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1 S T R I C T L Y P R I V A T E A N D C O N F I D E N T I A L J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Giving investors greater control over the risk and return in portfolios November 2012 Derivatives House of the Year Equity Derivatives House of the Year Commodity and Energy Derivatives House of the Year Risk, January 2012 FOR RIA/BROKER-DEALER USE ONLY

2 J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Disclaimer This presentation is for discussion purposes only and is not intended to be an offer to sell or the solicitation of an offer to buy any securities issued by JPMorgan. In the event JPMorgan were to offer structured investments, this presentation will be superseded and replaced in its entirety by a preliminary or final term sheet or pricing supplement, and the documents therein which would be filed with the SEC. In the event of any inconsistency between the information presented herein and any such preliminary or final term sheet or pricing supplement, such preliminary or final term sheet or pricing supplement shall govern. Copyright 2012 JPMorgan Chase & Co. All rights reserved. The presentation was developed, compiled, prepared and arranged by JPMorgan through the expenditure of substantial time, effort and money and constitutes valuable intellectual property and trade secrets of JPMorgan. All right, title, and interest in and to the presentation is vested in JPMorgan and the presentation cannot be used without JPMorgan s prior written consent. Information herein is believed to be reliable but JPMorgan does not warrant its completeness or accuracy. The information contained in this presentation has been distributed to you on a stand alone basis and is not to be combined with, consolidated, incorporated or otherwise used with any other written materials provided by JPMorgan. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product of JPMorgan Research Departments. Structured Investments may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. JPMorgan and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a JPMorgan entity qualified in their home jurisdiction unless governing law permits otherwise. SEC Legend: JPMorgan Chase & 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 & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Web site at Alternatively, JPMorgan Chase & 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 The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. 1

3 J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Agenda J.P. Morgan Structured Investments - Overview 2 Fixed Income Alternatives in a Low Yield Environment 7 Controlling Volatility within the Equity Portfolio 17 Accessing Volatility 24 Closing Thoughts Resources Available 49 2

4 J. P. M O R G A N S T R U C T U R E D I N V E S T M E N T S - O V E R V I E W J.P. Morgan Structured Investments Industry Leader Overview JPMorgan is the recognized market leader distributing Structured Investments to Third Party broker-dealers, private banks, and registered investment advisors in the United States. We differentiate ourselves through client service and through our award winning derivatives franchise and structuring capabilities. The most recognized, monthly best efforts program for Broker Dealers, RIAs, and Private Banks Separate monthly best efforts offerings for brokerage and advisory accounts. Successful products are offered on a recurring basis, with a one bond minimum investment thresholds, enabling clients to gain traction with repeat offerings and ladder portfolios month to month. New products are introduced on a periodic basis based on client feedback and market conditions. Customized offerings are available to capture tactical asset flows. The U.S. Third Party marketing team issues over 50 customized offerings per month, which allows our clients to quickly monetize particular market developments or client inquiries. Customized offerings are typically launched within hours and in some cases within 1 hour. Transparency on fees - Derivative profits (in addition to distribution fees) are disclosed in the prospectus. Additionally, we set maximum fee levels at the inception of each offering. If market conditions improve during the offering period such that the maximum fee levels are breached, we improve terms to investors. JPMorgan : Recognized Leader in the Industry Equity Derivatives House of the year Derivatives House of the year Commodity and Energy Derivates House of the year OTC Clearing Service of the year Bank Risk Manager of the year Risk January 2012 #1 Overall in Risk s Institutional Investor rankings Risk June 2011 Best FX House Risk January 2011 #1 Overall in Risk s Institutional Investor rankings 12 first-place finishes Risk June 2011 Derivatives House of the Year Risk Share Leader distinctions 9 Quality Leader distinctions Greenwich Associates,

5 J. P. M O R G A N S T R U C T U R E D I N V E S T M E N T S - O V E R V I E W What are Structured Investments? Structured Investments (SIs) are notes that create specific payout profiles payable at maturity that are tied to various market outcomes. Structures can be based on the performance of a variety of underlyings across asset classes SIs can be used to complement traditional portfolio models, to reduce risk, to explicitly express your particular market view, or to diversify the exposure in your clients portfolios via access to hard to reach underlyings. SIs are built by combining a zero-coupon bond with options written on the chosen underlying. Why should you use Structured Investments? Structures can present attractive investment opportunities because they allow investors to customize the risk and return profiles in their portfolios. J.P. Morgan can tailor Structures to fit your expectations for a particular market view, potentially maximizing the outcome for investors. Because notes typically have maturities ranging from one to six years, Structures are ideal for buy-and-hold investors committed to welldefined portfolio strategies. 4

6 J. P. M O R G A N S T R U C T U R E D I N V E S T M E N T S - O V E R V I E W Structured Investments within an Integrated Portfolio Active Management Alpha can be generated from multiple sources including quantitative, fundamental, proprietary and third party managers Passive Strategies (ETFs) ETFs are used to implement tactical allocations or dial down the active risk exposure in parts of your portfolio Structured Products The structures are an additional source of alpha tailored to your investment view, risk tolerance, and diversification goals Integrated Portfolio The result is a recommended equity portfolio that provides an efficient combination of risk and expected return The J.P. Morgan platform provides diversified sources of alpha 5

