JPMorgan to price autocallable buffered return enhanced notes linked to Brent crude oil

By Angela McDaniels

Tacoma, Wash., Nov. 2 - JPMorgan Chase & Co. plans to price 0% autocallable buffered return enhanced notes due Nov. 15, 2012 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 if the contract price on any review date is greater than or equal to 95% of the initial contract price. The review dates are Feb. 6, 2012, May 4, 2012 and Aug. 6, 2012. Holders will receive par plus a call premium of at least 4% if the notes are called on the first call date, at least 8% if called on the second call date and at least 12% if called on the third call date.

If the notes are not called and the final contract price is at least 95% of the initial contract price, the payout at maturity will be par plus at least three times the sum of the contract return plus 5%. Investors will receive par if the contract price declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The exact call premium and upside leverage factor will be set at pricing.

The notes (Cusip: 48125VCA6) are expected to price Nov. 4 and settle Nov. 9.

J.P. Morgan Securities Inc. is the agent.

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