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  February 2011
Preliminary Terms No. 33
Registration Statement No. 333-155535
Dated February 2, 2011
Filed pursuant to Rule 433

STRUCTURED INVESTMENTS
Opportunities in Currencies

PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

PLUS offer leveraged exposure to a wide variety of assets and asset classes, including equities, commodities, currencies and bonds. These investments are designed to allow investors to capture enhanced returns relative to the asset’s actual positive performance. The leverage typically applies only for a certain range of price performance. In exchange for enhanced performance in that range, investors generally forgo performance above a specified maximum return. At maturity, an investor will receive an amount in cash that may be greater than, equal to or less than the stated principal amount based upon the performance of an equally-weighted basket of twelve currencies relative to the U.S. dollar, subject to the maximum payment at maturity. If the basket appreciates as a whole over the term of the PLUS, an investor will receive at maturity an amount in cash that will be greater than the stated principal amount, subject to the maximum payment at maturity. Conversely, if the basket depreciates as a whole over the term of the PLUS, an investor will receive an amount in cash that will be less than the stated principal amount and could be zero. The PLUS are senior unsecured obligations of JPMorgan Chase & Co., and all payments on the PLUS are subject to the credit risk of JPMorgan Chase & Co. There is no minimum payment at maturity on the PLUS and, accordingly, the investor may lose some or all of the stated principal amount of the PLUS.

SUMMARY TERMS
Issuer: JPMorgan Chase & Co.
Maturity date: March 6, 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-11-A-I
Aggregate principal amount: $
Basket: Basket currencies Weighting Reference source Applicable time
  Mexican peso (“MXN”) 1/12 Reuters: WMRSPOT10 11:00 a.m., New York Time
  Brazilian real (“BRL”) 1/12 Reuters: BRFR 6:00 p.m., Sao Paulo Time
  Chilean peso (“CLP”) 1/12 Reuters: CLPOB= 3:15 p.m., New York Time
  Polish zloty (“PLN”) 1/12 Reuters: WMRSPOT06 11:00 a.m., New York Time
  Turkish lira (“TRY”) 1/12 Reuters: WMRSPOT07 11:00 a.m., New York Time
  South African rand (“ZAR”) 1/12 Reuters: WMRSPOT17 11:00 a.m., New York Time
  Israeli new shekel (“ILS”) 1/12 Reuters: BOIJ 3:00 p.m., Tel-Aviv Time
  Chinese renminbi (“CNY”) 1/12 Reuters: SAEC 9:15 a.m., Shanghai Time
  Indian rupee (“INR”) 1/12 Reuters: RBIB 12:30 p.m., Mumbai Time
  South Korean won (“KRW”) 1/12 Reuters: KFTC18 3:30 p.m., Seoul Time
  New Taiwan dollar (“TWD”) 1/12 Reuters: TAIFX1-NDF 11:15 a.m., Taipei Time
  Malaysian ringgit (“MYR”) 1/12 Reuters: ABSG 11:00 a.m., Kuala Lumpur Time
Payment at maturity: •

If the final basket value is greater than the initial basket value, which means the basket of currencies strengthens relative to the U.S. dollar, for each $10 stated principal amount PLUS, $10 + leveraged upside payment

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

If the final basket value is less than or equal to the initial basket value, which means the basket of currencies remains unchanged or weakens relative to the U.S. dollar, for each $10 stated principal amount PLUS, $10 x (1 + basket performance)

Because in this scenario, the basket performance will be zero or negative, this amount will be equal to or less than the stated principal amount of $10 and could be $0. There is no minimum payment at maturity on the PLUS.
Leveraged upside payment: $10 x leverage factor × basket performance
Basket performance: (final basket value – initial basket value) / initial basket value
Initial basket value: Set equal to 100 on the pricing date
Final basket value: The basket closing value on the valuation date
Basket closing value:

The basket closing value on the valuation date will be calculated as follows:

100 × [1 + sum of (currency performance of each basket currency × weighting of each such basket currency)]
Currency performance:

With respect to each basket currency: 1 – (final exchange rate / initial exchange rate)

This formula effectively caps the contribution of each basket currency to a 100% return but does not limit the downside. See “How Do Currency Exchange Rates Work,” “Hypothetical Payouts on the PLUS at Maturity –– Example 2" and "Fact Sheet" in this document for more information.
Valuation date: March 1, 2012, subject to adjustment for non-currency business days or certain market disruption events and as described under “Description of PLUS — Postponement of a Calculation Date” in the accompanying product supplement no. MS-11-A-I
Leverage factor: 250%
Maximum payment at maturity: $15.50 to $16.00 (155.00% to 160.00% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be determined on the pricing date and will not be less than $15.50 or greater than $16.00.
Stated principal amount: $10 per PLUS
Issue price: $10 per PLUS (see “Commissions and issue price” below)
Pricing date: February , 2011 (expected to price on or about February 22, 2011)
Original issue date: February , 2011 (3 business days after the pricing date)
CUSIP / ISIN: 46634X419 / US46634X4198
Listing: The PLUS will not be listed on any securities exchange.
Agent: J.P. Morgan Securities LLC (“JPMS”)

Commissions and issue price: Price to Public(1)(2) Fees and Commissions(2)(3) Proceeds to Issuer
     Per PLUS $10.00 $0.125 $9.875
     Total $ $ $

(1)     

The price to the public includes the estimated cost of hedging our obligations under the 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-19 of the accompanying product supplement no. MS-11-A-I.
 
(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 PLUS purchased by that investor. The lowest price payable by an investor is $9.950 per PLUS. Please see “Syndicate Information” on page 8 for further details.
 
(3)     

JPMS, acting as agent for JPMorgan Chase & Co., will receive a commission and will use all of that commission to allow selling concessions to Morgan Stanley Smith Barney LLC (“MSSB”) that will depend on market conditions on the pricing date. In no event will the commission received by JPMS and the selling concessions to be allowed to MSSB exceed $0.125 per $10 stated principal amount PLUS. See “Underwriting (Conflicts of Interest)” beginning on page PS-31 of the accompanying product supplement no. MS-11-A-I.

Investing in the PLUS involves a number of risks. See “Risk Factors” on page PS-10 of the accompanying product supplement no. MS-11-A-I and “Risk Factors” beginning on page 13 of these preliminary terms.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of the PLUS or passed upon the accuracy or the adequacy of this document or the accompanying prospectus supplement and prospectus. Any representation to the contrary is a criminal offense.

The PLUS 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.

You should read this document together with the related product supplement no. MS-11-A-I, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below, before you decide to invest.

Product supplement no. MS-11-A-I dated February 1, 2011: http://www.sec.gov/Archives/edgar/data/19617/000089109211000678/e41879_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

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free (800) 869-3326.

PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

Investment Overview
Performance Leveraged Upside Securities

The PLUS Based on the Performance of a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012 (the “PLUS”) provide investors with an opportunity to gain leveraged upside exposure to the performance of an equally-weighted basket of twelve currencies (the “basket”) relative to the U.S. dollar.

If, at maturity, the basket performance is positive, which means the basket as a whole has strengthened relative to the U.S. dollar, the investment will return the stated principal amount plus 250% of the percentage appreciation of the basket, subject to the maximum payment at maturity of at least $15.50 per PLUS (155.00% of the stated principal amount) (e.g. a 5% appreciation of the basket relative to the U.S. dollar will return 100% of principal plus an additional $1.25 per PLUS at maturity). If the basket performance is zero or negative, which means the basket has remained unchanged or has weakened, the payment at maturity per PLUS will be an amount equal to or less than the $10 stated principal amount by an amount proportionate to the percentage depreciation of the basket. The PLUS are exposed on a 1:1 basis to any weakening of the basket relative to the U.S. dollar. The PLUS do not pay interest, and all payments on the PLUS are subject to the credit risk of JPMorgan Chase & Co.

Maturity: 12 Months
Leverage factor: 250%

Payment at maturity:

(i) If the final basket value is greater than the initial basket value, which means the basket of currencies strengthens relative to the U.S. dollar, for each $10 stated principal amount PLUS:

$10 + leveraged upside payment

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

(ii) If the final basket value is less than or equal to the initial basket value, which means the basket of currencies remains unchanged or weakens relative to the U.S. dollar, for each $10 stated principal amount PLUS:

$10 x (1 + basket performance)

Because in this scenario, the basket performance will be zero or negative, this amount will be equal to or less than the stated principal amount of $10 and could be $0. There is no minimum payment at maturity on the PLUS.

Basket performance:

(final basket value – initial basket value) / initial basket value
Initial basket value: Set equal to 100 on the pricing date
Final basket value: The basket closing value on the valuation date
Basket closing value: The basket closing value on the valuation date will be calculated as follows:

100 × [1 + sum of (currency performance of each basket currency × weighting of each such basket currency)]

Currency performance:

With respect to each basket currency: 1 – (final exchange rate / initial exchange rate)

This formula effectively caps the contribution of each basket currency to a 100% return but does not limit the downside. See “How Do Currency Exchange Rates Work,” “Hypothetical Payouts on the PLUS at Maturity –– Example 2" and "Fact Sheet" in this document for more information.

Maximum payment at maturity:

$15.50 to $16.00 (155.00% to 160.00% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be determined on the pricing date and will not be less than $15.50 or greater than $16.00.

Minimum payment at maturity:

None

Interest: None

February 2011 Page 2

PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

Basket Overview

The basket is an equally-weighted basket of twelve currencies.

Basket Information as of February 2, 2011
Basket Currency Weighting Quotation
Convention		 Reuters Page
Mexican peso (“MXN”) 1/12 # MXN / USD Reuters: WMRSPOT10
Brazilian real (“BRL”) 1/12 # BRL / USD Reuters: BRFR
Chilean peso (“CLP”) 1/12 # CLP / USD Reuters: CLPOB=
Polish zloty (“PLN”) 1/12 # PLN / USD Reuters: WMRSPOT06
Turkish lira (“TRY”) 1/12 # TRY / USD Reuters: WMRSPOT07
South African rand (“ZAR”) 1/12 # ZAR / USD Reuters: WMRSPOT17
Israeli new shekel (“ILS”) 1/12 # ILS / USD Reuters: BOIJ
Chinese renminbi (“CNY”) 1/12 # CNY / USD Reuters: SAEC
Indian rupee (“INR”) 1/12 # INR / USD Reuters: RBIB
South Korean won (“KRW”) 1/12 # KRW / USD Reuters: KFTC18
New Taiwan dollar (“TWD”) 1/12 # TWD / USD Reuters: TAIFX1-NDF
Malaysian ringgit (“MYR”) 1/12 # MYR / USD Reuters: ABSG

Historical Basket Performance
January 6, 2006 to January 28, 2011

The graph is calculated to show the performance of the basket relative to the U.S. dollar during the period from January 6, 2006 through January 28, 2011 assuming that the basket currencies are equally weighted as set out above and that the basket closing value on January 6, 2006 was 100. The graph illustrates the effect of any offset and/or correlation among the basket currencies during such period. The graph does not take into account the leverage factor or the maximum payment at maturity on the PLUS, nor does it attempt to show your expected return on an investment in the PLUS. You cannot predict the future performance of any of the basket currencies or of the basket as a whole, or whether the strengthening of any of the basket currencies relative to the U.S. dollar will be offset by the weakening of other basket currencies, based on their historical performance. The historical performance of the basket and the degree of correlation between the trends of the basket currencies (or lack thereof) should not be taken as an indication of the future performance.

February 2011
Page 3

PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

How Do Currency Exchange Rates Work?

Initial Exchange Rate (# MXN / 1 USD) Final Exchange Rate (# MXN / 1 USD)
12.00 11.00

     } In this example, the Mexican peso strengthens to the fullest extent possible from the initial exchange rate of 12.00 to the final exchange rate of 0.0001 (possibly due to a hypothetical devaluation of the U.S. dollar), resulting in the currency performance of 1 – (0.0001/12.00) = approximately 99.99%.

Initial Exchange Rate (# MXN / 1 USD) Final Exchange Rate (# MXN / 1 USD)
12.00 0.0001

This example illustrates that, because the currency performance is calculated by subtracting the fraction equal to the final exchange rate divided by the initial exchange rate from 1, the maximum possible currency performance for each basket currency will be no greater than 100%. However, any possible decline in the basket currencies is not so limited as shown in the examples below.

Initial Exchange Rate (# MXN / 1 USD) Final Exchange Rate (# MXN / 1 USD)
12.00 15.00

     } In this example, the Mexican peso is seriously devalued and weakens from the initial exchange rate of 12.00 to the final exchange rate of 75.00, resulting in the currency performance of 1 – (75.00/12.00) = – 525.00%.

Initial Exchange Rate (# MXN / 1 USD) Final Exchange Rate (# MXN / 1 USD)
12.00 75.00

Because the currency performance is calculated in the manner described above, there is no limit on the negative performance of any basket currency. Consequently, even if eleven of the basket currencies were to appreciate significantly relative to the U.S. dollar, that positive performance could be more than offset by a severe depreciation of the twelfth basket currency so that you lose your entire initial investment in the PLUS.

Actual initial exchange rates and final exchange rates will vary from those used in the examples above.

February 2011
Page 4

PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

Key Investment Rationale

Exposure to currencies is a component of asset class diversification. Investors who believe they have underweight exposure to the currencies in the basket, overweight exposure to the U.S. dollar or those concerned about the risks associated with investing directly in currencies can use the PLUS to gain exposure to the basket currencies.