7 J. P. M O R G A N S T R U C T U R E D I N V E S T M E N T S - O V E R V I E W Disclaimer This presentation is for discussion purposes only and is not intended to be an offer to sell or the solicitation of an offer to buy any securities issued by JPMorgan. In the event JPMorgan were to offer structured investments, this presentation will be superseded and replaced in its entirety by a preliminary or final term sheet or pricing supplement, and the documents therein which would be filed with the SEC. In the event of any inconsistency between the information presented herein and any such preliminary or final term sheet or pricing supplement, such preliminary or final term sheet or pricing supplement shall govern. Copyright 2012 JPMorgan Chase & Co. All rights reserved. The presentation was developed, compiled, prepared and arranged by JPMorgan through the expenditure of substantial time, effort and money and constitutes valuable intellectual property and trade secrets of JPMorgan. All right, title, and interest in and to the presentation is vested in JPMorgan and the presentation cannot be used without JPMorgan s prior written consent. Information herein is believed to be reliable but JPMorgan does not warrant its completeness or accuracy. The information contained in this presentation has been distributed to you on a stand alone basis and is not to be combined with, consolidated, incorporated or otherwise used with any other written materials provided by JPMorgan. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product of JPMorgan Research Departments. Structured Investments may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. JPMorgan and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a JPMorgan entity qualified in their home jurisdiction unless governing law permits otherwise. SEC Legend: JPMorgan Chase & 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 & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Web site at Alternatively, JPMorgan Chase & 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 The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. 6

8 J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Agenda J.P. Morgan Structured Investments - Overview 2 Fixed Income Alternatives in a Low Yield Environment J.P. Morgan ETF Effficiente 5 Index 7 Controlling Volatility within the Equity Portfolio 17 Accessing Volatility 24 Closing Thoughts Resources Available 49 7

9 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T Challenges for Fixed Income Investing Historic rally in fixed income has left interest rates at or near their all-time lows Challenges for fixed income portfolios going forward Duration risk should rates rise Minimal interest income from traditional CDs and bonds Market linked CDs and Market Linked Notes can provide an alternative to traditional fixed income as future returns can be driven by cross-asset exposure The JPMorgan ETF Efficiente 5 Index is a cross-asset strategy based on exchange traded funds ( ETFs ) which aims to maximize return for a given level of risk Declining Interest Rates % % % % % % USD 5yr Swap Rate 0.00% Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Source: J.P. Morgan. Performance figures relate to the period October through October 31, USD 5yr Swap Rate references Bloomberg Ticker USSW5. Historically Low Bank CD Rates Minimum Initial Deposit Relationship Rates 1 Terms (Months) $1,000-$99,000 $100,000+ Non- Relationship Rates $1,000 or $100, % 0.25% 0.30% 0.30% 0.20% 0.20% % 0.35% 0.40% 0.40% 0.25% 0.25% % 0.40% 0.45% 0.45% 0.30% 0.30% % 0.40% 0.45% 0.45% 0.30% 0.30% % 0.50% 0.55% 0.55% 0.35% 0.35% % 0.50% 0.55% 0.55% 0.35% 0.35% % 1.01% 1.05% 1.06% 0.75% 0.75% % 1.50% 1.54% 1.55% 1.24% 1.25% Source: 1 CD special interest rates and relationship rates are available to customers with a linked Chase personal checking account 8

10 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T Construction: Zero Coupon Bond + ATM Call Option Market Linked CDs and Market Linked Notes Allow clients to participate in some, but not always all, of the underlying s return Cross-asset class platform allows MLCDs and Market Linked Notes to be linked to equities as well as to commodities, currencies, interest rates, hybrid baskets or market indices Participation rates vary depending on current market conditions Example: 5yr MLCD: $1,000 initial investment, 100% principal return at maturity $100 to structure option $900 to structure bond? $1,000 Principal Protected Potential for coupon or higher upside linked to the performance of the underlying Upside can be linked to: Equities Commodities Currencies Interest rates Hybrid baskets Initial investment Investment at maturity The depiction is for illustrative purposes only. 9

11 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T The JPMorgan ETF Efficiente 5 allocation methodology Rotation methodology Every month, the strategy constructs an Efficient Frontier based on the returns, volatilities and correlations of the underlying ETF assets and cash over the previous six months Step 1 On each monthly rebalancing date, ETF Efficiente tests all possible combinations of portfolio weights for an observation period over the previous six months Step 2 For each portfolio, the performance and volatility are computed, and then sorted according to its returns Step 3 ETF Efficiente then selects weightings according to the unique portfolio exhibiting the highest return with an annualized volatility of 5.00% or less ETF Efficiente then allocates according to these weights until the next rebalancing date, and tracks the excess returns of the portfolio above cash The weighting of the assets comprising ETF Efficiente are allowed to vary in steps of 5% and are subject to individual and sector caps to prevent concentration in assets or sectors A historical simulation of the ETF Efficiente strategy shows annualized returns of around 6.77% with average annual volatility of around 5.89% Optimum portfolios and the efficient frontier 5% Target Volatility Source: J.P. Morgan Efficient Portfolio ETF Efficiente 5: Hypothetical and Actual Historical Performance (October 31, 2002 October 31, 2012) ETF Efficiente 5 S&P 500 Index (Price Return) Barclays Aggregate Index (Excess Return) Source: J.P. Morgan. Past performance is no guarantee of future performance. Performance figures relate to the period October 31, 2002 October 31, Barclays Aggregate Index Excess Return represents a hypothetical index constructed from the returns of the Barclays Aggregate Index with the returns of the Cash Index deducted Oct-02 Oct-03 Oct-04 Oct-05 Oct-06 Oct-07 Oct-08 Oct-09 Oct-10 Oct-11 Oct-12 Past performance is no guarantee of future performance. 10

