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August 2011
    
Preliminary Terms No. 46
Registration Statement No. 333-155535
Dated August 25, 2011
Filed pursuant to Rule 433

STRUCTURED INVESTMENTS
Opportunities in International Equities and Commodities

Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 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 closing value of the asset on the valuation date. 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. The investor may lose some or all of the stated principal amount of the PLUS.

SUMMARY TERMS
Issuer: JPMorgan Chase & Co.    
Maturity date: October 1, 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-9-A-II
Aggregate principal amount: $
Basket:
Basket component
Bloomberg ticker
symbol
Basket component
weighting
Initial value
The S&P 500® Index (the “SPX Index”)
SPX
40%
  
The Russell 2000® Index (the “RTY Index”)
RTY
10%
  
Shares of the iShares® MSCI EAFE Index Fund (the “EFA Shares”)
EFA
10%
  
Shares of the iShares® MSCI Emerging Markets Index Fund (the “EEM Shares”)
EEM
10%
  
Shares of the iShares® Dow Jones U.S. Real Estate Index Fund (the “IYR Shares”)
IYR
10%
  
Shares of the Technology Select Sector SPDR® Fund (the “XLK Shares”)
XLK
10%
  
Shares of the PowerShares DB Commodity Index Tracking Fund (the “DBC Shares”)
DBC
10%
  
We refer to the SPX Index and the RTY Index collectively as the underlying indices; the EFA Shares, EEM Shares, IYR Shares, XLK Shares and DBC Shares collectively as the ETF Shares; and the underlying indices and the ETF Shares collectively as the basket components.
Payment at maturity: • If the final basket value is greater than the initial basket level, 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, for each $10 stated principal amount PLUS,
    $10 x basket performance factor
   
This amount will be less than or equal to the stated principal amount of $10 per PLUS.
Leveraged upside payment: $10 x leverage factor × basket percent increase
Basket percent increase: (final basket value – initial basket value) / initial basket value
Basket performance factor: final 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 (basket component return of each basket component × basket component weighting of each such basket component)]
Basket component return: On the valuation date, the basket component return for each basket component is equal to the index return or share return, as applicable, for such basket component on the valuation date. See “Fact Sheet” in this document for more information.
Valuation date: September 26, 2012, subject to adjustment for non-trading 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-9-A-II
Leverage factor: 300%    
Maximum payment at maturity: $11.65 to $11.85 (116.50% to 118.50% 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 $11.65 or greater than $11.85.
Stated principal amount: $10 per PLUS    
Issue price: $10 per PLUS (see “Commissions and issue price” below)
Pricing date: August   , 2011 (expected to price on or about August 26, 2011)
Original issue date: August   , 2011 (3 business days after the pricing date)
CUSIP / ISIN: 46636T770 / US46636T7708    
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)
Fees and Commissions(2)
Proceeds to Issuer
     Per PLUS
$10.00
$0.20
$9.80
     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-38 of the accompanying product supplement no. MS-9-A-II.
   
(2)     

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 $0.445 per $10 stated principal amount PLUS. See “Underwriting (Conflicts of Interest)” beginning on page PS-130 of the accompanying product supplement no. MS-9-A-II.

Investing in the PLUS involves a number of risks. See “Risk Factors” on page PS-15 of the accompanying product supplement no. MS-9-A-II and “Risk Factors” beginning on page 10 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 product supplement, 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-9-A-II, prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below, before you decide to invest.

Product supplement no. MS-9-A-II dated March 7, 2011:
http://www.sec.gov/Archives/edgar/data/19617/000089109211001580/e42540_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.


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Investment Overview

Performance Leveraged Upside Securities

The PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012 (the “PLUS”) can be used:

Maturity: Approximately 13 months
Leverage factor: 300%
Maximum payment at maturity: $11.65 to $11.85 (116.50% to 118.50% of the stated principal amount) per PLUS (to be determined on the pricing date)
Minimum payment at maturity: None

Basket Overview

The basket consists of (i) two equity indices that track the U.S. large cap and small cap equity markets; (ii) four equity-linked exchange traded funds that track the foreign developed markets, the foreign emerging markets and the real estate and technology sectors of the U.S. equity markets and (iii) a commodity-linked exchange traded fund that tracks futures contracts on fourteen commodities.

