JPMorgan plans one-year quarterly review notes on WTI crude oil

By Marisa Wong

Madison, Wis., Aug. 6 - JPMorgan Chase & Co. plans to price 0% quarterly review notes due Aug. 20, 2014 linked to a WTI crude oil futures contract, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of at least 14.75% if the futures contract price is greater than or equal to the call level on any quarterly review date. The call level is equal to the initial contract price for the first review date, 95% of the initial price for the second review date, 90% of the initial price for the third review date and 85% of the initial price for the final review date. The exact call premium will be set at pricing.

If the notes are not called, the payout at maturity will be par if the final contract price is at least 80% of the initial contract price. Otherwise, investors will lose 1% for every 1% drop below the initial price.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 9 and settle on Aug. 14.

The Cusip number is 48126D6G9.

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