Structured Products
Frequently Asked Questions

Structured Notes FAQs

[]   How is a structured investment developed?

[]   If an investment provides full return of principal at maturity, who is
     expected to return that principal amount?

[]   Would a designer of a structured product want the index underlying a
     structured investment to go up or down?

[]   What if an investor wants to sell a structured investment? Can an investor
     profit by actively trading them?

[]   Are there any special tax considerations?

[]   What should I do if I would like to know more about structured investments?

How is a structured investment developed?

Every structured investment is constructed differently, but many of them rely on
the same basic concepts. Frequently, the financial engineering involves the
purchase of an option that has a payout at maturity, thus giving the structured
investment its particular return profile. Employing options provides leverage
and facilitates a variety of types of risk and return profiles.

As an example, when an investor purchases a market linked note with return of
principal at maturity and with a payoff at maturity based on a broad-based
equity index (such as the SandP 500), the note can be synthetically decomposed
into two separate components as diagrammed here.

Although this example is illustrative of the basic concepts involved in
structured investment construction, each investment is constructed differently.

If my investment will return full principal at maturity, who is expected to
return that principal amount?

The return of principal in full at maturity is provided by the firm that issued
the note and is subject to the credit risk of that issuer. In the case of a
bankruptcy of the issuer, the note holder would be repaid at a rate equivalent
to other senior unsecured debt holders of the firm and you could lose your
entire investment. Structured investments issued in note form are not FDIC
insured.

Structured Products
Frequently Asked Questions

Would a designer of a structured product want the index underlying a structured
investment to go up or down?

Those who construct structured investments typically seek to design investments
that enable investors to realize the maximum possible return given their market
view. As such, they generally do not take an active view on the structured
investments they sell. Instead, a designer of a structured product typically
hedges its exposure to the equity underlying and is generally indifferent to the
appreciation or depreciation of a structured investment underlying. It is
possible that hedging and trading activities of the product designer or its
affiliates could result in substantial returns for a designer of a structured
product while the value of the structured investment they designed declines.

What if an investor wants to sell a structured investment? Can an investor
profit by actively trading them?

Once issued, structured investments will generally trade at a discount to their
value at issuance due to the embedded distribution and hedging fees included in
the original issue price. Structured investments are typically not intended to
be actively traded instruments and are designed to be held to maturity. The
value of the investments will not directly correspond to the underlying and
investors may not receive the expected payout if they sell their investments
prior to the stated maturity date.

Are there any special tax considerations?

The tax treatment on structured investments varies with each risk and return
profile and depends on the individual investor's tax situation. Structured
investments can be engineered to receive the most advantageous possible tax
treatment. However, investors should contact their own accounting, legal and tax
advisors for additional information.

What should I do if I would like to know more about structured investments?

Please contact us at 800.576.3529 or structured.investments@jpmorgan.com or your
Financial Advisor.

Disclaimer

SEC Legend: JPMorgan Chase and Co. has filed a registration statement (including
a prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration statement
and the other documents relating to this offering that JPMorgan Chase and Co.
has filed with the SEC for more complete information about JPMorgan Chase and
Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase and Co.,
any agent or any dealer participating in the this offering will arrange to send
you the prospectus and each prospectus supplement as well as any product
supplement and term sheet if you so request by calling toll-free 866-535-9248.

Structured investments are not suitable for all investors. Investors should
carefully review the Product and Risk Considerations. Structured investments are
intended to be buy and hold investments and are not liquid instruments. This
site has been designed for informational purposes only and under no
circumstances should any information on the site be used as or considered to be
an offer to sell or a solicitation of any offer to buy any securities or any
other instruments. Offers and sales of any of these securities or instruments
may only be made pursuant to the related offering document which should be read
carefully. Investment value prior to maturity will be influenced by many
factors, including interest rates, the level of the underlying, implied
volatility and the time remaining to maturity. Investors may lose some or all of
their investment in connection with some of these instruments. This
communication is not intended to provide accounting, legal or tax advice or
investment recommendations. Investors should contact their own accounting, legal
or tax advisors for additional information. Information on this website is
subject to change. JPMorgan undertakes no duty to update this information or to
supply corrections. Certain investment strategies, investments and products
discussed by JPMorgan may not be available or suitable for all institutions or
clients. This site has been published in the United States for residents of the
United States only. This site is not intended for use by, or to provide any
information to, investors outside of the United States, and such investors
should not rely on any information or material appearing on the site. February
7, 2012