factor

Final share price:

The closing price of one ETF Share on the valuation date

Adjustment factor:

Set equal to 1.0 on the pricing date, subject to adjustment under certain circumstances. See “General Terms of Notes – Anti-Dilution Adjustments” in the accompanying product supplement no. MS-2-A-II.

Valuation date:

July 24, 2012, subject to adjustment for non-trading days or certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-2-A-II

Buffer amount:

10%

Minimum payment at maturity:

$1.00 per Buffered PLUS (10% of the stated principal amount)

Share performance factor:

final share price / initial share price

Maximum payment at maturity:

$12.60 (126.00% of the stated principal amount) per Buffered PLUS

Stated principal amount:

$10 per Buffered PLUS

Issue price:

$10 per Buffered PLUS (see “Commissions and issue price” below)

Pricing date:

July 26, 2010

Original issue date:

July 29, 2010 (3 business days after the pricing date)

CUSIP / ISIN:

46634E247 / US46634E2476

Listing:

The Buffered PLUS will not be listed on any securities exchange.

Agent:

J.P. Morgan Securities Inc. (“JPMSI”)

Commissions and issue price:

Price to Public⁽¹⁾⁽²⁾

Fees and Commissions⁽²⁾⁽³⁾

Proceeds to Issuer

Per Buffered PLUS

$10.00

$0.225

$9.775

Total

$2,859,020.00

$64,327.95

$2,794,692.05

(1)

The price to the public includes the estimated cost of hedging our obligations under the Buffered PLUS 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 PS-17 of the accompanying product supplement no. MS-2-A-II.

(2)

The actual price to public and commissions for a particular investor may be reduced for volume purchase discounts depending on the aggregate amount of Buffered PLUS purchased by that investor. The lowest price payable by an investor is $9.925 per Buffered PLUS. Please see “Syndicate Information” on page 5 of the accompanying preliminary terms for further details.

(3)

JPMSI, acting as agent for JPMorgan Chase & Co., received a commission of $0.225 per $10 stated principal amount Buffered PLUS and used all of that commission to allow selling concessions to Morgan Stanley Smith Barney LLC. See “Underwriting (Conflicts of Interest)” beginning on page PS-45 of the accompanying product supplement no. MS-2-A-II.