For more information on the individual basket components, see the accompanying product supplement. Information as of market close on August 24, 2011: Because the SPX Index makes up 40% of the basket, we expect that generally the market value of your PLUS and your payment at maturity will depend significantly on the performance of the SPX Index.

Basket Component Information as of August 24, 2011
 
Bloomberg
Ticker
Symbol
Closing Price
or Index
Closing Value
52 Weeks Ago
52 Week High
52 Week Low
Basket
component
weighting
The S&P 500® Index
SPX
1177.60
1051.87
1363.61 (on
4/29/2011)
1047.22 (on
8/26/2010)
40%
The Russell 2000® Index
RTY
692.57
595.59
865.29 (on
4/29/2011)
595.59 (on
8/24/2010)
10%
Shares of the iShares® MSCI
EAFE Index Fund
EFA
$52.15
$49.50
$63.87 (on
5/2/2011)
$49.50 (on
8/24/2010)
10%
Shares of the iShares® MSCI
Emerging Markets Index Fund
EEM
$40.62
$40.13
$50.21 (on
4/26/2011)
$39.08 (on
8/8/2011)
10%
Shares of the iShares® Dow
Jones U.S. Real Estate Index
Fund
IYR
$55.00
$49.81
$62.92 (on
7/7/2011)
$49.14 (on
8/8/2011)
10%
Shares of the Technology Select
Sector SPDR® Fund
XLK
$23.71
$20.87
$27.01 (on
2/17/2011)
$20.69 (on
8/31/2010)
10%
Shares of the PowerShares DB
Commodity Index Tracking Fund
DBC
$29.15
$21.80
$31.92 (on
4/8/2011)
$21.80 (on
8/24/2010)
10%

August 2011 Page 2


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Basket Historical Performance – Daily Closing Price
May 3, 2006 to August 24, 2011

The graph is calculated to show the performance of the basket during the period from May 3, 2006 through August 24, 2011, assuming the basket components are weighted as set out above such that the initial basket value was 100 and illustrates the effect of the offset and/or correlation among the basket components 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. The historical values of the basket should not be taken as an indication of its future performance.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Key Investment Rationale

The PLUS offer 300% leveraged upside, subject to a maximum payment at maturity of $11.65 to $11.85 (116.50% to 118.50% 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 triple returns (excluding dividends) up to the maximum payment at maturity, while maintaining similar risk as a direct investment in the basket.

Leveraged Performance 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.
Best Case Scenario The basket increases in value and, at maturity, the PLUS pay the maximum payment at maturity of $11.65 to $11.85 (116.50% to 118.50% of the stated principal amount) per PLUS. The actual maximum payment at maturity will be determined on the pricing date.
Worst Case Scenario The basket declines in value and, at maturity, the PLUS pay less than the stated principal amount by an amount proportionate to the decline.

Summary of Selected Key Risks (see page 10)

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 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-9-A-II, 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 basket closing value of the basket on the valuation date. 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:
August   , 2011 (expected to price on or about August 26, 2011) August   , 2011 (3 business days after the pricing date) October 1, 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-9-A-II.
Key Terms
Issuer: JPMorgan Chase & Co.      
Basket: Basket component
Bloomberg Ticker Symbol
 Basket
component
weighting		 Initial value
The S&P 500® Index (the “SPX Index”)
 SPX 40%  
The Russell 2000® Index (the “RTY Index”)
 RTY 10%  
Shares of the iShares® MSCI EAFE Index Fund (“the EFA Shares”)
 EFA 10%  
Shares of the iShares® MSCI Emerging Markets Index Fund (the “EEM Shares”)
 EEM 10%  
Shares of the iShares® Dow Jones U.S. Real Estate Index Fund (the “IYR Shares”)
 IYR 10%  
Shares of the Technology Select Sector SPDR® Fund (the “XLK Shares”)
 XLK 10%  
Shares of the PowerShares DB Commodity Index Tracking Fund (the “DBC Shares”)
 DBC 10%  
We refer to the SPX Index and the RTY Index collectively as the underlying indices; the EFA Shares, EEM Shares, IYR Shares, XLK Shares, and DBC Shares collectively as the ETF Shares; and the underlying indices and the ETF Shares collectively as the basket components.
Aggregate principal amount: $    
Issue price: $10 per PLUS  
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, 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, for each $10
    stated principal amount PLUS,
    $10 x basket performance factor
    This amount will be less than or equal to the stated principal amount of $10 per PLUS.
Leveraged upside payment: $10 x leverage factor x basket percent increase
Basket percent increase: (final basket value – initial basket value) / initial basket value
Leverage factor: 300%  
Basket performance factor: final 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 (basket component return of each basket component × basket component weighting of each such basket component)]
Basket component return: On the valuation date, the basket component return for each basket component is equal to the index return or share return, as applicable, for such basket component on the valuation date.
Index return: With respect to each underlying index, the index return is equal to:
final index value – initial index value
initial index value
Initial index value: The index closing value of the underlying index on the pricing date
Final index value: The index closing value on the valuation date
Share return: With respect to each ETF Share, the share return is equal to:
  final share price – initial share price
initial share price
Initial share price: 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

