JPMorgan plans contingent income autocallables linked to Apple

By Susanna Moon

Chicago, Aug. 17 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due Sept. 5, 2013 linked to Apple Inc. shares, according to an FWP with the Securities and Exchange Commission.

If Apple stock closes at or above the 80% downside threshold level on a quarterly determination date, investors will receive a contingent payment of 3.125% to 3.875% that quarter. The exact contingent payment will be set at pricing.

If the stock closes at or above the initial share price on any of the first three quarterly determination dates, the notes will be 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.

Otherwise, the payout will be a number of Apple shares equal to $10.00 divided by the initial share price or, at the issuer's option, the cash equivalent.

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

The notes will price on Aug. 30 and settle three business days later in September.

The Cusip number is 46637G322.

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