JPMorgan plans daily liquidity notes linked to Contag Beta Alternate

By Jennifer Chiou

New York, June 21 - JPMorgan Chase & Co. plans to price 0% daily liquidity notes due July 13, 2016 linked to the J.P. Morgan Contag Beta Alternate Benchmark Class A Total Return index, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be the indicative note value on July 8, 2016.

The indicative value of each note will be $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 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 0.85% 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. They are callable on a daily basis beginning on June 29, 2012.

The index is intended to capture the return of the synthetic exposure to a notional basket consisting of 19 commodities. For each commodity, the selection methodology selects the futures contract with the highest level of backwardation or, in the absence of backwardation, the least amount of contango.

Backwardation refers to the situation where the futures contracts for a commodity with a delivery month farther ahead in time have lower contract prices than futures contracts for the same commodity with a delivery month closer in time. Contango refers to the opposite situation.

The notes (Cusip: 48125XUU8) are expected to price on July 8 and settle on July 13.

J.P. Morgan Securities LLC is the agent.

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