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

By Angela McDaniels

Tacoma, Wash., May 18 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Nov. 27, 2015 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent payment at an annualized rate of at least 12.75% if the index closes at or above the downside threshold level, 80% of the initial index level, on the determination date for that month. The exact rate will be set at pricing.

The notes will be called at par plus the contingent coupon if the index closes at or above its initial level on any determination date other than the final determination date.

If the final index level is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes are expected to price May 22.

The Cusip number is 48125UST0.

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