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Adjustment factor: With respect to each ETF Share, 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-9-A-II.
Valuation date: September 26, 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-9-A-II
Maximum payment at maturity: $11.65 to $11.85 (116.50% to 118.50% 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 $11.65 or greater than $11.85.
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 trading 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.
Risk factors: Please see “Risk Factors” beginning on page 10.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

General Information
Listing: The PLUS will not be listed on any securities exchange.
CUSIP / ISIN: 46636T770 / US46636T7708
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-9-A-II. 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 that, subject to the discussion of the “constructive ownership” rules in the following sentence, generate long-term capital gain or loss if held for more than one year. The PLUS may be treated in whole or in part as subject to the constructive ownership rules of Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”). If and to the extent that section applied,gain that would otherwise be long-term capital gain and that was in excess of the “net underlying long-term capital gain” (as defined in Section 1260) would be treated as ordinary income, and an interest charge would apply as if that income had accrued for tax purposes at a constant yield over the term of the PLUS. Our special tax counsel has not expressed an opinion with respect to whether the constructive ownership rules apply to the PLUS or, if so, how they would apply. Accordingly, U.S. Holders should consult their tax advisers regarding the potential application of the constructive ownership rules. In addition, in 2007 Treasury and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “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 described above. 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. 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 the potential application of the constructive ownership rules, possible alternative treatments and the issues presented by this notice. In addition, based on certain factual assumptions and representations received from us, our special tax counsel is of the opinion that we should not be required to withhold under Sections 897 and 1445 of the Code and the regulations thereunder (collectively, “FIRPTA”) on proceeds paid to Non-U.S. Holders, although it is possible that we may decide (or that the IRS could argue) that we are required to do so. Non-U.S. Holders should also note that they may in any event be withheld upon at a rate of up to 30% unless they have submitted a properly completed IRS Form W-8BEN or otherwise satisfied the applicable documentation requirements.

The discussion in the preceding paragraph, when read in combination with the discussion in “Risk Factors — The tax consequences of an investment in the PLUS are unclear” in this document and 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-9-A-II.
Benefit plan investor considerations: See “Benefit Plan Investor Considerations” in the accompanying product supplement no. MS-9-A-II.
  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).

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-9-A-II, the prospectus supplement and prospectus for this offering, which can be accessed via the hyperlinks on the front page of this document.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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: 300%
Hypothetical maximum payment at maturity: $11.75 (117.50% of the stated principal amount) per PLUS (which represents the midpoint of the range of $11.65 and $11.85)*

* If the actual maximum payment at maturity as determined on the pricing date is less than $11.75, your return, if any, may be lower than the returns shown below.

PLUS Payoff Diagram

 

How it works

The hypothetical returns and hypothetical payouts on the PLUS shown above do not reflect fees or expenses that would be associated with any sale in the secondary market. If these fees and expenses were included, the hypothetical total returns and payouts shown above would likely be lower.

August 2011 Page 8


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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 × basket performance factor

Because the basket performance factor will be less than or equal to 1.0, this payment at maturity will be less than or equal to $10.

August 2011 Page 9


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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-15 of the accompanying product supplement no. MS-9-A-II. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the PLUS.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

the dividend rate of the securities, if applicable, underlying the basket components, developments in the real estate market or the technology sector, the market prices of the physical commodities upon which the futures contracts held by the DBC Shares are based, geopolitical conditions and economic, financial, political, regulatory, geographical, agricultural, meteorological and judicial events that affect the securities or futures contracts underlying any basket component or stock or commodity futures markets generally, the exchange rate and the volatility of the exchange rate between the U.S. dollar and the currencies in which securities underlying the basket components are traded and the correlation between that rate and the prices of basket components, the occurrence of certain events to the ETF Shares that may or may not require an adjustment to the applicable adjustment factor and any actual or anticipated changes in our credit ratings or credit spreads. The price of the basket components may be and has recently been volatile, and we can give you no assurance that the volatility will lessen. You may receive less, and possibly significantly less, than the stated principal amount per PLUS if you try to sell your PLUS prior to maturity.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

These constraints could adversely affect the market prices of the ETF Shares, and consequently, the value of the PLUS.