The PLUS offer 250% leveraged upside, subject to a maximum payment at maturity of $15.50 to $16.00 (155% to 160% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be determined on the pricing date.

Investors can use the PLUS to enhance returns by 250% up to the maximum payment at maturity, while maintaining similar risk as a direct investment in the basket of currencies.

Leveraged Performance
  • 250% upside participation in any appreciation of the basket relative to the U.S. dollar, subject to the maximum payment at maturity of $15.50 to $16.00 (155% to 160% of the stated principal amount) per PLUS.
  • The PLUS offer investors an opportunity to capture enhanced returns relative to a direct investment in the basket within a certain range of basket performance.
Access
  • Exposure to an equally-weighted basket of twelve currencies valued relative to the U.S. dollar and diversification of underlying asset class exposure.
Best Case Scenario
  • The basket strengthens relative to the U.S. dollar and, at maturity, the PLUS redeem for the maximum payment at maturity of $15.50 to $16.00 (155% to 160% of the stated principal amount) per PLUS.
Worst Case Scenario
  • The basket weakens relative to the U.S. dollar and, at maturity, the PLUS redeem for less than the stated principal amount by an amount proportionate to the percentage depreciation of the basket relative to the U.S. dollar. For example, if the basket performance is –30%, you will receive $7 per PLUS at maturity. Due to the specific formula used to calculate the currency performance for each basket currency, the maximum possible currency performance will be no greater than 100% while there is no comparable limit on the negative performance of a basket currency. There is no minimum payment on the PLUS.

Summary of Selected Key Risks (see page 13)

February 2011
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PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

Fact Sheet

The PLUS offered are senior unsecured obligations of JPMorgan Chase & Co., will pay no interest, do not guarantee any return of your principal at maturity and have the terms described in product supplement no. MS-11-A-I, the prospectus supplement and the prospectus, as supplemented or modified by these preliminary terms. At maturity, an investor will receive for each stated principal amount of PLUS that the investor holds, an amount in cash that may be greater than, equal to or less than the stated principal amount based upon the performance of the basket as a whole relative to the U.S. dollar. If the basket appreciates as a whole over the term of the PLUS, an investor will receive at maturity an amount in cash that will be greater than the stated principal amount, subject to the maximum payment at maturity. Conversely, if the basket depreciates as a whole over the term of the PLUS, an investor will receive an amount in cash that will be less than the stated principal amount and could be zero. The PLUS are senior notes issued as part of JPMorgan Chase & Co.’s Series E Medium-Term Notes program. All payments on the PLUS are subject to the credit risk of JPMorgan Chase & Co.

Expected Key Dates
Pricing date:    Original issue date (settlement date):    Maturity date:
February     , 2011 (expected to price on or about February 22, 2011)   February     , 2011 (3 business days after the pricing date)   March 6, 2012, subject to postponement due to a market disruption event and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-11-A-I.

Key Terms
Issuer: JPMorgan Chase & Co.
Basket: Basket currencies Weighting Reference source Applicable time
  Mexican peso (“MXN”) 1/12 Reuters: WMRSPOT10 11:00 a.m., New York Time
  Brazilian real (“BRL”) 1/12 Reuters: BRFR 6:00 p.m., Sao Paulo Time
  Chilean peso (“CLP”) 1/12 Reuters: CLPOB= 3:15 p.m., New York Time
  Polish zloty (“PLN”) 1/12 Reuters: WMRSPOT06 11:00 a.m., New York Time
  Turkish lira (“TRY”) 1/12 Reuters: WMRSPOT07 11:00 a.m., New York Time
  South African rand (“ZAR”) 1/12 Reuters: WMRSPOT17 11:00 a.m., New York Time
  Israeli new shekel (“ILS”) 1/12 Reuters: BOIJ 3:00 p.m., Tel-Aviv Time
  Chinese renminbi (“CNY”) 1/12 Reuters: SAEC 9:15 a.m., Shanghai Time
  Indian rupee (“INR”) 1/12 Reuters: RBIB 12:30 p.m., Mumbai Time
  South Korean won (“KRW”) 1/12 Reuters: KFTC18 3:30 p.m., Seoul Time
  New Taiwan dollar (“TWD”) 1/12 Reuters: TAIFX1-NDF 11:15 a.m., Taipei Time
  Malaysian ringgit (“MYR”) 1/12 Reuters: ABSG 11:00 a.m., Kuala Lumpur Time

Aggregate principal amount:

$

Issue price: $10 per PLUS (see “Syndicate Information” on page 8)
Stated principal amount: $10 per PLUS
Denominations: $10 per PLUS and integral multiples thereof
Interest: None
Payment at maturity:

  • If the final basket value is greater than the initial basket value, which means the basket of currencies strengthens relative to the U.S. dollar, for each $10 stated principal amount PLUS,

    $10 + leveraged upside payment

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

  • If the final basket value is less than or equal to the initial basket value, which means the basket of currencies remains unchanged or weakens relative to the U.S. dollar, for each $10 stated principal amount PLUS,

    $10 x (1 + basket performance)

    Because in this scenario, the basket performance will be zero or negative, this amount will be equal to or less than the stated principal amount of $10 and could be $0. There is no minimum payment at maturity on the PLUS.
Leveraged upside payment: $10 x leverage factor x basket performance
Basket performance: (final basket value – initial basket value) / initial basket value
Leverage factor: 250%
Initial basket value: Set equal to 100 on the pricing date
Final basket value: The closing basket value on the valuation date

Basket closing value:

The basket closing value on the valuation date will be calculated as follows:

100 × [1 + sum of (currency performance of each basket currency × basket currency weighting of each such basket currency)]

Currency performance:

With respect to each basket currency: 1 – (final exchange rate / initial exchange rate)

This formula effectively caps the contribution of each basket currency to a 100% return but does not limit the downside. See “How Do Currency Exchange Rates Work,” “Hypothetical Payouts on the PLUS at Maturity –– Example 2" and "Fact Sheet" in this document for more information.

Initial exchange rate:

With respect to each basket currency, the exchange rate as posted on the applicable reference source on the pricing date.

Final exchange rate:

With respect to each basket currency, the exchange rate as posted on the applicable reference source on the valuation date.

February 2011
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PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

Exchange rate:

With respect to each basket currency on any currency business day, the reference currency per one U.S. dollar spot rate in the interbank market, in each case as reported by the applicable reference source at approximately the applicable time.

