JPMorgan plans contingent interest autocallables linked to oil index

By Angela McDaniels

Tacoma, Wash., Jan. 30 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Feb. 9, 2018 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 12% if the index closes at or above the trigger level, 70% of the initial index level, on the review date for that quarter. The exact contingent coupon rate will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if the index closes at or above the initial index level on any review date other than the final review date.

If the final index level is greater than or equal to the trigger level, the payout at maturity will be par plus the final contingent interest payment. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Feb. 6 and settle Feb. 11. Jan. 29 was the strike date.

The Cusip number is 48127DQF8.

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