August 2011 Page 12


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM
August 2011 Page 13


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

may not be reflected in the futures market (and vice versa). Accordingly, the PLUS may underperform a similar investment that is linked to commodity spot prices.

August 2011 Page 14


Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel. The difficulties described above could cause an upturn or a downturn in the technology sector generally or regionally and could cause the value of the securities held by the XLK Shares and thus the value of the XLK Shares to decline or remain flat during the term of the PLUS, which may adversely affect the value of your PLUS.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Information about the Basket Components and the Reference Indices

Basket Components

The S&P 500® Index. The S&P 500® Index, which is calculated, maintained and published by Standard & Poor’s Financial Services LLC (“Standard & Poor’s), consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared to the aggregate average market capitalization of the 500 similar companies during the base period of the years 1941 through 1943. The S&P 500® Index is described under the heading “The S&P 500® Index” in the accompanying product supplement no. MS-9-A-II.

The Russell 2000® Index. The Russell 2000® Index, which is calculated, maintained and published by Russell Investments, a subsidiary of Russell Investment Group, is designed to track the performance of the small capitalization segment of the U.S. equity market, and consists of the middle 2,000 companies included in the Russell 3000ETM Index. The Russell 3000ETM Index is composed of the 4,000 largest U.S. companies as determined by market capitalization and represents approximately 99% of the U.S. equity market. As a capitalization-weighted index, the Russell 2000® Index is calculated by adding the market values of its 2,000 components stocks, which are derived by multiplying the price of each stock by the number of available shares, to arrive at the total market capitalization of the 2,000 stocks. The total market capitalization is then divided by a divisor, which represents the “adjusted” capitalization of the Russell 2000® Index on the base date of December 31, 1986. The Russell 2000® Index is described under the heading “The Russell 2000® Index” in the accompanying product supplement no. MS-9-A-II.

The iShares® MSCI EAFE Index Fund. The iShares® MSCI EAFE Index Fund is an exchange-traded fund managed by iShares® Trust (“iShares Trust”), a registered investment company. iShares Trust consists of numerous separate investment portfolios, including the iShares® MSCI EAFE Index Fund. BlackRock Fund Advisors (“BFA”) is currently the investment adviser for the iShares® MSCI EAFE Index Fund. This fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI EAFE® Index. Information provided to or filed with the SEC by iShares Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. The iShares® MSCI EAFE Index Fund is described under the heading “The iShares® MSCI EAFE Index Fund” in the accompanying product supplement no. MS-9-A-II.

The iShares® MSCI Emerging Markets Index Fund. The iShares® MSCI Emerging Markets Index Fund is an exchange-traded fund managed by iShares®, Inc. (“iShares®”), a registered investment company. iShares® consists of numerous separate investment portfolios, including the iShares® MSCI Emerging Markets Index Fund. BFA is currently the investment adviser for the iShares® MSCI Emerging Markets Index Fund. This fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. Information provided to or filed with the SEC by iShares® pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 033-97598 and 811-09102, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. The iShares® MSCI Emerging Markets Index Fund is described under the heading “The iShares® MSCI Emerging Markets Index Fund” in the accompanying product supplement no. MS-9-A-II.

The iShares® Dow Jones U.S. Real Estate Index Fund. The iShares® MSCI Dow Jones U.S. Real Estate Index Fund is an exchange-traded fund managed by iShares Trust, a registered investment company. iShares Trust consists of numerous separate investment portfolios, including the iShares® MSCI Dow Jones US Real Estate Fund. BFA is currently the investment adviser for the iShares® MSCI Dow Jones US Real Estate Index Fund. This fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Dow Jones US Real Estate Index. Information provided to or filed with the SEC by iShares Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to the SEC file numbers 333-92935 and 811-09729, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. The iShares® Dow Jones U.S. Real Estate Index Fund is described under the heading “The iShares® Dow Jones U.S. Real Estate Fund” in the accompanying product supplement no. MS-9-A-II.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

The Technology Select Sector SPDR® Fund. The Technology Select Sector SPDR® Fund is an investment portfolio managed by SSgA Funds Management, Inc., the investment adviser to the Technology Select Sector SPDR® Fund. This fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Technology Select Sector Index. Information provided to or filed with the SEC by the Select Sector Trust pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57791 and 811-08837, respectively, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. The Technology Select Sector SPDR® Fund is described under the heading “The Technology Select Sector SPDR® Fund” in the accompanying product supplement no. MS-9-A-II.

