JPMorgan plans contingent income autocallables on Bank of America

By Marisa Wong

Madison, Wis., Dec. 4 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Dec. 8, 2017 linked to Bank of America Corp. 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% per year if Bank of America stock closes at or above the 80% downside threshold level on the determination date for that quarter.

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% of the initial stock price for the first four determination dates, stepping up to 110% of the initial price for the next four determination dates and to 115% of the initial price for the final three determination dates.

If the notes are not called and Bank of America stock finishes at or above the 80% downside threshold level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will receive a number of shares of Bank of America 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 are expected to price on Dec. 5.

The Cusip number is 48127P564.

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