12 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T 5-year CD linked to the JPMorgan ETF Efficiente 5 Index Linked to the performance of the JPMorgan ETF Efficiente 5 Index, 100% principal return, 100% participation Features 100% full repayment of principal at maturity The CD offers 100% uncapped participation in the return of the JPMorgan ETF Efficiente 5 Index The Index offers exposure to five different sectors: Developed Equity, Emerging Markets, Alternative Investments, Bonds and Inflation/Cash The Index rebalances monthly a synthetic portfolio composed of the 13 Basket Constituents (see table below and to the right) and is based on the modern portfolio theory approach to asset allocation, which suggests how a rational investor should allocate his capital in order to maximize returns for a given risk appetite, targeting a volatility of 5.00% ETF Efficiente 5 tracks the excess returns of the Index above cash Considerations The investment strategy used to construct the index involves monthly rebalancing and weighting caps that are applied to the Basket Constituents Correlation of performances among the Index Constituents may reduce the performance of the CD FDIC insured up to applicable limits No interest payments, dividend payments or voting rights The CD will not exactly track the underlying Index prior to maturity Terms Issuer: Tenor: Underlying Index: Index Constituents Sector Cap ETF Constituent Ticker Developed Equity 50% Bonds 50% Asset Cap SPDR S&P 500 ETF Trust SPY 20% ishares Russell 2000 Index Fund IWM 10% ishares MSCI EAFE Index Fund EFA 20% ishares Barclays 20+ Year Treasury Bond Fund ishares IBOXX Investment Grade Corp. Bond Fund ishares IBOXX High Yield Corp. Bond Fund Emerging ishares MSCI Emerging Markets Index Markets Fund 25% ishares JPMorgan USD Emerging Markets Alternatives 25% Bond Fund TLT 20% LQD 20% HYG 20% EEM 20% EMB 20% ishares Dow Jones Real Estate Index Fund IYR 20% ishares S&P GSCI Commodity-Indexed Trust JPMorgan Chase Bank, N.A. 5 years Principal Protection at Maturity: 100% Participation: 100%* The JPMorgan ETF Efficiente 5 Index * The Participation will be determined on the Pricing Date and will not be less than 100%. GSG 10% SPDR Gold Trust GLD 10% Inflation/Cash ishares Barclays TIPS Bond Fund TIP 50% 50% JPMorgan Cash Index USD 3 Month 50% 11

13 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T 6-year Annual Income Contingent Coupon Note linked to the JPMorgan ETF Efficiente 5 Index Linked to the performance of the JPMorgan ETF Efficiente 5 Index, 100% principal return, yrs % contingent coupon Features 100% full repayment of principal at maturity, subject to the credit risk of JPMorgan Chase & Co. The Notes offer a Contingent Interest Payment of 0.75% p.a. for the first five years if the Index closing level on any annual Interest Review Date is greater than or equal to the Initial Index Level. The Notes also offer an Additional Amount paid at maturity of the Index Return x the Participation Rate, provided that the Additional Amount will not be less than zero The Index offers exposure to five different sectors: Developed Equity, Emerging Markets, Alternative Investments, Bonds and Inflation/Cash The Index rebalances monthly a synthetic portfolio composed of the 13 Basket Constituents (see table below and to the right) and is based on the modern portfolio theory approach to asset allocation, which suggests how a rational investor should allocate his capital in order to maximize returns for a given risk appetite, targeting a volatility of 5.00% ETF Efficiente 5 tracks the excess returns of the Index above cash Considerations The investment strategy used to construct the index involves monthly rebalancing and weighting caps that are applied to the Basket Constituents Correlation of performances among the Index Constituents may reduce the performance of the CD No dividend payments or voting rights The Note s payout will not exactly track the underlying Index prior to maturity Terms Issuer: Tenor: Underlying Index: Coupon: Index Constituents Sector Cap ETF Constituent Ticker Asset Cap SPDR S&P 500 ETF Trust SPY 20% Developed Equity ishares Russell 2000 Index Fund IWM 10% 50% ishares MSCI EAFE Index Fund EFA 20% Bonds 50% Emerging Markets 25% Alternatives 25% Inflation/Cash 50% ishares Barclays 20+ Year Treasury Bond Fund TLT 20% ishares IBOXX Investment Grade Corp. Bond Fund LQD 20% ishares IBOXX High Yield Corp. Bond Fund HYG 20% ishares MSCI Emerging Markets Index Fund EEM 20% ishares JPMorgan USD Emerging Markets Bond Fund JPMorgan Chase Bank, N.A. 6 years Contingent Coupon (Yrs 1-5): At least 0.75%* Payment at Maturity: Additional Amount: Participation: 100%* The JPMorgan ETF Efficiente 5 Index Annual for the first five years, as defined to the left $1,000 plus the Additional Amount Index Return x the Participation Rate *The Contingent Coupon and Participation will be determined on the Pricing Date and will not be less than 0.75% p.a. and 100% respectively 12 EMB 20% ishares Dow Jones Real Estate Index Fund IYR 20% ishares S&P GSCI Commodity-Indexed Trust GSG 10% SPDR Gold Trust GLD 10% ishares Barclays TIPS Bond Fund TIP 50% JPMorgan Cash Index USD 3 Month 50%