Currency business day:

A “currency business day,” with respect to each basket currency, means a day on which (a) dealings in foreign currency in accordance with the practice of the foreign exchange market occur in The City of New York and the principal financial center for the applicable Basket Currency (Mexico City, Mexico with respect to the Mexican peso, Sao Paulo, Brazil with respect to the Brazilian real, Santiago, Chile with respect to the Chilean peso, Warsaw, Poland with respect to the Polish zloty, Istanbul, Turkey with respect to the Turkish lira, Johannesburg, South Africa with respect to the South African rand, Tel-Aviv, Israel, with respect to the Israeli new shekel, Shanghai, China with respect to the Chinese renminbi, Mumbai, India with respect to the Indian rupee, Seoul, South Korea, with respect to the South Korean won, Taipei, Taiwan with respect to the New Taiwan dollar and Kuala Lumpur, Malaysia with respect to the Malaysian ringgit and (b) banking institutions in The City of New York and such principal financial center for such basket currency are not otherwise authorized or required by law, regulation or executive order to close.

Valuation date:

March 1, 2012, subject to adjustment for non-currency business days or certain market disruption events and as described under “Description of PLUS — Payment at Maturity” in the accompanying product supplement no. MS-11-A-I

Maximum payment at maturity:

$15.50 to $16.00 (155.00% to 160.00% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be determined on the pricing date and will not be less than $15.50 or greater than $16.00.

Adjustment of maturity date:

If the scheduled maturity date is not a business day, then the maturity date will be the following business day. If the scheduled valuation date is not a currency business day or if a market disruption event occurs on that day so that the valuation date as postponed falls less than three business days prior to the scheduled maturity date, the maturity date of the PLUS will be postponed until the third business day following the valuation date as postponed.

Base currency:

For purposes of the accompanying product supplement, the U.S. dollar is the base currency.

Risk factors:

Please see “Risk Factors” beginning on page 13.


February 2011
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PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

General Information
Listing: The PLUS will not be listed on any securities exchange.
CUSIP / ISIN: 46634X419 / US46634X4198
Minimum ticketing size: 100 PLUS
Tax considerations: You should review carefully the section entitled “Certain U.S. Federal Income Tax Consequences” in the accompanying product supplement no. MS-11-A-I. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special tax counsel, Davis Polk & Wardwell LLP, your PLUS should be treated as “open transactions” for U.S. federal income tax purposes. Assuming this characterization respected, the gain or loss on your PLUS will generally be ordinary foreign currency income or loss under Section 988 of the Internal Revenue Code of 1986, as amended (the “Code”). However, under that Section, holders of certain forward contracts, futures contracts or option contracts generally are entitled to make an election to treat foreign currency gain or loss as capital gain or loss (a “Section 988 Election”). Although the matter is uncertain, it is reasonab to treat the Section 988 Election as available. Assuming the Section 988 Election is available, you make this election before the close of the day on which you acquire a PLUS, all gain or loss you recognize on a sale or exchange of that PLUS should be treated as long-term capital gain loss, assuming that you have held the PLUS for more than one year. A Section 988 Election with respect to a PLUS is made by (a) clearly identifying the PLUS on your books and records, on the date you acquire it, as being subject to this election and (b) filing the relevant statement verifying this election with your U.S. federal income tax return, or by obtaining independent verification under procedures set forth in the Treasury Regulations under Section 988. You should consult your tax adviser regarding the advisability, availability, mechanics and consequences of a Section 988 Election.
  However, the Internal Revenue Service (the “IRS”) or a court may not respect this characterization or treatment of the PLUS, in which case the timing and character of any income or loss on the PLUS could be significantly and adversely affected. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment “prepaid forward contracts” and similar instruments, such as the PLUS. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by Non-U.S. Holders should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the PLUS, possibly with retroactive effect. In 2007 the IRS also issued a revenue ruling holding that a financial instrument with some arguable similarity to the PLUS is properly treated as a debt instrument denominated in foreign currency. The PLUS are distinguishable in meaningful respects from the instrument described in the revenue ruling. If, however, the reach of the revenue ruling were to be extended, it could materially and adversely affect the tax consequences of an investment in the PLUS for U.S. Holders, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the PLUS, including possible alternative treatments and the issues presented by the notice and revenue ruling described above. Non-U.S. Holders should also note that they may be withheld upon unless they have submitted a properly completed IRS Form W-8BEN or otherwise satisfied the applicable documentation requirements.
  The discussion in the preceding paragraphs, when read in combination with the section entitled “Certain U.S. 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 PLUS.
Trustee: Deutsche Bank Trust Company Americas (formerly Bankers Trust Company)
Calculation agent: JPMS
Use of proceeds and hedging: The net proceeds we receive from the sale of the PLUS will be used for general corporate purposes and, in part, by us or by one or more of our affiliates in connection with hedging our obligations under the PLUS.
  For further information on our use of proceeds and hedging, see “Use of Proceeds” in the accompanying product supplement no. MS-11-A-I.
Benefit plan investor considerations: See “Benefit Plan Investor Considerations” in the accompanying product supplement no. MS-11-A-I.
Contact: Morgan Stanley Smith Barney clients may contact their local Morgan Stanley Smith Barney branch office or Morgan Stanley Smith Barney’s principal executive offices at 2000 Westchester Avenue, Purchase, New York 10577 (telephone number (800) 869-3326).
Syndicate Information
Issue price of the PLUS Commissions Principal amount of PLUS
for any single investor
$10.0000 $0.1250 <$1MM
$9.9750 $0.1000 ≥$1MM and <$3MM
$9.9625 $0.0875 ≥$3MM and <$5MM
$9.9500 $0.0750 ≥$5MM

MSSB may reclaim selling concessions allowed to individual brokers within MSSB in connection with the offering if, within 30 days of the offering, MSSB repurchases the PLUS distributed by such brokers.

This offering summary represents a summary of the terms and conditions of the PLUS. We encourage you to read the accompanying product supplement no. MS-11-A-I, the prospectus supplement and prospectus for this offering, which can be accessed via the hyperlinks on the front page of this document.

February 2011
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Performance Leveraged Upside SecuritiesSM

How PLUS Work

Payoff Diagram

The payoff diagram below illustrates the payment at maturity on the PLUS based on the following terms:

Stated principal amount: $10 per PLUS
Leverage factor: 250%
Hypothetical maximum payment at maturity: $15.75 (157.50% of the stated principal amount) per PLUS (which represents the midpoint of the range of $15.50 and $16.00)*
* If the actual maximum payment at maturity as determined on the pricing date is less than $15.75, your return, if any, may be lower than the returns shown below.

PLUS Payoff Diagram

How it works

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Performance Leveraged Upside SecuritiesSM

Hypothetical Payouts on the PLUS at Maturity

Below are two examples of how to calculate the basket performance and the payment at maturity based on the hypothetical exchange rates in the respective tables below. The following hypothetical examples are provided for illustrative purposes only. Actual results will vary.

The exchange rates for each of the basket currencies are expressed as the number of units of the applicable basket currency per U.S. dollar. For each basket currency, a decrease in the exchange rate means that such basket currency has appreciated/strengthened relative to the U.S. dollar and an increase in the exchange rate means that such basket currency has depreciated/weakened relative to the U.S. dollar.

