JPMorgan plans contingent income autocallable notes tied to Ford

By Jennifer Chiou

New York, Oct. 30 - JPMorgan Chase & Co. plans to price contingent income autocallable securities with step-up redemption threshold due Nov. 4, 2016 linked to shares of Ford Motor Co., according to an FWP with the Securities and Exchange Commission.

If Ford stock closes at or above the redemption threshold level on a quarterly determination date, the notes will pay a contingent payment of at least 2.6% for that quarter. The exact contingent quarterly coupon will be set at pricing.

The redemption threshold level will be 105% of the initial price for the first four determination dates, 110% of the initial price for the next four determination dates and 115% of the initial price for the final four determination dates.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the 80% downside threshold level, in which case the payout will be a number of Ford shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.

The notes (Cusip: 48127A609) are expected to price on Nov. 1.

J.P. Morgan Securities, LLC is the agent with distribution through Morgan Stanley Smith Barney LLC.

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