JPMorgan plans principal-at-risk notes tied to Dow Jones-UBS Commodity

By Angela McDaniels

Tacoma, Wash., Dec. 23 - JPMorgan Chase & Co. plans to price principal-at-risk notes due Jan. 12, 2012 linked to the Dow Jones - UBS Commodity Index Total Return, according to an FWP filing with the Securities and Exchange Commission.

The interest rate is Libor minus a spread of zero to 20 basis points that will be set at pricing. The rate will be reset quarterly, and interest will be paid at maturity.

The notes are putable at any time, and they will be automatically called if the index declines by 15% or more.

The payout at maturity or upon redemption will be par plus triple the sum of the index return minus a fee of 1% per year and minus the T-Bill return.

The T-Bill Return will be a rate calculated by compounding the T-Bill rate on each calendar day during the life of the notes. The T-Bill rate will be the three-month weekly auction high discount rate for Treasury bills.

The notes (Cusip 48124A6E2) are expected to price Dec. 31 and settle Jan. 5.

J.P. Morgan Securities LLC is the agent.

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