Example 1: The final basket value is greater than the initial basket value.

Basket Currency Weighting Hypothetical
Initial Exchange Rate		 Hypothetical
Final Exchange Rate		 Currency
Performance
MXN 1/12 12.00 11.520 4%
BRL 1/12 1.70 1.632 4%
CLP 1/12 480.00 460.800 4%
PLN 1/12 3.00 2.880 4%
TRY 1/12 1.60 1.536 4%
ZAR 1/12 7.00 6.720 4%
ILS 1/12 3.50 3.360 4%
CNY 1/12 6.50 6.240 4%
INR 1/12 45.00 43.200 4%
KRW 1/12 1110.00 1065.600 4%
TWD 1/12 30.00 28.800 4%
MYR 1/12 3.00 2.880 4%

Basket performance = (final basket value – initial basket value) / initial basket value

Initial basket value = 100

Final basket value = 100 × [1 + sum of (currency return of each basket currency × weighting of each such basket currency)]

Using the hypothetical exchange rates above, the sum of the currency return of each basket currency times the weighting of each such basket currency:

[1 – (11.520 / 12.00)] × 1/12 = 0.333%, plus
[1 – (1.632 / 1.70)] × 1/12 = 0.333%, plus
[1 – (460.000 / 480.00)] × 1/12 = 0.333%, plus
[1 – (2.880 / 3.00)] × 1/12 = 0.333%, plus
[1 – (1.536 / 1.60)] × 1/12 = 0.333%, plus
[1 – (6.720 / 7.00)] × 1/12 = 0.333%, plus
[1 – (3.360 / 3.50)] × 1/12 = 0.333%, plus
[1 – (6.240 / 6.50)] × 1/12 = 0.333%, plus
[1 – (43.240 / 45.00)] × 1/12 = 0.333%, plus
[1 – (1065.600 / 1110.00)] × 1/12 = 0.333%, plus
[1 – (28.800 / 30.00)] × 1/12 = 0.333%, plus
[1 – (2.880 / 3.00)] × 1/12 = 0.333% = 4%

Final basket value = 100 × (1 + 0.04), which equals 104
Basket performance = (104 – 100) / 100, which equals 4%
Payment at maturity = $10 + leveraged upside payment
  = $10 + ($10 x basket performance x leverage factor)
  = $10 + ($10 x 4% x 250%)
  = $11

Because the basket performance is positive, the payment at maturity will equal $1,000 plus the leveraged upside payment. The payment at maturity per PLUS will be $11, or the stated principal amount of $10 plus the leveraged upside payment of $1.

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Performance Leveraged Upside SecuritiesSM

Example 2: The final basket value is less than the initial basket value.

Basket Currency Weighting Hypothetical
Initial Exchange Rate		 Hypothetical
Final Exchange Rate		 Currency
Performance
MXN 1/12 12.00 0.0001 99.999%
BRL 1/12 1.70 0.0001 99.999%
CLP 1/12 480.00 0.0001 99.999%
PLN 1/12 3.00 0.0001 99.999%
TRY 1/12 1.60 0.0001 99.999%
ZAR 1/12 7.00 0.0001 99.999%
ILS 1/12 3.50 0.0001 99.999%
CNY 1/12 6.50 0.0001 99.999%
INR 1/12 45.00 0.0001 99.999%
KRW 1/12 1110.00 0.0001 99.999%
TWD 1/12 30.00 0.0001 99.999%
MYR 1/12 3.00 64.8000 2060.000%

Basket performance = (final basket value – initial basket value) / initial basket value

Initial basket value = 100

Final basket value = 100 × [1 + sum of (currency return of each basket currency × weighting of each such basket currency)]

Using the hypothetical exchange rates above, the sum of the currency return of each basket currency times the weighting of each such basket currency:

[1 – (0.0001 / 12.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 1.70)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 480.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 3.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 1.60)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 7.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 3.50)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 6.50)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 45.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 1110.00)] × 1/12 = 8.333%, plus
[1 – (0.0001 / 30.00)] × 1/12 = 8.333%, plus
[1 – (64.8000/ 3.00)] × 1/12 = -2060.000% = -80%

Final basket value = 100 × (1 + -80%), which equals 20
Basket performance = (20 – 100) / 100, which equals -100%
Payment at maturity = $10 × (1 + basket performance)
  = $10 × (1 + -80%)
  = $2

Because the basket performance is less than zero, the payment at maturity will equal (i) $10 times (ii) 1 plus the basket performance, or $2 per PLUS, which is less than the stated principal amount by an amount proportionate to the percentage depreciation of the basket relative to the U.S. dollar.

The basket performance may be equal to or less than 0% even though one or more basket currencies have strengthened relative to the U.S. dollar over the term of the PLUS as this strengthening may be moderated, or wholly offset, by the weakening or lesser strengthening relative to the U.S. dollar of one or more of the other basket currencies. In this example, even though eleven of the twelve basket currencies have each achieved the maximum possible currency performance, the basket performance is negative because the serious devaluation of the twelfth basket currency more than offsets the appreciation of the other three basket currencies and investor loses 80% of its initial investment.

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Performance Leveraged Upside SecuritiesSM

Payment at Maturity

At maturity, investors will receive for each $10 stated principal amount of PLUS that they hold an amount in cash based upon the final basket value, determined as follows:

If the final basket value is greater than the initial basket value:

     $10 + leveraged upside payment:

subject to the maximum payment at maturity for each PLUS,



If the final basket value is less than or equal to the initial basket value:

$10 × (1 + basket performance)

The payment at maturity in this scenario will therefore be less than or equal to the stated principal amount. There is no minimum payment at maturity on the PLUS.

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Performance Leveraged Upside SecuritiesSM

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the PLUS. For further discussion of these and other risks, you should read the section entitled “Risk Factors” beginning on page PS-10 of the accompanying product supplement no. MS-11-A-I. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the PLUS.

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Performance Leveraged Upside SecuritiesSM

increased risk of significant adverse fluctuations in the performances of the emerging markets currencies as they are currencies of less developed and less stable economies without a stabilizing component that could be provided by one of the major currencies. With respect to any emerging or developing nation, there is the possibility of nationalization, expropriation or confiscation, political changes, government regulation and social instability. Currencies of emerging economies are often subject to more frequent and larger central bank interventions than the currencies of developed countries and are also more likely to be affected by drastic changes in monetary or exchange rate policies of the relevant countries, which may negatively affect the value of the PLUS.

