JPMorgan plans daily liquidity notes on JPM C.P.P. Commodity index

By Jennifer Chiou

New York, June 21 - JPMorgan Chase & Co. plans to price 0% daily liquidity notes due June 26, 2014 linked to the J.P. Morgan C.P.P. Commodity index, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be the indicative note value on June 23, 2014.

The indicative value of each note will equal $1,000 on the pricing date. On each subsequent trading day, it will equal the indicative note value on the preceding day multiplied by the index factor, minus the investor fee.

The index factor will equal the index closing level on that day divided by the index closing level on the preceding day.

On any trading day, the investor fee will equal 0.75% of the indicative note value on the preceding day multiplied by the quotient of the number of calendar days from the preceding trading day to the current trading day divided by 360.

The notes are putable at any time, subject to a repurchase fee of 0.25%. They are callable on a daily basis beginning on June 23, 2012.

The index is intended to capture the return of a notional basket of three index components - the S&P GSCI Copper Excess Return index, the S&P GSCI Palladium Excess Return index and the S&P GSCI Platinum Excess Return index - as well as the return of synthetic exposure to three-month U.S. Treasury bills.

The notes (Cusip: 48125XWL6) are expected to price on June 23 and settle eon June 28.

J.P. Morgan Securities LLC is the agent.

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