JPMorgan plans to price review notes tied to S&P GSCI Crude Oil index

By Marisa Wong

Madison, Wis., Nov. 14 – JPMorgan Chase & Co. plans to price 0% review notes due Dec. 17, 2015 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 be automatically called at par plus a call premium if the index closes at or above the initial index level on any review date. The call premium is 4.1875% if the notes are called on Feb. 17, 8.375% if called on May 14, 2015, 12.5625% if called on Aug. 14, 2015 and 16.75% if called on Dec. 14, 2015.

If the notes are not called and the final index level is at least 80% of the initial level, the payout at maturity will be par plus the absolute value of the index return. Otherwise, investors will lose 1% for every 1% that the index declines from the initial level.

J.P. Morgan Securities LLC is the agent.

The notes will price on or around Nov. 14 and settle on or around Nov. 19.

The Cusip number is 48127DPD4.

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