JPMorgan to price contingent income autocallables linked to Ford

By Angela McDaniels

Tacoma, Wash., Sept. 3 – JPMorgan Chase & Co. plans to price contingent income autocallable securities with step-up redemption threshold level feature due Sept. 11, 2017 linked to the common stock of Ford Motor Co., according to an FWP filing with the Securities and Exchange Commission.

If Ford shares close at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate that is expected to be at least 8% and will be set at pricing.

The notes will be called at par of $10 plus the contingent coupon if Ford shares close at or above the redemption threshold level on any quarterly determination date other than the final determination date. The redemption threshold level is 105% of the initial share price on determination dates one through four, 110% of the initial share price on determination dates five through eight and 115% of the initial share price on determination dates nine through 11.

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 receive a cash amount equal to the value of a number of Ford shares equal to $10 divided by the initial share price. The issuer has the option to pay Ford shares instead of cash.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Smith Barney LLC.

The notes are expected to price Sept. 5.

The Cusip number is 48127H760.

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