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Notes
1 Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested daily Index
closing levels from February 28, 2001 through May 13, 2009, and the actual
historical performance of the Index based on the daily Index closing level
from May 14, 2009 through March 31, 2011, as well as the performance of the
S and P 500([R]) Index over the same period. For purposes of these
examples, each index was set equal to 100 at the beginning of the relevant
measurement period and returns calculated arithmetically (not compounded).
There is no guarantee the Index will outperform the S and P 500([R]) Index
or any alternative investment strategy. Source: Bloomberg and JPMorgan.
2 Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the S and P 500([R]) Total Return Index
(the "Underlying Index") over a six-month observation period. For any given
day, represents the annualized standard deviation of the Underlying Index's
arithmetic daily returns for the 126-index day period preceding that day.
The index leverage is the hypothetical back-tested amount of exposure of
the Index to the Underlying Index and should not be considered indicative
of the actual leverage that would be assigned during your investment in the
Index. The back-tested, hypothetical, historical six-month annualized
volatility and index leverage have inherent limitations. These volatility
and leverage results were achieved by means of a retroactive application of
a back-tested volatility model designed with the benefit of hindsight. No
representation is made that in the future the Underlying Index will have
the volatility as shown. Alternative modeling techniques or assumptions
might produce significantly different results and may prove to be more
appropriate. Actual six-month annualized volatilities and leverage may vary
materially from this analysis. Source: Bloomberg and JPMorgan.
3 Calculated based on the annualized standard deviation for the ten year
period prior to March 31, 2011.
4 For the above analysis, the Sharpe Ratio, which is a measure of
risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
5 Correlation refers to the degree the S and P 500([R]) Risk Control 10%
Excess Return Index has changed relative to daily changes in the S and P
500([R]) Index for the ten year period prior to March 31, 2011.
Key Risks
[] The Index has a limited operating history and may perform in unexpected
ways -- The Index began publishing on May 13, 2009 and, therefore, has a
limited history. S and P has calculated the returns that hypothetically
might have been generated had the Index existed in the past, but those
calculations are subject to many limitations and do not reflect actual
trading, liquidity constraints, fees and other costs.
[] The Index may not be successful, may not outperform the Underlying Index
and may not achieve its target volatility --No assurance can be given that
the volatility strategy will be successful or that the Index will
outperform the Underlying Index or any alternative strategy that might be
employed to reduce the level of risk of the Underlying Index. We also can
give you no assurance that the Index will achieve its target volatility of
10%.
[] The Index is not a total return index and is subject to short-term money
market fund borrowing costs-- As an "excess return" index, the S and P
500([R]) Risk Control 10% Excess Return Index calculates the return on a
leveraged or deleveraged investment in the Underlying Index where the
investment was made through the use of borrowed funds. Investments linked
to this "excess return" index, which represents an unfunded position in the
Underlying Index, will be subject to short-term money market fund borrowing
costs and will not include the "total return" feature or the cash component
of the "total return" index, which represents a funded position in the
Underlying Index.
The risks identified above are not exhaustive. You should also review
carefully the related "Risk Factors" section in the relevant product
supplement and the "Selected Risk Considerations" in the relevant term
sheet or pricing supplement.
Key Risks Continued
[] The Index represents a portfolio consisting of the Underlying Index and a
borrowing cost component accruing interest based on U. S. overnight LIBOR.
The Index dynamically adjusts its exposure to the Underlying Index based on
the Underlying Index's historic volatility. The Index's exposure to the
Underlying Index will decrease when historical volatility causes the risk
level of the Underlying Index to reach a high threshold. If, at any time,
the Index exhibits low exposure to the Underlying Index and the Underlying
Index subsequently appreciates significantly, the Index will not
participate fully in this appreciation.
[] J. P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with S
and P in developing the guidelines and policies governing the composition
and calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Index. JPMS is under no obligation to consider your interests as an
investor.
Index Disclaimers
"Standard and Poor's([R])," "S and P([R])," "S and P 500([R])" and "S and P
500([R]) Risk Control 10%" are trademarks of the McGraw-Hill Companies, Inc. and
have been licensed for use by J. P. Morgan Securities LLC. This transaction is
not sponsored, endorsed, sold or promoted by S and P, and S and P makes no
representation regarding the advisability of purchasing CDs issued by JPMorgan
Chase Bank, N. A. S and P has no obligation or liability in connection with the
administration, marketing, or trading of products linked to the S and P 500[R]
Risk Control 10% Excess Return Index.
For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at http://www.sec.gov/Archives/edgar/data/19617/
0000950103110 01375/crt-dp22062_fwp. pdf
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the "SEC")
for any offerings to which these materials relate. Before you invest in any
offering of securities by J.P. Morgan, you should read the prospectus in that
registration statement, the prospectus supplement, as well as the particular
product supplement, the relevant term sheet or pricing supplement, and any other
documents that J.P. Morgan will file with the SEC relating to such offering for
more complete information about J.P. Morgan and the offering of any securities.
You may get these documents without cost by visiting EDGAR on the SEC Website at
www.sec.gov. Alternatively, J.P. Morgan, any agent, or any dealer participating
in the particular offering will arrange to send you the prospectus and the
prospectus supplement, as well as any product supplement and term sheet or
pricing supplement, if you so request by calling toll-free (866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-155535
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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