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JPMorgan plans contingent income autocallables on S&P GSCI Crude Oil
By Marisa Wong
Morgantown, W.Va., Sept. 28 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Oct. 4, 2018 linked to the S&P GSCI Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.
If the index closes at or above the downside threshold level, 55% of the initial level, on a quarterly determination date, the notes will pay a contingent payment that quarter of at least 2%. 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 the initial level on any quarterly determination date other than the final determination date.
If the final 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 level is less than the initial level.
J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.
The notes are expected to price Sept. 30.
The Cusip number is 48125UY97.
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