By Angela McDaniels
Tacoma, Wash., Nov. 10 - JPMorgan Chase & Co. sold $11.66 million of 0% daily liquidity notes due Nov. 8, 2013 linked to the J.P. Morgan C.O.P. Commodity index, according to a 424B2 filing with the Securities and Exchange Commission.
The company plans to issue up to $30 million of the notes. The $11.66 million of notes sold at par on Nov. 5, and the remainder will be sold from time to time at prevailing prices.
The payout at maturity will be the indicative note value on Nov. 5, 2013.
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 1% 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 Nov. 10, 2011.
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 Crude Oil 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.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
|
| Issue: | Daily liquidity notes
|
| Underlying index: | J.P. Morgan C.O.P. Commodity index
|
| Amount: | $11,657,000
|
| Maturity: | Nov. 8, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Cash amount equal to indicative note value on Nov. 5, 2013; on any day, indicative note value equals indicative note value on preceding day plus index return minus investor fee of approximately 1% per year
|
| Put option: | At any time, subject to repurchase fee of 0.25%
|
| Call option: | Beginning Nov. 10, 2011
|
| Initial index level: | 503.5834
|
| Pricing date: | Nov. 5
|
| Settlement date: | Nov. 10
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 48124AX36
|
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