14 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T Example Allocation: Balanced Model Mutual Fund Model Allocations Integrated Model Allocations Asset Class Allocation Large Cap Domestic Growth 3% Large Cap Domestic Core 10% Large Cap Domestic Value 3% Mid/Small Cap Domestic Blend 8% International 25% Alternatives 12% Fixed Income (intermediate/long term) 20% Fixed Income (short-term) 15% Cash 4% Asset Class Allocation Large Cap Domestic Growth 3% Large Cap Domestic Core 9% Large Cap Domestic Value 3% Mid/Small Cap Domestic Blend 7% International 24% Alternatives 11% Fixed Income (intermediate/long term) 19% Fixed Income (short-term) 15% Efficiente Certificate of Deposit 5% Cash 4% 13

15 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T JPMorgan ETF Efficiente 5 Index Asset Allocation Monthly Asset Allocation U.S. Large Cap Equities U.S. Small Cap Dev ex U.S. Equities U.S. Treasurie s Inv Grade Corp Bonds High Yield Bonds EM. Mkt Equities Em. Mkt Bonds Broad Commo Gold U.S. Real Estate Inflation Cash SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash May 11 15% 10% 5% 5% 10% 10% 45% Jun 11 20% 20% 20% 10% 15% 15% Jul 11 5% 20% 10% 15% 50% Aug 11 20% 20% 10% 50% Sep 11 10% 20% 15% 10% 15% 30% Oct 11 10% 20% 10% 5% 5% 10% 40% Nov 11 15% 20% 5% 5% 10% 5% 40% Dec 11 10% 20% 5% 5% 5% 5% 10% 40% Jan 12 20% 20% 10% 10% 40% Feb 12 20% 20% 10% 10% 15% 25% Mar 12 20% 20% 10% 20% 30% Apr 12 20% 10% 15% 10% 20% 25% May 12 20% 15% 20% 10% 30% 5% Jun 12 20% 20% 20% 20% 20% Jul 12 15% 20% 20% 5% 20% 20% Aug 12 10% 20% 20% 10% 20% 20% Sep 12 10% 20% 15% 15% 20% 20% Oct 12 20% 20% 10% 20% 10% 15% 5% Nov 12 20% 20% 20% 10% 20% 10% Source: JP Morgan. Past performance is no guarantee of future performance. 14

16 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T JPMorgan ETF Efficiente 5 Index Performance J.P. Morgan ETF Efficiente 5 Index (the Index ) Performance Bloomberg EEJPUS5E Index 2004 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index 0.71% 1.61% 1.54% (6.40%) 0.01% 0.05% (0.26%) 1.87% 1.90% 2.12% 0.25% 1.27% 4.45% 2005 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index (1.73%) 2.45% (2.79%) (0.52%) 1.11% 0.92% 1.05% 1.05% (0.08%) (3.08%) 1.22% 1.99% 1.43% 2006 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index 3.33% (0.43%) 0.87% 1.30% (2.25%) (0.31%) 0.58% 0.89% (0.19%) 1.37% 1.67% (0.73%) 6.16% 2007 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index 1.20% (1.12%) (0.52%) 1.34% 0.28% (1.57%) (0.71%) 0.30% 2.85% 2.91% (0.21%) (0.20%) 4.52% 2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index 1.54% 2.23% (1.20%) 0.25% 0.15% 0.54% (1.34%) (0.93%) (2.07%) (6.08%) 3.31% 5.30% 1.26% 2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index (3.29%) (0.97%) 0.89% (0.35%) 2.05% (0.02%) 1.93% 0.46% 2.25% 0.11% 2.70% (1.58%) 4.06% 2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index (0.12%) 0.19% 1.84% 2.08% (2.24%) 0.74% 0.87% 2.92% 1.08% 0.54% (1.94%) 0.56% 6.59% 2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year EEJPUS5E Index (0.15%) 1.76% 0.51% 1.38% (0.95%) (1.26%) 3.89% 3.07% 0.45% 1.44% 0.41% 0.65% 11.63% 2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD EEJPUS5E Index 0.72% 0.28% (0.85%) 1.28% (0.39%) 1.44% 2.65% 0.27% 0.03% (0.16%) 5.34% Hypothetical, historical performance measures: Represents the monthly and full calendar year performance of the Index based on as applicable to the relevant measurement period, the hypothetical back tested daily closing levels from January 5, 2000 through October 22, 2010, and the actual historical performance of the Index based on daily closing levels from October 29, 2010 through October 31, The hypothetical historical values above have not been verified by an independent third party. The back-tested, hypothetical historical results above have inherent limitations. These back-tested results are achieved by means of a retroactive application of a back-tested model designed with the benefit of hindsight. No representation is made that an investment in the notes will or is likely to achieve returns similar to those shown. Alternative modelling techniques or assumptions would produce different hypothetical historical information that might prove to be more appropriate and that might differ significantly from the hypothetical historical information set forth above. Hypothetical back-tested results are neither an indicator nor a guarantee of future returns. Actual results will vary, perhaps materially, from the analysis implied in the hypothetical historical information that forms part of the information contained in the table above. 15