PowerShares DB Commodity Index Tracking Fund. PowerShares DB Commodity Index Tracking Fund is a Delaware statutory trust managed by DB Commodity Services LLC. This fund seeks to track changes, whether positive or negative, in the level of the DBIQ Optimum Yield Diversified Commodity Index Excess ReturnTM over time, plus the excess, if any, of the PowerShares Fund’s interest income from its holdings of United States Treasury and other high credit quality short-term fixed income securities over the expenses of the fund. Information provided to or filed with the SEC by the the fund pursuant to the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended, can be located by reference to SEC file number 001-32726, through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. The PowerShares DB Commodity Index Tracking Fund is described under the heading “The PowerShares DB Commodity Index Tracking Fund” in the accompanying product supplement no. MS-9-A-II.

These preliminary terms relate only to the PLUS offered hereby and do not relate to the basket components. We have derived all disclosures contained in these preliminary terms regarding the basket components from the publicly available documents described in the preceding paragraph. In connection with the offering of the PLUS, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the basket components. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the basket components is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the value of the basket components (and therefore the value of the basket components at the time we price the PLUS) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the basket components could affect the value received at maturity with respect to the PLUS and therefore the trading prices of the PLUS.

Neither we nor any of our affiliates makes any representation to you as to the performance of the basket components.

We and/or our affiliates may presently or from time to time engage in business with the sponsors of the basket components. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the basket components, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to the basket components. The statements in the preceding two sentences are not intended to affect the rights of investors in the PLUS under the securities laws. As a prospective purchaser of the PLUS, you should undertake an independent investigation of the basket components as in your judgment is appropriate to make an informed decision with respect to an investment in securities linked to the basket components.

iShares® is a registered trademark of BlackRock Institutional Trust Company, N.A. (“BTC”). The PLUS are not sponsored, endorsed, sold, or promoted by BTC. BTC makes no representations or warranties to the owners of the PLUS or any member of the public regarding the advisability of investing in the PLUS. BTC has no obligation or liability in connection with the operation, marketing, trading or sale of the PLUS.

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Performance Leveraged Upside SecuritiesSM

Reference Indices

The MSCI EAFE® Index. The MSCI EAFE® Index is a stock index calculated, published and disseminated daily by MSCI Inc. and is intended to provide performance benchmarks for the developed equity markets in Australia and New Zealand and those in Europe and Asia, which include Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. Effective May 2010, Israel has been reclassified as a developed market and has been included in the MSCI EAFE® Index. The MSCI EAFE® Index is described under the heading “The MSCI Indices” in the accompanying product supplement no. MS-9-A-II.

The MSCI Emerging Markets Index. The MSCI Emerging Markets Index is a stock index calculated, published and disseminated daily by MSCI and is intended to provide performance benchmarks for certain emerging equity markets including Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey. Effective May 27, 2010, Israel has been reclassified as a developed market by MSCI. Since that date, Israel is no longer included in the MSCI Emerging Markets Index. The MSCI Emerging Markets Index is described under the heading “The MSCI Indices” in the accompanying product supplement no. MS-9-A-II.

The Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index measures the performance of the real estate sector of the United States equity market. Component companies include those that invest directly or indirectly in real estate through development, investment or ownership; companies that provide services to real estate companies but do not own the properties themselves (agencies, brokers, leasing companies, management companies and advisory services); and real estate investment trusts or corporations (“REITs”) or listed property trusts (“LPTs”) that invest in office, industrial, retail, residential, specialty (e.g., health care), hotel, lodging and other properties or that are directly involved in lending money to real estate owners and operators or indirectly through the purchase of mortgages or mortgage-backed securities. REITs are passive investment vehicles that invest primarily in income producing real estate or real estate-related loans and interests. The Dow Jones Real Estate Index is described under the heading “The iShares® Dow Jones U.S. Real Estate Index Fund — The Dow Jones U.S. Real Estate Index” in the accompanying product supplement no. MS-9-A-II.