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Performance Leveraged Upside SecuritiesSM

U.S. $8 billion by purchasing approximately $50 million U.S. dollars daily on the local currency exchange. The Chilean Central Bank has stated that it decided to implement this program in order to strengthen the international liquidity of the Chilean economy in the face of recent uncertainty in the global financial markets. This intervention program was launched on April 14, 2008 and is scheduled to continue until the end of 2008. These interventions and any other interventions by the Chilean Central Bank in the foreign exchange market as a response to economic crises, political pressure or otherwise could have a significant adverse effect on the value of the Chilean peso. Factors that could affect the value of the Chilean peso and the likelihood of government intervention or the imposition of certain exchange control restrictions include: the extent of Chile’s foreign currency reserves; inflation rates; copper prices (which influence the profitability of Chile’s copper exports); events in Brazil and Argentina; the balance of payments; the extent of governmental surpluses and deficits; the size of Chile’s debt service burden relative to the economy as a whole, and political constraints to which Chile may be subject.

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currency reserves in 1998 to defend the South African rand, the South African Reserve Bank publicly stated that it would no longer try to protect any predetermined level of the South African rand over a sustained period. In addition, the South African government abolished in 1995 the dual exchange rate system under which exchange controls were imposed upon both foreigners and residents, leaving in place exchange controls on the movement of capital by South African residents only, although some restrictions remain on capital outflows in connection with large foreign investments. Any abolition or reduction of exchange controls on capital movements by residents may impact on the South African rand, although the degree of such impact would depend on the precise policy parameters, in conjunction with prevailing market conditions.

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of India’s foreign currency reserves, the balance of payments, the extent of governmental surpluses and deficits, the size of India’s debt service burden relative to the economy as a whole, regional hostilities, terrorist attacks or social unrest, and political constraints to which India may be subject.

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Historical Information

The following tables set forth the published high and low exchange rates, as well as end-of-quarter exchange rates, for each of the basket currencies for each quarter in the period from January 2, 2006 through February 1, 2011. We obtained the information in the tables and graphs below from Bloomberg Financial Markets, without independent verification. The historical exchange rates of the basket currencies should not be taken as an indication of future performance, and no assurance can be given as to the exchange rates on the valuation date.

MXN (# MXN / USD) High Low Period End
2006      
First Quarter 11.0160 10.4352 10.8740
Second Quarter 11.4806 10.8520 11.3400
Third Quarter 11.2500 10.7714 10.9837
Fourth Quarter 11.0914 10.7317 10.8188
2007      
First Quarter 11.2083 10.7685 11.0448
Second Quarter 11.0180 10.7155 10.8076
Third Quarter 11.1954 10.7378 10.9355
Fourth Quarter 11.0161 10.6540 10.9088
2008      
First Quarter 10.9972 10.6434 10.6434
Second Quarter 10.5830 10.2683 10.3097
Third Quarter 11.0315 9.8581 10.9339
Fourth Quarter 13.9000 10.9600 13.6944
2009      
First Quarter 15.5665 13.3803 14.1737
Second Quarter 14.0461 12.9463 13.1850
Third Quarter 13.7483 12.8290 13.5020
Fourth Quarter 13.7618 12.6357 13.0903
2010      
First Quarter 13.2139 12.3610 12.3610
Second Quarter 13.1465 12.1523 12.9403
Third Quarter 13.1995 12.4991 12.5925
Fourth Quarter 12.5920 12.2026 12.3603
2011      
First Quarter (through February 1, 2011) 12.2474 11.9811 11.9999

Mexican peso
January 6,2006 through January 28, 2011
(expressed as units of MXN per USD)

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BRL (#BRL / USD) High Low Period End
2006      
First Quarter 2.3364 2.1040 2.1640
Second Quarter 2.3525 2.0555 2.1650
Third Quarter 2.2244 2.1230 2.1690
Fourth Quarter 2.2000 2.1310 2.1355
2007      
First Quarter 2.1520 2.0395 2.0590
Second Quarter 2.0475 1.9025 1.9291
Third Quarter 2.0562 1.8330 1.8330
Fourth Quarter 1.8484 1.7355 1.7790
2008      
First Quarter 1.8335 1.6625 1.7597
Second Quarter 1.7400 1.5907 1.6040
Third Quarter 1.9625 1.5598 1.9060
Fourth Quarter 2.5120 1.9179 2.3145
2009      
First Quarter 2.4506 2.1695 2.3233
Second Quarter 2.2733 1.9214 1.9528
Third Quarter 2.0035 1.7664 1.7664
Fourth Quarter 1.7930 1.7002 1.7445
2010      
First Quarter 1.8860 1.7215 1.7783
Second Quarter 1.8841 1.7270 1.8047
Third Quarter 1.7927 1.6876 1.6876
Fourth Quarter 1.7403 1.6533 1.6600
2011      
First Quarter (through February 1, 2011) 1.6890 1.6475 1.6648

Brazilian real
January 6,2006 through January 28, 2011
(expressed as units of BRL per USD)

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Performance Leveraged Upside SecuritiesSM

CLP (#CLP / USD) High Low Period End
2006      
First Quarter 534.9500 513.5500 526.3500
Second Quarter 550.3500 511.0000 538.8500
Third Quarter 546.8500 530.7500 535.1000
Fourth Quarter 537.2200 522.0400 533.3800
2007      
First Quarter 549.3500 534.7400 539.2700
Second Quarter 539.6400 517.0300 527.5500
Third Quarter 526.8200 510.4700 510.4700
Fourth Quarter 515.4500 493.5000 497.9500
2008      
First Quarter 497.5800 430.8800 437.0800
Second Quarter 524.6500 434.2500 524.6500
Third Quarter 558.9500 490.5500 552.3500
Fourth Quarter 683.2500 560.7500 637.2500
2009      
First Quarter 641.1300 573.2000 584.9500
Second Quarter 601.5000 530.1500 533.2500
Third Quarter 559.4500 532.0000 549.5000
Fourth Quarter 555.7500 492.6500 507.4500
2010      
First Quarter 550.7300 487.8600 524.1700
Second Quarter 546.3500 512.5400 545.9500
Third Quarter 540.6000 484.0500 484.0500
Fourth Quarter 494.7500 467.9500 468.0000
2011      
First Quarter (through February 1, 2011) 499.0000 465.6700 480.4500

Chilean peso
January 6,2006 through January 28, 2011
(expressed as units of CLP per USD)

 

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Performance Leveraged Upside SecuritiesSM

PLN (# PLN / USD) High Low Period End
2006      
First Quarter 3.2853 3.1112 3.2366
Second Quarter 3.2899 2.9982 3.1792
Third Quarter 3.2268 2.9994 3.1336
Fourth Quarter 3.1203 2.8514 2.9032
2007      
First Quarter 3.0542 2.8841 2.8950
Second Quarter 2.8860 2.7539 2.7832
Third Quarter 2.8593 2.6425 2.6425
Fourth Quarter 2.6795 2.4263 2.4707
2008      
First Quarter 2.5285 2.2259 2.2268
Second Quarter 2.2437 2.1258 2.1300
Third Quarter 2.4645 2.0241 2.4107
Fourth Quarter 3.0856 2.4259 2.9614
2009      
First Quarter 3.8953 2.9277 3.5004
Second Quarter 3.4976 3.1284 3.1701
Third Quarter 3.1889 2.8009 2.8727
Fourth Quarter 2.9411 2.7106 2.8634
2010      
First Quarter 3.0165 2.7897 2.8581
Second Quarter 3.4929 2.8278 3.3890
Third Quarter 3.3248 2.9073 2.9073
Fourth Quarter 3.1140 2.7452 2.9619
2011      
First Quarter (through February 1, 2011) 3.0161 2.8325 2.8190

