JPMorgan plans dual directional autocallables linked to S&P GSCI Crude

By Toni Weeks

San Luis Obispo, Calif., Jan. 20 – JPMorgan Chase & Co. plans to price 0% autocallable dual directional notes due Feb. 26, 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 15% if the index closes at or above the initial level on any of four quarterly call valuation dates.

If the notes have not been called and the final index level is greater than or equal to the barrier level, 64.5% to 68.5% of the initial level, the payout at maturity will be par plus the absolute value of the return. The exact barrier level will be determined at pricing.

If the index finishes below the barrier level, investors will be fully exposed to the index decline.

J.P. Morgan Securities LLC is the agent.

The notes (Cusip: 48127DPY8) are expected to price Jan. 22 and settle Jan. 27.

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