JPMorgan plans contingent income autocallables linked to Mobileye

By Marisa Wong

Madison, Wis., April 24 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due May 5, 2016 linked to Mobileye NV shares, according to an FWP with the Securities and Exchange Commission.

Each quarter, holders will receive a contingent payment of at least 3.4375% if Mobileye shares close at or above the downside threshold level, 70% of the initial share price, on the determination date for that quarter.

The notes will be called at par of $10 plus the contingent coupon if Mobileye shares close at or above the initial share price on any quarterly determination date other than the final one.

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 or, at the issuer’s option, receive a number of Mobileye shares equal to $10 divided by the initial share price.

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

The notes will price on May 1.

The Cusip number is 48127T319.

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