JPMorgan plans dual directional buffered review notes on oil index

By Marisa Wong

Morgantown, W.Va., Aug. 10 – JPMorgan Chase & Co. plans to price 0% dual directional buffered review notes due Aug. 30, 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 at least 15.25% per year if the index closes at or above its initial level on any quarterly review date.

If the notes are not called and the final index level is less than the initial index level by up to 30%, the payout at maturity will be par plus the absolute value of the index return. Otherwise, investors will be fully exposed to the index’s decline from its initial level.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Aug. 21 and settle on Aug. 26.

The Cusip number is 48125UL34.

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