17 F I X E D I N C O M E A L T E R N A T I V E S I N A L O W Y I E L D E N V I R O N M E N T Disclaimer This presentation is for discussion purposes only and is not intended to be an offer to sell or the solicitation of an offer to buy any securities issued by JPMorgan. In the event JPMorgan were to offer structured investments, this presentation will be superseded and replaced in its entirety by a preliminary or final term sheet or pricing supplement, and the documents therein which would be filed with the SEC. In the event of any inconsistency between the information presented herein and any such preliminary or final term sheet or pricing supplement, such preliminary or final term sheet or pricing supplement shall govern. Copyright 2012 JPMorgan Chase & Co. All rights reserved. The presentation was developed, compiled, prepared and arranged by JPMorgan through the expenditure of substantial time, effort and money and constitutes valuable intellectual property and trade secrets of JPMorgan. All right, title, and interest in and to the presentation is vested in JPMorgan and the presentation cannot be used without JPMorgan s prior written consent. Information herein is believed to be reliable but JPMorgan does not warrant its completeness or accuracy. The information contained in this presentation has been distributed to you on a stand alone basis and is not to be combined with, consolidated, incorporated or otherwise used with any other written materials provided by JPMorgan. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product of JPMorgan Research Departments. Structured Investments may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. JPMorgan and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a JPMorgan entity qualified in their home jurisdiction unless governing law permits otherwise. SEC Legend: JPMorgan Chase & 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 & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Web site at Alternatively, JPMorgan Chase & 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 The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. 16

18 J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Agenda J.P. Morgan Structured Investments - Overview 2 Fixed Income Alternatives in a Low Yield Environment 7 Controlling Volatility within the Equity Portfolio Buffered Return Enhanced Notes 17 Accessing Volatility 24 Closing Thoughts Resources Available 49 17

19 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O Use BRENs to reshape and manage risk in portfolios Generally, Buffered Return Enhanced Notes are tailored to articulate a view, which can mean either Lever returns that an investor deems as likely to occur; or Protect against sell-offs an investor deems as possible to occur; or Cap returns an investor deems unlikely to occur Buffered Return Enhanced Note Linked to the S&P 500 Index Components of the Buffered Return Enhanced Note Start with a Zero Coupon Bond with maturity corresponding to the maturity of the note Two at-the-money calls provide 2x upside exposure Selling two out-of-the-money calls caps exposure Selling one out-of-the-money put introduces downside exposure, while protecting 10% of principal at maturity *Hypothetical Example of a BREN linked to the S&P 500 Index, 200% Participation, 10% Buffer, 20.00% Maximum Return 18

20 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O Case Study: Returns of J.P. Morgan BRENs versus a Direct Investment in SPX Annualized returns of BRENs linked to SPX vs. the Index Average Historical Performance of BRENs vs. SPX BRENs SPX Average Annualized Returns % 7.74% Standard Deviation 9.78% 16.52% 1. Average returns and standard deviations above are based on the Note Universe described below Conclusions Graph above represents return of investment at maturity, if held from the issuance date indicated above through to final maturity. Source: Bloomberg, J.P. Morgan. Past performance is no guarantee of future performance. Generally, a laddered investment in the calendar BRENs linked to the S&P 500 would ve resulted comparable returns, with outperformance in bearish and moderately bullish markets. Furthermore, the standard deviation of returns is reduced dramatically, primarily due to the buffer on the downside Note Universe includes the following CUSIPs, representing advisory SPX BREN offerings issued between January 2008 and October 2010: 48123MMH2, 48123MRR5, 48123MRQ7, 48123MXB3, 48123MWZ1, 48123MG22, 48123MW81, 48123M5V0, 48123LDU5, 48123LJR6, 48123LMD3, 48123LRG1, 48123LVK7, 48123LWU4, 48123LYK4, 48123LB60, 48123LH49, 48123LQ80, 48123LU28, 48123LY24, 48123L2T0, 48123L4G6, 48123L6G4, 48123L7J7, 48124AAS6, 48124ACT2, 48124AEG8, 48124AFV4, 48124AJP3, 48124ALK1, 48124APC5, 48124ASS7, 48124AVJ3, 48124AXU6, 48124AC47, 48124AL62 19

