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JPMorgan plans contingent income autocallables on S&P GSCI Crude Oil
By Susanna Moon
Chicago, July 23 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Aug. 8, 2016 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of at least 16% if the index closes at or above the barrier level, 80% of the initial level, on the determination date for that quarter.
The notes will be called at par of $10 plus the contingent coupon if the index closes at or above the initial level any determination date other than the final one.
The payout at maturity will be par plus the final contingent coupon unless the index finishes below the 80% trigger level, in which case investors will be fully exposed to any losses.
J.P. Morgan Securities LLC is the agent with distribution through Morgan Stanley Smith Barney LLC.
The notes will price on July 31.
The Cusip number is 48125UTZ5.
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