JPMorgan plans contingent income autocallables linked to Facebook

By Tali Rackner

Norfolk, Va., Oct. 5 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Oct. 17, 2016 linked to the common stock of Facebook, Inc., according to an FWP filing with the Securities and Exchange Commission.

If Facebook shares close at or above the downside threshold level, 75% of the initial level, on any quarterly determination date, the notes will pay a contingent payment that quarter of at least 3.5625%. The exact rate will be set at pricing.

The notes will be called at par plus the contingent coupon if Facebook shares close at or above the initial stock price on any quarterly determination date other than the final determination date.

If the final share price 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 share price is less than the initial share price.

J.P. Morgan Securities LLC is the agent. Morgan Stanley Smith Barney LLC is handling distribution.

The notes are expected to price on Oct. 9.

The Cusip number is 48127Y664.

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