JPMorgan to price contingent income autocallables tied to Baker Hughes

By Marisa Wong

Madison, Wis., Aug. 15 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Aug. 25, 2017 linked to Baker Hughes Inc. shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of at least 8.25% per year if Baker Hughes stock closes at or above the 80% downside threshold level on the determination date for that quarter. The exact coupon will be set at pricing.

If the shares close at or above the applicable redemption level on any quarterly determination date other than the final date, the notes will be called at par plus the contingent coupon. The applicable redemption level will be 105% of the initial share price on the first four determination dates, 110% of the initial price on the next four determination dates and 115% of the initial price on the final three determination dates.

If the notes are not called and Baker Hughes stock finishes at or above the 80% trigger level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will receive a number of shares of Baker Hughes stock equal to $10 divided by the initial share price or, at the issuer’s option, the cash value of those shares.

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

The notes will price on Aug. 22.

The Cusip number is 48127H828.

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