21 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O 18-month BREN linked to the S&P 500 Index Linked to the performance of the S&P 500 Index, 10% buffer, 150% participation, [13.0%-17.0%] max return Features If the Ending Index Level is greater than the Initial Index Level, you will receive a cash payment that provides you with a return per $1,000 principal amount note equal to the Index Return multiplied by 1.5, subject to a Maximum Total Return on the notes Your principal is protected against up to a 10.00% decline of the Index at maturity. If the Ending Index Level declines from the Initial Index Level by up to 10.00%, you will receive the principal amount of your notes at maturity If the Ending Index Level declines from the Initial Index Level by more than 10.00%, you will lose 1.00% of the principal amount of your notes for every 1.00% that the Index declines beyond 10.00% Terms Issuer: Tenor: Underlying Indices: Upside Leverage Factor 1.5x Considerations JPMorgan Chase & Co. 18 months S&P 500 Index Maximum Total Return: [13.0%-17.0%]* Buffer 10.0% * The Maximum Total Return will be determined on the Pricing Date and will not be less than 13.0% or greater than 17.0%. BREN return at maturity ($1,000 investment) $1,300 $1,200 $1,100 $1,000 $900 $800 Index Performance Note Payoff at Maturity $700-30% -20% -10% 0% 10% 20% 30% Offers diversified leveraged exposure to equity markets through the S&P 500 Index Reduced downside risk with a 10.00% static buffer at maturity Your investment may result in a loss of up to 90% of your principal Long-term capital gains tax treatment if held longer than one year Return is limited to the principal amount plus the Maximum Total Return, payable at maturity Payment on the notes at maturity is subject to the credit risk of JPMorgan Chase & Co. No interest payments, dividend payments or voting rights The note will not exactly track the underlying Index prior to maturity Note: Graph assumes a maximum return of 13.0% 20

22 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O Building blocks of the J.P. Morgan SI platform Active Management Alpha can be generated from multiple sources including quantitative, fundamental, proprietary and third party managers Passive Strategies (ETFs) ETFs are used to implement tactical allocations or dial down the active risk exposure in parts of your portfolio Structured Products The structures are an additional source of alpha tailored to your investment view, risk tolerance, and diversification goals Integrated Portfolio The result is a recommended equity portfolio that provides an efficient combination of risk and expected return The J.P. Morgan platform provides diversified sources of alpha 21

23 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O Diversified Growth Model Mutual Fund Model Allocations Integrated Model Allocations Asset Class Allocation Large Cap Domestic Growth 10% Large Cap Domestic Blend 6% Large Cap Domestic Value 7% Mid Cap Domestic Growth 5% Mid Cap Domestic Value 5% Small Cap Domestic Growth 3% Small Cap Value 3% Small Cap Foreign / Emerging Markets 2% REIT 6% Alternatives 6% Fixed Income 42% Cash 5% Asset Class Allocation Large Cap Domestic Growth 10% Large Cap Domestic Blend 3% SPX BREN 3% Large Cap Domestic Value 7% Mid Cap Domestic Growth 5% Mid Cap Domestic Value 5% Small Cap Domestic Growth 2.5% Small Cap Value 2.5% Russell 2000 BREN 1.0% Small Cap Foreign / Emerging Markets 1.5% EFA BREN 0.5% OTHER (FI and Alt) 54% Cash 5% 22

24 C O N T R O L L I N G V O L A T I L I T Y W I T H I N T H E E Q U I T Y P O R T F O L I O Disclaimer This presentation is for discussion purposes only and is not intended to be an offer to sell or the solicitation of an offer to buy any securities issued by JPMorgan. In the event JPMorgan were to offer structured investments, this presentation will be superseded and replaced in its entirety by a preliminary or final term sheet or pricing supplement, and the documents therein which would be filed with the SEC. In the event of any inconsistency between the information presented herein and any such preliminary or final term sheet or pricing supplement, such preliminary or final term sheet or pricing supplement shall govern. Copyright 2012 JPMorgan Chase & Co. All rights reserved. The presentation was developed, compiled, prepared and arranged by JPMorgan through the expenditure of substantial time, effort and money and constitutes valuable intellectual property and trade secrets of JPMorgan. All right, title, and interest in and to the presentation is vested in JPMorgan and the presentation cannot be used without JPMorgan s prior written consent. Information herein is believed to be reliable but JPMorgan does not warrant its completeness or accuracy. The information contained in this presentation has been distributed to you on a stand alone basis and is not to be combined with, consolidated, incorporated or otherwise used with any other written materials provided by JPMorgan. IRS Circular 230 Disclosure: JPMorgan Chase & Co. and its affiliates do not provide tax advice. Accordingly, any discussion of U.S. tax matters contained herein (including any attachments) is not intended or written to be used, and cannot be used, in connection with the promotion, marketing or recommendation by anyone unaffiliated with JPMorgan Chase & Co. of any of the matters address herein or for the purpose of avoiding U.S. tax-related penalties. Investment suitability must be determined individually for each investor, and the financial instruments described herein may not be suitable for all investors. The products described herein should generally be held to maturity as early unwinds could result in lower than anticipated returns. This information is not intended to provide and should not be relied upon as providing accounting, legal, regulatory or tax advice. Investors should consult with their own advisors as to these matters. This material is not a product of JPMorgan Research Departments. Structured Investments may involve a high degree of risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. JPMorgan and its affiliates may have positions (long or short), effect transactions or make markets in securities or financial instruments mentioned herein (or options with respect thereto), or provide advice or loans to, or participate in the underwriting or restructuring of the obligations of, issuers mentioned herein. JPMorgan is the marketing name for JPMorgan Chase & Co. and its subsidiaries and affiliates worldwide. J.P. Morgan Securities LLC is a member of FINRA, NYSE and SIPC. Clients should contact their salespersons at, and execute transactions through, a JPMorgan entity qualified in their home jurisdiction unless governing law permits otherwise. SEC Legend: JPMorgan Chase & 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 & Co. has filed with the SEC for more complete information about JPMorgan Chase & Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Web site at Alternatively, JPMorgan Chase & 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 The information contained in this document is for discussion purposes only. Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved. These terms are subject to change, and JPMorgan undertakes no duty to update this information. This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet, disclosure supplement and/or private placement memorandum, and the documents referred to therein. In the event any inconsistency between the information presented herein and any such term sheet, disclosure supplement and/or private placement memorandum, such term sheet, disclosure supplement and/or private placement memorandum shall govern. 23

