JPMorgan plans daily liquidity notes linked to S&P GSCI Platinum

By Jennifer Chiou

New York, May 13 - JPMorgan Chase & Co. plans to price 0% daily liquidity notes due May 22, 2014 linked to the S&P GSCI Platinum Index Total Return, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be the indicative note value on May 19, 2014, the final valuation date.

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

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

On any trading day, the investor fee equals 0.5% 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 the investor fee. They are callable beginning on May 20, 2012.

The notes (Cusip: 48125XQX7) will price on May 17 and settle on May 20.

J.P. Morgan Securities LLC is the agent.

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