The S and P 500([R]) Daily RC2 8% Excess Return Index

Performance Update - February 2012

OVERVIEW
The S and P 500([R]) Daily 8% RC2 Excess Return Index (the "Index" or "S and P 500
Daily RC2") is intended to provide investors with exposure to broad U.S
equities with the potential for greater stability and lower overall risk when
compared to the S and P 500([R]) Total Return Index.


Hypothetical and Actual Historical Performance
(January 31, 2002 to January 31, 2012)[]
170.000
                     ------
                          S and P 500 Daily RC2
150.000
                     ------
                          S and P 500[R] Index
130.000
110.000
 90.000
 70.000
              ------ ------ -------------- ------ ------
 50.000
       Jan-02 Jan-04 Jan-06 Jan-08         Jan-10 Jan-12


Key Features of the Index

    Exposure to the S and P 500[R] Total Return Index with the overlay of risk
control mechanism that targets an annualized volatility of 8% Ability to
dynamically allocate exposure between the S and P 500([R]) Total Return Index and
US government bond futures Exposure adjusted on a daily basis based on the
historical volatilities and correlations between the S and P 500([R]) Total Return
Index (the "Underlying Equity Index") and the S and P 10 Year Treasury Note Futures
Index Total Return (the "Underlying Bond Index") Potential for enhanced returns
compared with the first generation Risk Control Indices via an allocation in US
government bond futures Levels published daily by Standard and Poor's on
Bloomberg under the ticker SPX8UE2

Hypothetical Index Volatility and Leverage (July 01, 2002 to January 31,
2012)[]


80%                                                              100%
                                                                 80%
60%
                                                                 60%
40%
                                                                 40% Equity Exposure
20%
                                                                 20%
========= ====================== ====== ================= ======
 0%                                                              0%
   Jul-02 Jul-04                 Jul-06      Jul-08       Jul-10
---------                        ------
         Equity exposure (right)        S and P 500 Daily RC2
         Target Volatility

Recent Index Performance
                                             January 2012                   December 2011             November 2011
------------------------------- --------- -------------------- ---------------------------------- -----------------------------
 --------------
Historical Return(2)                              2.14%                             1.26%                   0.58%
------------------------------- --------- -------------------- -------------------- ------------- -----------------------------
 --------------
Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- January 31, 2012
                                                                                       Ten Year   Ten Year
                                One Year     Three Year            Five Year           Annualized Annualized      Ten Year
                                Return(1) Annualized Return(1) Annualized Return(1)     Return(1) Volatility(4) Sharpe Ratio(5)
 Correlation(4)
------------------------------- --------- -------------------- -------------------- ------------- ------------- ---------------
 --------------
S and P 500[R] RC2 8% Excess Return
                                  4.3%          10.5%                3.2%                 4.2%      8.1%           51.3%
 100.0%
Index
------------------------------- --------- -------------------- -------------------- ------------- ------------- ---------------
 --------------
S and P 500[R] Index                  2.0%          16.7%                -1.8%                1.5%      22.0%           6.8%
 78.5%


February 7, 2012

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 January 31, 2002 through June 2, 2011, and the actual historical
performance of the Index based on the daily Index closing level from June 3,
2011 through January 31, 2012, 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.
[] Calculated based on the annualized standard deviation for the ten year
period prior to January 31, 2012.  Past performance is not indicative of future
returns. JJanuary (3)
 The historical volatility levels of the S and P 500[R] Index  are presented for
informational purposes only and have inherent limitations.  For the purpose of
this graph, volatility is calculated in accordance with Standard and Poor's
official methodology used in the calculation of the S and P 500[R] RC2 Index.  No
representation is made that in the future the S and P 500[R] Index will have the
volatility shown above.  Alternative modeling techniques or assumptions might
produce significantly different results and may prove to be more appropriate.
The hypothetical equity exposure obtained from such back-testing should not be
considered indicative of the actual exposure that would be assigned during your
investment in the Index. No representation is made that the actual performance
of the Index would result in exposure consistent with the hypothetical exposure
displayed in the preceding graph. Actual annualized volatilities and exposures
will vary, perhaps materially, from this analysis.  Source: Bloomberg and
JPMorgan.
(4)
 Correlation is calculated from the historical returns, as applicable to the
relevant measurement period, of the S and P 500[R] Index (the "Underlying Index")
over a six-month observation period.  Correlation refers to the degree that the
S and P 500 RC2 8% Excess Return Index has changed relative to daily changes in the
S and P 500 Index Index for the ten year period prior to January 31, 2012.
(5)
 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.