Polish zloty
January 6,2006 through January 28, 2011
(expressed as units of PLN per USD)

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TRY (#TRY / USD) High Low Period End
2006      
First Quarter 1.3590 1.3028 1.3483
Second Quarter 1.7077 1.3175 1.5870
Third Quarter 1.5988 1.4380 1.5128
Fourth Quarter 1.5160 1.4160 1.4173
2007      
First Quarter 1.4547 1.3815 1.3892
Second Quarter 1.3888 1.3007 1.3134
Third Quarter 1.3870 1.2066 1.2066
Fourth Quarter 1.2236 1.1640 1.1705
2008      
First Quarter 1.3358 1.1487 1.3358
Second Quarter 1.3265 1.2083 1.2232
Third Quarter 1.2870 1.1536 1.2693
Fourth Quarter 1.7393 1.2729 1.5405
2009      
First Quarter 1.8066 1.5110 1.6649
Second Quarter 1.6546 1.5218 1.5404
Third Quarter 1.5618 1.4530 1.4830
Fourth Quarter 1.5280 1.4439 1.4986
2010      
First Quarter 1.5530 1.4501 1.5182
Second Quarter 1.6130 1.4708 1.5843
Third Quarter 1.5803 1.4456 1.4456
Fourth Quarter 1.5626 1.3950 1.5443
2011      
First Quarter (through February 1, 2011) 1.6145 1.5404 1.5787

Turkish lira
January 6,2006 through January 28, 2011
(expressed as units of TRY per USD)

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ZAR (# ZAR / USD) High Low Period End
2006      
First Quarter 6.3547 5.9590 6.1765
Second Quarter 7.4268 5.9606 7.1730
Third Quarter 7.7693 6.7335 7.7693
Fourth Quarter 7.8812 6.9302 7.0061
2007      
First Quarter 7.5035 6.9146 7.2550
Second Quarter 7.2838 6.8895 7.0426
Third Quarter 7.4750 6.8210 6.8712
Fourth Quarter 7.0646 6.4953 6.8626
2008      
First Quarter 8.1651 6.7419 8.0922
Second Quarter 8.1425 7.4668 7.8199
Third Quarter 8.3543 7.2201 8.2884
Fourth Quarter 11.6500 8.2415 9.3213
2009      
First Quarter 10.6350 9.2950 9.5124
Second Quarter 9.3609 7.7147 7.7147
Third Quarter 8.2635 7.3181 7.5086
Fourth Quarter 7.9662 7.2338 7.3890
2010      
First Quarter 7.8004 7.2835 7.2835
Second Quarter 7.9595 7.2292 7.6714
Third Quarter 7.7528 6.9454 6.9678
Fourth Quarter 7.1525 6.6276 6.6276
2011      
First Quarter (through February 1, 2011) 7.1939 6.6275 7.1222

South African rand
January 6,2006 through January 28, 2011
(expressed as units of ZAR per USD)

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Performance Leveraged Upside SecuritiesSM

ILS (# ILS / USD) High Low Period End
2006      
First Quarter 4.7240 4.5968 4.6635
Second Quarter 4.6460 4.4220 4.4300
Third Quarter 4.5532 4.3015 4.3042
Fourth Quarter 4.3370 4.1700 4.2164
2007      
First Quarter 4.2680 4.1580 4.1580
Second Quarter 4.2810 3.9400 4.2521
Third Quarter 4.3405 4.0180 4.0180
Fourth Quarter 4.0443 3.8300 3.8560
2008      
First Quarter 3.8560 3.3830 3.5400
Second Quarter 3.6385 3.2370 3.3523
Third Quarter 3.6335 3.2160 3.4590
Fourth Quarter 4.0273 3.4565 3.7810
2009      
First Quarter 4.2450 3.7739 4.2149
Second Quarter 4.2599 3.8980 3.9370
Third Quarter 3.9880 3.7250 3.7670
Fourth Quarter 3.8155 3.6895 3.7866
2010      
First Quarter 3.7911 3.6780 3.6950
Second Quarter 3.8880 3.6800 3.8880
Third Quarter 3.9050 3.6360 3.6395
Fourth Quarter 3.6927 3.5246 3.5246
2011      
First Quarter (through February 1, 2011) 3.7210 3.5201 3.6815

Israeli new shekel
January 6,2006 through January 28, 2011
(expressed as units of ILS per USD)

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CNY (# CNY / USD) High Low Period End
2006      
First Quarter 8.0702 8.0172 8.0172
Second Quarter 8.0265 7.9943 7.9943
Third Quarter 8.0048 7.8965 7.9041
Fourth Quarter 7.9149 7.8051 7.8051
2007      
First Quarter 7.8170 7.7258 7.7258
Second Quarter 7.7350 7.6132 7.6132
Third Quarter 7.6095 7.5036 7.5061
Fourth Quarter 7.5201 7.2971 7.2971
2008      
First Quarter 7.3071 7.0105 7.0120
Second Quarter 7.0184 6.8543 6.8543
Third Quarter 6.8760 6.8109 6.8460
Fourth Quarter 6.8850 6.8152 6.8255
2009      
First Quarter 6.8487 6.8235 6.8336
Second Quarter 6.8374 6.8199 6.8307
Third Quarter 6.8360 6.8258 6.8263
Fourth Quarter 6.8305 6.8251 6.8271
2010      
First Quarter 6.8346 6.8255 6.8265
Second Quarter 6.8330 6.7814 6.7814
Third Quarter 6.8105 6.6880 6.6900
Fourth Quarter 6.6918 6.5897 6.5897
2011      
First Quarter (through February 1, 2011) 6.6377 6.5829 6.5870

Chinese renminbi
January 6,2006 through January 28, 2011
(expressed as units of CNY per USD)

