JPMorgan plans dual directional buffered review notes on S&P GSCI Crude

By Susanna Moon

Chicago, Nov. 25 – JPMorgan Chase & Co. plans to price 0% dual directional buffered review notes due Jan. 4, 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 be called at par plus an annualized call premium of at least 17% if the index closes at or above the initial level on any review date. The exact call premium will be set at pricing.

If the notes are not called and the index falls by up to the contingent buffer of 20%, the payout at maturity will be par plus the absolute value of the return.

If the index finishes below the 80% barrier level, investors will be fully exposed to any losses.

J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the placement agents.

The notes will price on Nov. 26 and settle on Dec. 2.

The Cusip number is 48127DPK8.

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