JPMorgan plans contingent income autocallables linked to S&P GSCI Brent Crude Oil index

By Jennifer Chiou

New York, Dec. 17 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Dec. 31, 2015 linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment at a rate of at least 15% per year if the index closes at or above the 85% downside threshold level on the determination date for that quarter.

If the index closes at or above the redemption threshold level, which is 95% of 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 notes are not called and the index finishes at or above the 85% downside threshold level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will share in any losses.

The notes (Cusip: 48127D3T3) will price on Dec. 19.

J.P. Morgan Securities LLC is the agent with Morgan Stanley Smith Barney LLC as distributor.

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