Key Risks
   The Index has a limited operating history and may perform in unexpected ways
--the Index began publishing on June 3, 2011 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 either 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 Equity Index or the Underlying Bond Index or any alternative
strategy that might be employed to reduce the level of risk of the Underlying
Equity Index. We also can give you no assurance that the Index will achieve its
target volatility of 8%.
   The Index may significantly underperform the Underlying Equity Index --the
Index is designed to allocate its exposure between the Underlying Equity Index
and the Underlying Bond Index in a manner that results in the Index targeting a
volatility of 8%. It is not possible to predict the level of exposure that the
Index will have to either the Underlying Equity Index or Underlying Bond Index
over a given period of time.  However the Index will likely have less, and
possibly significantly less, than 100% exposure to the Underlying Equity Index
over a period of time.  Consequently, if the Underlying Equity Index increases
in value over the applicable period, the Index will likely underperform the
Underlying Equity Index, possibly significantly, over the same period if the
Underlying Bond Index declines or does not increase in value to the same extent
over that period.  If the Underlying Equity Index and the Underlying Bond Index
are negatively correlated and the Index has relatively high exposure to the
Underlying Bond Index and relatively low exposure to the Underlying Equity
Index, the Index may experience a significant negative performance even as the
Underlying Equity Index rises.
   In certain circumstances, the Index will be notionally  invested, in part,
in cash, on which no interest or other return will accrue --in  certain
circumstances the Index will be solely allocated to the Underlying Equity Index
with a weight less than 100% and with the balance notionally allocated to cash.
 No net return or interest will accrue on any such portion of the Index
exposure that is notionally allocated to cash, and such portion may be
significant.  Such portion is effectively uninvested.
 The Index is subject to the negative impact of an interest deduction--because
the Index is an excess return index, the level of the Index reflects the
weighted returns of the Underlying Indices less an interest deduction, which is
generally based on the return from a synthetic daily roling 3-month bond, with
reference to the 2-month  and 3-month U. S.  LIBOR rates.  As a result, the
performance of the Index will be subject to the negative impact of those
interest rates.

Key Risks Continued
  The returns of the Underlying Indicies may offset each  other or may become
correlated in decline --at  a time when the value of one Underlying Index
increases, the value of the other Underlying Index may not increase as much or
may even decline, offsetting the potentially positive effect of the performance
of the former Underlying Index on the performance of the Index.  Historically,
the performance of the Underlying Equity Index has often been negatively
correlated with the performance of the futures contracts underlying the
Underlying Bond Index.  It is also possible that the returns of the Underlying
Indices may be positively correlated with each other.  In this case, a decline
in one Underlying Index would not moderate the effect of a decline in the other
Underlying Index on the performance of the Index, but would rather exacerbate
it.  As a result, the Index may not perform as well as an alternative index
that tracks only one Underlying Index.
 Our affiliate, J. P.  Morgan Securities LLC ("JPMS") helped develop the S and P
500[R] Daily RC2 8% Excess Return Index.  JPMS worked with S and P in developing
the guidelines and policies governing the composition and calculation of the
S and P 500[R] Daily RC2 8% Excess Return Index. Although judgments, policies and
determinations concerning the S and P 500[R] Daily RC2 8% Excess Return Index were
made by JPMS, JPMorgan Chase and Co. , as the parent company of JPMS, ultimately
controls JPMS.  In addition, the policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the S and P
500[R] Daily RC2 8% Excess Return Index. JPMS is under no obligation to
consider your interests as an investor.

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.

Index Disclaimers
"Standard and Poor's[R]," "S and P[R]," "S and P 500[R]" and "S and P 500[R] Daily RC2 8%
Excess Return" 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] Daily RC2 8% 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/19617/000095010312000350/crt_dp28332-fwp
..pdf

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