JPMorgan to price contingent income autocallables tied to gold fund

By Toni Weeks

San Luis Obispo, Calif., Jan. 3 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 15, 2015 linked to the Market Vectors Gold Miners exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of at least 3.0625% if shares of the fund close at or above the 70% downside threshold level on the determination date for that quarter. The exact coupon will be determined at pricing.

If the shares close at or above the initial level on any quarterly determination date other than the final date, the notes will be called at par plus the contingent coupon.

If the fund finishes at or above the 70% trigger level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will share fully in losses from the initial level.

The notes (Cusip: 48127A344) are expected to price Jan. 10 and settle three business days later.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC will handle distribution.

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