JPMorgan plans contingent income autocallables tied to Las Vegas Sands

By Angela McDaniels

Tacoma, Wash., June 19 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due June 27, 2013 linked to the common stock of Las Vegas Sands Corp., according to an FWP filing with the Securities and Exchange Commission.

If Las Vegas Sands stock closes at or above the downside threshold level - 70% of the initial share price - on a quarterly determination date, investors will receive a contingent payment of $0.5375 to $0.6375 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The exact contingent payment will be set at pricing.

If the closing share price is greater than or equal to the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of Las Vegas Sands shares equal to $10.00 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.

The notes are expected to price June 22 and settle three business days later.

J.P. Morgan Securities LLC is the agent. Distribution will be through Morgan Stanley Smith Barney LLC.

The Cusip number is 48126E503.

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