JPMorgan plans autocallable contingent interest notes linked to Ford

By Toni Weeks

San Luis Obispo, Calif., Feb. 18 – JPMorgan Chase & Co. plans to price autocallable contingent interest notes due March 9, 2016 linked to the common stock of Ford Motor Co., according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a 2.525% coupon (equivalent to 10.1% per year) if Ford shares close at or above the barrier price on the review date for that quarter. The barrier price is 80% of the initial share price.

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

If the notes have not been called and the final share price is greater than or equal to the barrier price, the payout at maturity will be par plus the coupon. If the final share price is less than the barrier price, investors will be exposed to the decline from the initial share price.

The final stock price will be the average of the closing share prices on five averaging dates ending March 3, 2016.

The notes (Cusip: 48125UFJ6) are expected to price Feb. 20 and settle Feb. 25.

J.P. Morgan Securities LLC is the agent.

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