JPMorgan plans contingent income autocallables linked to Chevron

By Marisa Wong

Madison, Wis., Jan. 14 – JPMorgan Chase & Co. plans to price contingent income autocallable securities due Jan. 26, 2018 linked to Chevron Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of at least 2.5625% if the stock closes at or above its 80% downside threshold level on the observation date for that quarter.

The notes will be redeemed at par of $10 plus the contingent payment if the stock closes at or above the initial price on any determination date other than the final date.

The payout at maturity will be par plus the final coupon unless the stock finishes below its 80% downside threshold level, in which case investors will receive a number of Chevron shares equal to $10 divided by the initial price or, at the issuer’s option, the cash value of those shares.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price on Jan. 23.

The Cusip number is 48127R842.

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