JPMorgan to price autocallable dual directional notes linked to oil

By Angela McDaniels

Tacoma, Wash., Jan. 24 - JPMorgan Chase & Co. plans to price 0% autocallable dual directional notes due Feb. 28, 2013 linked to the first nearby month futures contract for Brent crude oil, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium if the contract price on any review date is greater than or equal to the initial contract price. The call premium is expected to be 17% per year and will be set at pricing. The review dates are expected to be May 17, 2012, Aug. 17, 2012, Nov. 19, 2012 and Feb. 25, 2013.

A knock-out event occurs if the contract price is less than the initial contract price by more than 35% on any day.

If the notes have not been called and a knock-out event has not occurred, the payout at maturity will be par plus the absolute value of the contract return on the final review date. If a knock-out event has occurred, the payout will be par plus the contract return on the final review date, which will be negative.

The notes (Cusip: 48125VLB4) will price Feb. 17 and settle Feb. 23.

J.P. Morgan Securities LLC is the agent.

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