JPMorgan to price contingent income autocallable notes tied to Valero

By Tali Rackner

Norfolk, Va., Dec. 21 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 6, 2017 linked to the common stock of Valero Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annual rate of at least 12% if Valero closes at or above its downside threshold level, 75% of its initial level, on the observation date for that quarter. The exact rate will be set at pricing.

The notes will be called at par of $10 if Valero stock closes at or above its initial price on any contingent payment date other than the final one.

The payout at maturity will be par plus the contingent coupon unless Valero finishes below its downside threshold level, in which case investors will be fully exposed to the decline.

J.P. Morgan Securities LLC is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes are expected to price Dec. 30.

The Cusip number is 48128A731.

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