JPMorgan to price contingent buffered digital notes on WTI crude oil

By Marisa Wong

Madison, Wis., July 29 – JPMorgan Chase & Co. plans to price 0% contingent buffered digital notes due Aug. 20, 2015 linked to the WTI crude oil futures contract, according to an FWP filing with the Securities and Exchange Commission.

If the futures contract price finishes at or above the initial price, the payout at maturity will be par plus the digital return of at least 17.25%. The exact digital return will be set at pricing.

If the futures contract price falls by up to 15%, the payout will be par.

Otherwise, investors will share fully in losses.

The final price will be the average of the contract prices on the five trading days ending Aug. 17, 2015.

J.P. Morgan Securities LLC is the agent.

The notes will price on Aug. 1 and settle on Aug. 6.

The Cusip number is 48126N7G6.

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