JPMorgan plans contingent income autocallable notes linked to Mosaic

By Susanna Moon

Chicago, Feb. 28 - JPMorgan Chase & Co. plans to price contingent income autocallable securities with step-up redemption threshold level due March 10, 2017 linked to Mosaic Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If Mosaic stock closes at or above the 80% barrier level on a quarterly review date, the notes will pay a contingent payment of at least 2.3125% for that quarter.

If the stock closes at or above the redemption level on any determination date other than the final determination date, the notes will be redeemed at par of $10 plus the contingent payment.

The redemption level will be 105% of the initial stock price for the first four determination dates, stepping up to 110% of the initial stock price for the next four determination dates and to 115% of the initial stock price for the final three determination dates.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the barrier level, in which case the payout will be a number of Mosaic shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.

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

The notes will price on March 7.

The Cusip number is 48127E585.

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