JPMorgan plans autocallable contingent interest notes tied to Facebook

By Toni Weeks

San Luis Obispo, Calif., April 7 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due April 27, 2016 linked to the common stock of Facebook, Inc., according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of 13.25% if Facebook shares close at or above the trigger level, 80% of the initial share price, on the review date for that quarter.

The notes will be automatically called at par plus the contingent coupon if Facebook shares close at or above the initial share price on any review date other than the final review dates.

If the notes are not called and the final share price is greater than or equal to the 80% trigger level, the payout at maturity will be par plus the final coupon. If the final share price is less than the trigger level, investors will lose 1% for each 1% that the final share price is less than the initial share price.

The final share price will be the average of the closing prices on the five trading days ending April 22, 2016.

The notes (Cusip: 48125UMZ2) are expected to price April 10 and settle April 15.

J.P. Morgan Securities LLC is the agent.

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