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Key Risks
[] The Index may not be successful, may not outperform the SandP 500[R] Dividend
Aristocrats Total Return Index and may not achieve its target volatility of 8%.
No assurance can be given that the volatility strategy will be successful.
[] J.P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with SandP
in developing the guidelines and policies governi ng the composition and
calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Indices. JPMS is under no obligation to consider your interests as an investor.
[] The Index is not a total return index, and is subject to short-term money
market fund borrowing costs-- As an "excess return" index, the SandP 500[R]
Dividend Aristocrats Risk Control 8% Excess Return Index calculates the return
on a leveraged or deleveraged investment in the SandP 500[R] Dividend
Aristocrats Total Return Index where the investment was made through the use of
borrowed funds. Investments linked to this "e xcess return" index, which
represents an unfunded position in the SandP 500[R] Dividend Aristocrats Total
Return Index , will be subject to short-term money market fund borrowing costs
and will not include the "total return" feature or the cash component of the
"total return" index, which represents a funded position in the SandP 500[R]
Dividend Aristocrats Total Return Index.
[] The Index represents portfolios consisting of the SandP 500[R] Dividend
Aristocrats Total Return Index and a borrowing cost component accruing interest
based on a synthetically rolling 3-month bond with reference to the 2-month and
3-month U.S. LIBOR rates. The Index dynamically adjusts its exposures to the
SandP 500[R] Dividend Aristocrats Total Return Index based on the SandP 500[R]
Dividend Aristocrats Total Return Index's historic volatility. The Index's'
exposure to the SandP 500[R] Dividend Aristocrats Total Return Index will
decrease when historical volatility causes the risk level of the SandP 500[R]
Dividend Aristocrats Total Return Index to reach a high threshold. If, at any
time, the Index exhibits low exposure to the SandP 500[R] Dividend Aristocrats
Total Return Index and the SandP 500[R] Dividend Aristocrats Total Return Index
subsequently appreciates significantly, the Index will not participate fully in
this appreciation.
[] The Index began publishing on August 25, 2010 and, therefore, has a limited
history.
Index Disclaimers
[] "Standard and Poor's[R]," "SandP[R]," "SandP 500[R]," "SandP 500[R] Dividend
Aristocrats," and "SandP 500[R] Dividend Aristocrats Risk Control 8% Excess
Return
Index" 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 SandP, and SandP makes no representation regarding
the advisability of purchasing securities generally or financial instruments
issued by JPMorgan Chase and Co. SandP has no obligation or liability in connection
with the administration, marketing, or trading of products linked to the SandP
500[R] Dividend Aristocrats Risk Control 8% Excess Return Index.
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offerings to which these materials relate. Before you invest in
any offering of securities by J.P. Morgan, you should read the prospectus in
that registration statement, the prospectus supplement, as well as the
particular product supplement, underlying supplement, the relevant term sheet
or pricing supplement, and any other documents that J.P. Morgan will file with
the SEC relating to such offering for more complete information about J.P.
Morgan and the offering of any securities. You may get these documents without
cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, J.P.
Morgan, any agent or any dealer participating in the particular offering will
arrange to send you the prospectus and the prospectus supplement, as well as
any product supplement, underlying supplement and term sheet or pricing
supplement, if you so request by calling toll-free (800) 576 3529.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-199966
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