JPMorgan plans contingent income autocallables on S&P GSCI Crude Oil

By Toni Weeks

San Luis Obispo, Calif., May 8 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Nov. 20, 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 pay a contingent monthly coupon of at least 1.41667% if the index closes at or above the downside threshold level, 80% of the initial level, on the determination date for that month.

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 downside threshold level, in which case investors will be fully exposed to any losses.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

The notes will price on May 15.

The Cusip number is 48125UEC2.

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