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INR (# INR / USD) High Low Period End
2006      
First Quarter 45.0925 44.1175 44.6225
Second Quarter 46.3900 44.6012 46.0400
Third Quarter 46.9950 45.7700 45.9250
Fourth Quarter 45.9715 44.2600 44.2600
2007      
First Quarter 44.6800 43.0450 43.4725
Second Quarter 43.0850 40.4850 40.7000
Third Quarter 41.3450 39.6900 39.7700
Fourth Quarter 39.8950 39.2500 39.4150
2008      
First Quarter 40.7350 39.2650 40.1100
Second Quarter 43.1000 39.7850 43.0550
Third Quarter 46.9800 42.0050 46.9800
Fourth Quarter 50.3500 46.6300 48.6750
2009      
First Quarter 51.9700 48.2600 50.7350
Second Quarter 50.5150 46.9650 47.9050
Third Quarter 49.0900 47.5300 48.1050
Fourth Quarter 47.7450 46.0550 46.5275
2010      
First Quarter 46.8050 44.8950 44.9500
Second Quarter 47.7050 44.2850 46.4525
Third Quarter 47.3600 44.9400 44.9650
Fourth Quarter 45.9450 44.1000 44.7050
2011      
First Quarter (through February 1, 2011) 45.9075 44.6150 45.4500

Indian rupee
January 6,2006 through January 28, 2011
(expressed as units of INR per USD)

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Performance Leveraged Upside SecuritiesSM

KRW (# KRW / USD) High Low Period End
2006      
First Quarter 1007.9500 961.6000 971.6500
Second Quarter 970.8000 927.8000 948.7000
Third Quarter 965.7500 942.0000 946.5000
Fourth Quarter 963.8500 913.9000 930.0000
2007      
First Quarter 950.2500 925.6500 940.6000
Second Quarter 937.3500 923.0000 923.6000
Third Quarter 946.9000 913.9000 915.2500
Fourth Quarter 943.7000 902.1000 936.0500
2008      
First Quarter 1021.0500 936.0000 991.0000
Second Quarter 1050.5000 973.9000 1047.2500
Third Quarter 1186.5000 995.0500 1186.5000
Fourth Quarter 1514.5000 1190.5000 1259.5500
2009      
First Quarter 1582.3000 1259.5500 1367.2500
Second Quarter 1359.6000 1231.7800 1272.3500
Third Quarter 1305.2500 1175.6000 1175.6000
Fourth Quarter 1204.8500 1150.6000 1158.0500
2010      
First Quarter 1179.1300 1119.8500 1131.8500
Second Quarter 1252.0000 1104.2500 1231.2000
Third Quarter 1230.2000 1138.1500 1138.1500
Fourth Quarter 1171.2000 1105.9000 1124.8000
2011      
First Quarter (through February 1, 2011) 1125.7800 1105.90 1105.90

South Korean won
January 6,2006 through January 28, 2011
(expressed as units of KRW per USD)

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TWD (# TWD / USD) High Low Period End
2006      
First Quarter 32.8100 31.8760 32.4580
Second Quarter 32.7500 31.3320 32.3780
Third Quarter 33.0980 32.2280 33.0980
Fourth Quarter 33.3160 32.2940 32.5900
2007      
First Quarter 33.1550 32.4010 33.0600
Second Quarter 33.4350 32.7350 32.8500
Third Quarter 33.1240 32.6690 32.6690
Fourth Quarter 32.6920 32.2380 32.4280
2008      
First Quarter 32.4950 29.9990 30.3800
Second Quarter 31.0100 30.1800 30.3600
Third Quarter 32.2450 30.3000 32.2450
Fourth Quarter 33.5900 32.1100 32.8200
2009      
First Quarter 35.2400 32.8180 33.9120
Second Quarter 33.8810 32.3680 32.8100
Third Quarter 33.1870 32.1640 32.1640
Fourth Quarter 32.5750 31.9900 31.9900
2010      
First Quarter 32.1350 31.7030 31.7600
Second Quarter 32.4430 31.2960 32.1320
Third Quarter 32.2500 31.2150 31.2280
Fourth Quarter 30.9980 29.1250 29.1560
2011      
First Quarter (through February 1, 2011) 29.3400 28.9790 29.0310

New Taiwan dollar
January 6,2006 through January 28, 2011
(expressed as units of TWD per USD)

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PLUS Based on a Basket of Twelve Currencies Relative to the U.S. Dollar due March 6, 2012
Performance Leveraged Upside SecuritiesSM

MYR (# MYR / USD) High Low Period End
2006      
First Quarter 3.7790 3.6831 3.6831
Second Quarter 3.6875 3.5765 3.6745
Third Quarter 3.6950 3.6415 3.6880
Fourth Quarter 3.6955 3.5280 3.5280
2007      
First Quarter 3.5300 3.4505 3.4575
Second Quarter 3.4830 3.3840 3.4525
Third Quarter 3.5155 3.4015 3.4075
Fourth Quarter 3.4095 3.3067 3.3067
2008      
First Quarter 3.3134 3.1560 3.1923
Second Quarter 3.2790 3.1355 3.2665
Third Quarter 3.4700 3.2150 3.4425
Fourth Quarter 3.6419 3.4410 3.4525
2009      
First Quarter 3.7390 3.4525 3.6440
Second Quarter 3.6425 3.4705 3.5160
Third Quarter 3.5900 3.4593 3.4593
Fourth Quarter 3.4819 3.3565 3.4415
2010      
First Quarter 3.4445 3.2610 3.2610
Second Quarter 3.3655 3.1778 3.2255
Third Quarter 3.2355 3.0845 3.0845
Fourth Quarter 3.1700 3.0600 3.0600
2011      
First Quarter (through February 1, 2011) 3.0797 3.0435 3.0435

Malaysian ringgit
January 6,2006 through January 28, 2011
(expressed as units of MYR per USD)

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Performance Leveraged Upside SecuritiesSM

Supplemental Plan of Distribution

Subject to regulatory constraints, JPMS intends to use its reasonable efforts to offer to purchase the PLUS in the secondary market, but is not required to do so.

We or our affiliate may enter into swap agreements or related hedge transactions with one of our other affiliates or unaffiliated counterparties in connection with the sale of the PLUS, and JPMS and/or an affiliate may earn additional income as a result of payments pursuant to the swap or related hedge transactions. See “Use of Proceeds” beginning on page PS-19 of the accompanying product supplement no. MS-11-A-I.

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Performance Leveraged Upside SecuritiesSM

Where You Can Find More Information

You may revoke your offer to purchase the PLUS at any time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms of, or reject any offer to purchase, the PLUS prior to their issuance. In the event of any changes to the terms of the PLUS, we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase.

You should read this document 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 PLUS are a part, and the more detailed information contained in product supplement no. MS-11-A-I dated February 1, 2011.

This document, together with the documents listed below, contains the terms of the PLUS 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, stand-alone 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. MS-11-A-I, as the PLUS 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 PLUS.

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):

Our Central Index Key, or CIK, on the SEC website is 19617.

As used in this document, the “Company,” “we,” “us” and “our” refer to JPMorgan Chase & Co.

“Performance Leveraged Upside SecuritiesSM” and “PLUSSM” are service marks of Morgan Stanley.

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