JPMorgan plans contingent income autocallables linked to Valero Energy

By Angela McDaniels

Tacoma, Wash., April 3 - JPMorgan Chase & Co. plans to price contingent income autocallable securities due April 16, 2015 linked to the common stock of Valero Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

If Valero shares close 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 that quarter at an annualized rate of at least 12%. The exact rate will be set at pricing.

The notes will be called at par of $10 plus the contingent coupon if Valero shares close at or above the initial share price on any quarterly determination date other than the final determination date.

If the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final share price is less than the initial share price or, at the issuer's option, receive a number of Valero shares equal to $10 divided by the initial share price.

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

The notes are expected to price April 11.

The Cusip number is 48127E361.

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