JPMorgan plans contingent income autocallable notes linked to Tesoro

By Susanna Moon

Chicago, Feb. 11 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due Feb. 20, 2015 linked to Tesoro Corp. shares, according to an FWP filing with the Securities and Exchange Commission.

If Tesoro stock closes at or above the 65% downside threshold level on a quarterly determination date, the notes will pay a contingent payment of at least 2.5% for that quarter. The exact contingent quarterly coupon will be set at pricing.

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

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock finishes below the downside threshold level, in which case the payout will be a number of Tesoro shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.

J.P. Morgan Securities LLC is the underwriter with Morgan Stanley Smith Barney LLC handling distribution.

The notes will price on Feb. 14.

The Cusip number is 48127E817.

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