The Technology Select Sector Index. The Technology Select Sector Index measures the performance of the technology sector of the U.S. equity market. The Technology Select Sector Index includes companies in the following industries: computers and peripherals; software; diversified telecommunication services; communications equipment; semiconductors & semiconductor equipment; internet software and services; IT services; electronic equipment, instruments and components; wireless telecommunication services and office electronics. The Technology Select Sector Index is described under the heading “The Technology Select Sector Index” in the accompanying product supplement no. MS-9-A-II.

The DBIQ Optimum Yield Diversified Commodity Index Excess ReturnTM. The DBIQ Optimum Yield Diversified Commodity Index Excess Return™ is intended to reflect the changes in market value, positive or negative, of futures contracts on certain commodities. The DBIQ Optimum Yield Diversified Commodity Index Excess Return™is (i) calculated on an excess return, or unfunded basis and (ii) rolled in a manner which is aimed at potentially maximizing the roll benefits in backwardated markets and minimizing the losses from rolling in contangoed markets. Futures contracts on the following commodities are included in the DBIQ Optimum Yield Diversified Commodity Index Excess Return™: Light Sweet Crude Oil (WTI), Heating Oil, RBOB Gasoline, Natural Gas, Brent Crude, Gold, Silver, Aluminum, Zinc, Copper Grade A, Corn, Wheat, Soybeans, and Sugar. The DBIQ Optimum Yield Diversified Commodity Index Excess ReturnTM is described under the heading “The DBIQ Optimum Yield Diversified Commodity Index Excess ReturnTM” in the accompanying product supplement no. MS-9-A-II.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Historical Information

The following tables set forth the published high and low index closing values or closing prices, as applicable, as well as end-of-quarter index closing values or closing prices, as applicable, for each of the basket components for each quarter in the period from January 3, 2006 through August 24, 2011 or, with respect to the DBC Shares, from May 3, 2006 to August 24, 2011. The graph following each basket component’s table below sets forth the daily index closing values or closing price, as applicable, of the relevant basket component for the relevant period. We obtained the information in the table below from Bloomberg Financial Markets, without independent verification. The historical index closing values or closing prices, as applicable, of the basket components should not be taken as an indication of future performance, and no assurance can be given as to the index closing value or closing price, as applicable, on the valuation date.

S&P 500® Index
High
Low
Period End
     2006      
     First Quarter
1307.25
1254.78
1294.83
     Second Quarter
1325.76
1223.69
1270.20
     Third Quarter
1339.15
1234.49
1335.85
     Fourth Quarter
1427.09
1331.32
1418.30
     2007
     First Quarter
1459.68
1374.12
1420.86
     Second Quarter
1539.18
1424.55
1503.35
     Third Quarter
1553.08
1406.70
1526.75
     Fourth Quarter
1565.15
1407.22
1468.36
     2008
     First Quarter
1447.16
1273.37
1322.70
     Second Quarter
1426.63
1278.38
1280.00
     Third Quarter
1305.32
1106.39
1166.36
     Fourth Quarter
1161.06
752.44
903.25
     2009
     First Quarter
934.70
676.53
797.87
     Second Quarter
946.21
811.08
919.32
     Third Quarter
1071.66
879.13
1057.08
     Fourth Quarter
1127.78
1025.21
1115.10
     2010
     First Quarter
1174.17
1056.74
1169.43
     Second Quarter
1217.28
1030.71
1030.71
     Third Quarter
1148.67
1022.58
1141.20
     Fourth Quarter
1259.78
1137.03
1257.64
     2011
     First Quarter
1343.01
1269.75
1330.97
     Second Quarter
1363.61
1265.42
1320.64
     Third Quarter (through August 24, 2011)
1353.22
1119.46
1177.6

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Performance Leveraged Upside SecuritiesSM