25 J P M O R G A N S T R U C T U R E D I N V E S T M E N T S Agenda J.P. Morgan Structured Investments - Overview 2 Fixed Income Alternatives in a Low Yield Environment 7 Controlling Volatility within the Equity Portfolio 17 Accessing Volatility The JPMorgan Strategic Volatility Index 24 Closing Thoughts Resources Available 49 24

26 A C C E S S I N G V O L A T I L I T Y Annual Returns and Intra-year Declines of the S&P 500 Index Source: Standard and Poor s, FactSet, J.P. Morgan Asset Management. Returns are based on price index only and do not include dividends. Intra-year drops refers to the largest market drops over periods of 6 months or less. For illustrative purposes only. Data are as of 3/31/12. 25

27 A C C E S S I N G V O L A T I L I T Y Volatility by J.P. Morgan What is volatility? A statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. Why invest in volatility? Considered by most as an asset class, volatility is generally negatively correlated to equity markets. This means that on average, volatility tends to increase when equity markets decrease. In extreme cases, when equity markets crash, volatility will spike. Given this feature, volatility gained increasing popularity among investors as a portfolio hedge or an insurance against sudden equity crashes. What should I think about for my volatility investment? While investing in VIX (CBOE Volatility Index) listed futures, the most common and transparent way to invest in volatility, investors should consider two key elements: reactivity of the investment to volatility, or beta, and the cost of holding such an investment. How should I invest in volatility products? For the past three years, volatility investment solutions have improved significantly to become more transparent and efficient for investors. This presentation will focus on one such investment solution designed and implemented by J.P. Morgan: the J.P. Morgan Strategic Volatility Index. 26

28 A C C E S S I N G V O L A T I L I T Y Volatility as an Asset Class But while most investors care about volatility only when markets go down and their portfolio loses value, volatility works both ways. And smart investors are figuring out ways to smooth out the peaks and valleys. Paul Sullivan, NY Times 8/12/11 Long exposure to volatility could provide increasing levels of portfolio protection exactly when investors most need such protection. The asymmetric profile provided by volatility means that a relatively small allocation of capital can provide meaningful protection. Clifford W. Stanton, CFA Volatility as an Asset Class Market sell-offs typically result in volatility spikes as investors purchase protection via put options Volatility spikes Tend to be large in magnitude Tend to mean-revert over time Negative Correlation between SPX and VIX (Jan 98 July 12) 7/26/11-8/23/11 SPX Return: % Vix Return: % Source: J.P. Morgan. Past performance is not a guide to future performance. VIX Index refers to the performance of CBOE SPX Volatility Index (Bloomberg: VIX Index). SPX Index refers to the performance of S&P 500 Index (Bloomberg: SPX Index). 27

29 A C C E S S I N G V O L A T I L I T Y Distribution of Returns: Fat tail in your favor Historical performance of volatility does exhibit a positively skewed distribution and can significantly improve the risk-return profile of a traditional equity portfolio. VIX distribution (Jan 98 Sep 12) Source: Bloomberg. Past performance is not a guide to future performance. VIX Index refers to the performance of CBOE SPX Volatility Index (Bloomberg: VIX Index). 28

30 A C C E S S I N G V O L A T I L I T Y Accessing Volatility for the Portfolio VIX Index itself is not tradeable 2004: First futures contracts on CBOE listed 2006: Options contracts created for trading 2009: Barclay s Capital launches ETNs that track futures contracts Strategies that rely on rolling futures are influenced significantly by the shape of the futures curve ( backwardation vs. contango ) 2010: JPMorgan creates Strategic Volatility Index (ticker: JPUSSTVL) for dynamic exposure to VIX futures The JPMorgan Strategic Volatility Index implements a short position in VIX futures when the market is stable to offset impact of negative roll yield Equity markets stable/in recovery June 26 th, 2012 VIX Index vs. Barclays VXX ETN: Jan Present VIX Index Barclays VXX ETN Jan-09 Oct-09 Jul-10 Apr-11 Jan-12 Oct-12 Equity markets in distress August, 8 th 2011 Source: J.P. Morgan. Past performance is not a guide to future performance. VIX Index refers to the performance of CBOE SPX Volatility Index (Bloomberg: VIX Index). VXX ETN refers to the performance of the ipaths&p 500 VIX Short-Term Futures ETN (Bloomberg: VXX Equity). 29

