JPMorgan plans contingent income autocallables on Hewlett-Packard

By Jennifer Chiou

New York, Nov. 13 – JPMorgan Chase & Co. plans to price contingent income autocallable securities with step-up redemption threshold level feature due Nov. 27, 2017 linked to Hewlett-Packard Co. shares, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at a rate of at least 9.4% per year if Hewlett-Packard 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 threshold level on any quarterly determination date other than the final date, the notes will be called at par plus the contingent coupon. The redemption threshold level will be 105% for the first four determination dates, stepping up to 110% for the next four determination dates and to 115% for the final three determination dates.

If the notes are not called and Hewlett-Packard 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 Hewlett-Packard stock equal to $10 divided by the initial share price or, at the issuer’s option, the cash value of those shares.

The notes (Cusip: 48127P721) are expected to price Nov. 21.

J.P. Morgan Securities LLC is the agent with Morgan Stanley Wealth Management as dealer.

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