JPMorgan plans contingent income autocallables linked to Las Vegas Sands

By Angela McDaniels

Tacoma, Wash., July 17 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due Aug. 5, 2014 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, 75% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment of 2.5875% to 3.0875% for that quarter. The amount is equivalent to 10.35% to 12.35% per year. 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 of $10 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. Otherwise, the payout will be a number of Las Vegas Sands shares equal to $10 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.

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

The notes are expected to price July 31 and settle Aug. 5.

The Cusip number is 48124B121.

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