31 A C C E S S I N G V O L A T I L I T Y JPMorgan Strategic Volatility Index Simulated Performance Details J.P. Morgan Strategic Volatility Index Simulated Performance Bloomberg JPUSSTVL Index Strategic Volatility Index (lhs) S&P 500 (lhs) normalised to Sep-06 Front end short position (rhs) 5 biggest S&P 1-day drops Date Perf SPX Perf Strat Vol 10/15/2008 (9.03)% 10.69% 12/1/2008 (8.93)% 10.75% 09/29/2008 (8.79)% 12.91% 10/09/2008 (7.62)% 6.74% 11/20/2008 (6.71)% 5.02% 2007 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year JPUSSTVL Index 2.49% (7.47%) (8.54%) 3.30% 2.68% (4.13%) 3.77% 11.89% (8.04%) 5.16% (6.17%) 5.15% (2.28%) SPX Index 1.41% (2.18%) 1.00% 4.33% 3.25% (1.78%) (3.20%) 1.29% 3.58% 1.48% (4.40%) (0.86%) 3.53% 2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year JPUSSTVL Index (5.42%) 1.43% (3.48%) 3.67% 10.41% (8.25%) (9.72%) 5.42% 4.32% 75.78% 19.55% (3.63%) 95.49% SPX Index (6.12%) (3.48%) (0.60%) 4.75% 1.07% (8.60%) (0.99%) 1.22% (9.08%) (16.94%) (7.48%) 0.78% (38.49%) 2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year JPUSSTVL Index (3.47%) 10.25% 4.32% (0.97%) 3.13% 4.59% 7.66% 4.09% 7.14% (1.49%) 9.04% 6.20% 62.43% SPX Index (8.57%) (10.99%) 8.54% 9.39% 5.31% 0.02% 7.41% 3.36% 3.57% (1.98%) 5.74% 1.78% 23.45% 2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year JPUSSTVL Index (0.17%) 4.40% 6.10% (0.46%) 0.98% (11.52%) 10.16% 8.03% 7.50% 5.97% (2.19%) 1.63% 32.55% SPX Index (3.70%) 2.85% 5.88% 1.48% (8.20%) (5.39%) 6.88% (4.74%) 8.76% 3.69% (0.23%) 6.53% 12.78% 2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year JPUSSTVL Index (1.73%) (0.53%) (6.12%) 6.30% 1.08% (4.08%) (10.24%) 34.04% 23.44% (20.11%) 2.67% (2.84%) 11.94% SPX Index 2.26% 3.20% (0.10%) 2.85% (1.35%) (1.83%) (2.15%) (5.68%) (7.18%) 10.77% (0.51%) 0.85% 0.00% 2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD JPUSSTVL Index 5.42% 6.32% 5.54% (1.24%) (5.87%) 7.33% (2.40%) 5.75% (0.91%) (5.58%) 13.97% SPX Index 4.36% 4.06% 3.29% (0.63%) (6.27%) 3.96% 1.26% 1.98% 2.42% (1.98%) 12.29% Source: J.P. Morgan. Past performance is not a guide to future performance. SPX Index refers to the performance of S&P 500 Index (Bloomberg: SPX 30 Index). JPUSSTVL Index refers to the performance of J.P. Morgan Strategic Volatility Index (Bloomberg: JPUSSTVL Index).

32 A C C E S S I N G V O L A T I L I T Y Sample Portfolio Performance Comparison Equity/Bond Portfolio with J. P. Strategic Volatility Index incorporated Hypothetical Portfolio Construction ishares Barclays Aggregate Bond Fund (Ticker: AGG) Weights per Strategy % Bonds 40% Equity 55% Bonds 40% Equity 5% JPM SV 50% Bonds 40% Equity 10% JPM SV 60% Bonds 30% Equity 10% JPM SV (13.60)% (8.97)% (4.35)% (0.20)% 5.99% 12.44% 18.27% 15.96% S&P 500 Index Price Return Equity Index (Ticker: SPX) J.P. Morgan Strategic Volatility Index (Ticker: JPUSSTVL) Portfolios are rebalanced annually % 10.20% 13.69% 12.76% % 4.39% 5.63% 5.89% 2012 YTD 6.31% 9.39% 11.65% 10.71% Ann. Performance 1.22% 5.48% 9.18% 9.38% Ann. Volatility 9.25% 8.85% 10.48% 9.79% Sharpe Ratio % 15% 10% 5% 0% (5%) (10%) (15%) (20%) 60/40 55/40/5 50/40/10 60/30/ /40 55/40/ /40/10 60/30/ Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Source: J.P. Morgan. Past performance is not a guide to future performance. ¹ From January 1, 2008 to October 31,

33 A C C E S S I N G V O L A T I L I T Y Sample Portfolio Performance Comparison Advisors have positioned a note linked to Strategic Volatility within their Large Cap Domestic Equity allocation; e.g., allocating 20% of that sleeve to the Index S&P 500 Index and 80/20 Porftolio: September 2006 March 2012 Interval 2 Interval 1 Interval 3 Scenario Analysis Interval 1 03/03/08-6/02/09 Interval 2 06/02/09-12/01/10 Interval 3 12/01/10-03/01/12 S&P 500 Index % 27.66% 13.93% JPMorgan Strategic Volatility Index % 89.02% 27.13% 80% / 20% Portfolio Return 1.96% 54.84% 20.99% Approx. Alpha 30.19% 27.18% 7.06% S&P 500 Index Volatility 41.68% 18.14% 21.19% S&P 500 Index Sharpe Ratio Portfolio Volatility 21.83% 16.60% 17.76% Portfolio Sharpe Ratio Source: J.P. Morgan. Past performance is not a guide to future performance. SPX Index refers to the performance of S&P 500 Index (Bloomberg: SPX Index). JPUSSTVL Index refers to the performance of J.P. Morgan Strategic Volatility Index (Bloomberg: JPUSSTVL Index). 32

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