S&P 500® Index – Daily Closing Level
January 3, 2006 to August 24, 2011

 
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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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Russell 2000® Index
High
Low
Period End
     2006
     First Quarter
765.14
684.05
765.14
     Second Quarter
781.83
672.72
724.67
     Third Quarter
734.48
671.94
725.59
     Fourth Quarter
797.73
718.35
787.66
     2007
     First Quarter
829.44
760.06
800.71
     Second Quarter
855.09
803.22
833.70
     Third Quarter
855.77
751.54
805.45
     Fourth Quarter
845.72
735.07
766.03
     2008
     First Quarter
753.55
643.97
687.97
     Second Quarter
763.27
686.07
689.66
     Third Quarter
754.38
657.72
679.58
     Fourth Quarter
671.59
385.31
499.45
     2009
     First Quarter
514.71
343.26
422.75
     Second Quarter
531.68
429.16
508.28
     Third Quarter
620.69
479.27
604.28
     Fourth Quarter
634.07
562.40
625.39
     2010
     First Quarter
690.30
586.49
678.64
     Second Quarter     
741.92
609.49
609.49
     Third Quarter
677.64
590.03
676.14
     Fourth Quarter
792.35
669.45
783.65
     2011
     First Quarter
834.82
773.18
828.89
     Second Quarter
865.29
777.2
827.43
     Third Quarter (through August 24, 2011)
858.11
650.96
692.57

Russell 2000® Index – Daily Closing Level
January 3, 2006 to August 24, 2011

 

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iShares® MSCI EAFE Index Fund
High ($)
Low ($)
Period End ($)
     2006
     First Quarter
65.40
60.33
64.99
     Second Quarter
70.58
59.60
65.35
     Third Quarter
68.46
61.62
67.78
     Fourth Quarter
74.31
67.96
73.26
     2007
     First Quarter
76.94
70.95
76.27
     Second Quarter
81.79
76.47
80.63
     Third Quarter
83.77
73.70
82.56
     Fourth Quarter
86.18
78.24
78.50
     2008
     First Quarter
78.35
68.31
71.90
     Second Quarter
78.52
68.10
68.70
     Third Quarter
68.04
53.08
56.30
     Fourth Quarter     
55.88
35.71
44.87
     2009
     First Quarter
45.44
31.69
37.59
     Second Quarter
49.04
38.57
45.81
     Third Quarter
55.81
43.91
54.70
     Fourth Quarter
57.28
52.66
55.30
     2010
     First Quarter
57.96
50.45
56.00
     Second Quarter
58.03
46.29
46.51
     Third Quarter
55.42
47.09
54.92
     Fourth Quarter
59.46
54.25
58.23
     2011     
     First Quarter
61.91
57.27
61.79
     Second Quarter
63.87
57.10
60.14
     Third Quarter (through August 24, 2011)
60.80
49.73
52.15

iShares® MSCI EAFE Index Fund – Daily Closing Price
January 3, 2006 to August 24, 2011

 

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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iShares® MSCI Emerging Markets Index Fund
High ($)
Low ($)
Period End ($)
     2006
     First Quarter
33.59
30.43
33.02
     Second Quarter
37.03
27.34
31.23
     Third Quarter
33.14
29.20
32.29
     Fourth Quarter
38.15
31.80
38.10
     2007
     First Quarter
39.53
35.03
38.75
     Second Quarter
44.42
39.13
43.82
     Third Quarter
50.11
39.50
49.78
     Fourth Quarter
55.64
47.27
50.10
     2008
     First Quarter
50.37
42.17
44.79
     Second Quarter
51.70
44.43
45.19
     Third Quarter
44.43
31.33
34.53
     Fourth Quarter
33.90
18.22
24.97
     2009
     First Quarter
27.09
19.94
24.81
     Second Quarter
34.64
25.65
32.23
     Third Quarter
39.29
30.75
38.91
     Fourth Quarter     
42.07
37.56
41.50
     2010
     First Quarter     
43.22
36.83
42.12
     Second Quarter     
43.98
36.16
37.32
     Third Quarter
44.77
37.59
44.77
     Fourth Quarter
48.58
44.77
47.62
     2011
     First Quarter
48.69
44.63
48.69
     Second Quarter
50.21
45.5
47.6
     Third Quarter (through August 24, 2011)
48.46
39.08
40.62

iShares® MSCI Emerging Markets Index Fund – Daily Closing Price
January 3, 2006 to August 24, 2011

 

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

iShares® Dow Jones U.S. Real Estate Index Fund
High ($)
Low ($)
Period End ($)
     2006
     First Quarter
75.02
65.73
73.50
     Second Quarter
72.20
67.29
71.30
     Third Quarter
78.20
71.33
77.13
     Fourth Quarter
86.83
77.03
83.71
     2007
     First Quarter
94.71
82.34
85.27
     Second Quarter
87.77
76.86
77.20
     Third Quarter
80.25
67.79
76.57
     Fourth Quarter
80.85
65.00
65.70
     2008     
     First Quarter
68.22
59.02
65.10
     Second Quarter
71.65
60.95
60.95
     Third Quarter
67.20
56.34
61.95
     Fourth Quarter
61.17
25.40
37.23
     2009
     First Quarter
37.26
22.21
25.46
     Second Quarter
35.55
25.30
32.34
     Third Quarter
45.04
29.88
42.66
     Fourth Quarter
47.44
39.63
45.92
     2010
     First Quarter     
50.83
42.45
49.78
     Second Quarter     
54.66
46.95
47.21
     Third Quarter
55.21
45.32
52.88
     Fourth Quarter
57.62
52.71
55.96
     2011
     First Quarter
60.58
55.59
59.32
     Second Quarter
62.80
58.17
60.30
     Third Quarter (through August 24, 2011)
62.92
49.14
55.00

iShares® Dow Jones U.S. Real Estate Index Fund – Daily Closing Price
January 3, 2006 to August 24, 2011

 

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

Technology Select Sector SPDR® Fund
High ($)
Low ($)
Period End ($)
     2006
     First Quarter
22.29
21.19
22.19
     Second Quarter
22.54
19.56
20.32
     Third Quarter
22.13
18.99
21.99
     Fourth Quarter
23.81
21.86
23.25
     2007
     First Quarter
24.02
22.55
23.34
     Second Quarter
25.84
23.39
25.71
     Third Quarter
27.07
24.51
26.99
     Fourth Quarter
28.40
25.21
26.62
     2008
     First Quarter
26.16
21.78
22.50
     Second Quarter
25.43
22.52
22.88
     Third Quarter
23.70
19.07
19.80
     Fourth Quarter
19.52
13.20
15.41
     2009
     First Quarter
16.31
13.22
15.62
     Second Quarter          
18.43
16.06
18.17
     Third Quarter
20.99
17.34
20.87
     Fourth Quarter
23.13
20.25
22.87
     2010
     First Quarter
23.26
20.84
23.09
     Second Quarter
24.06
20.4
20.4
     Third Quarter
23.15
20.29
23.02
     Fourth Quarter
25.28
22.84
25.18
     2011
     First Quarter
27.01
25.47
26.63
     Second Quarter
26.84
24.49
25.70
     Third Quarter (through August 24, 2011)
26.74
22.52
23.71

Technology Select Sector SPDR® Fund – Daily Closing Price
January 3, 2006 to August 24, 2011

 

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
Performance Leveraged Upside SecuritiesSM

PowerShares DB Commodity Index Tracking Fund
High ($)
Low ($)
Period End ($)
     2006
     Second Quarter(from May 3, 2006)*
26.98
23.98
25.35
     Third Quarter
26.46
23.00
23.95
     Fourth Quarter
25.84
23.18
24.55
     2007
     First Quarter
25.74
22.43
25.36
     Second Quarter
26.64
24.97
25.78
     Third Quarter
28.15
25.09
28.10
     Fourth Quarter
31.95
27.03
31.55
     2008
     First Quarter
38.90
30.73
35.87
     Second Quarter
45.56
35.65
44.90
     Third Quarter
46.38
32.39
33.83
     Fourth Quarter
33.05
19.69
21.19
     2009
     First Quarter
22.74
18.15
20.00
     Second Quarter
24.19
19.44
22.62
     Third Quarter
23.95
20.74
22.06
     Fourth Quarter
24.84
21.70
24.62
     2010
     First Quarter
25.72
22.38
23.52
     Second Quarter
24.70
21.25
21.57
     Third Quarter
24.11
21.2
24.11
     Fourth Quarter
27.58
24.08
27.58
     2011
     First Quarter
30.29
27.13
30.28
     Second Quarter
31.92
28.25
28.96
     Third Quarter (through August 24, 2011)
30.83
27.75
29.15

PowerShares DB Commodity Index Tracking Fund – Daily Closing Price
May 3, 2006* to August 24, 2011

 

*The DBC Shares commenced trading on May 3, 2006.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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-38 of the accompanying product supplement no. MS-9-A-II.

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Global Expansion PLUS Based on a Basket of Two Indices and Five Exchange Traded Funds due October 1, 2012
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-9-A-II dated March 7, 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-9-A-II, 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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