JPMorgan plans autocallable contingent interest notes on Citigroup

By Marisa Wong

Madison, Wis., May 1 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 22, 2013 linked to the common stock of Citigroup Inc., according to an FWP filing with the Securities and Exchange Commission.

If the stock closes at or above the interest barrier - 75% of the initial share price - on any quarterly review date, the notes will pay a coupon that quarter at an annualized rate of 16.6%. Otherwise, no coupon will be paid for that quarter.

If the stock closes at or above the initial share price on any review date other than the final review date, the notes will be called at par plus the coupon.

If the notes have not been called and the stock finishes at or above the trigger level - 75% of the initial share price - the payout at maturity will be par plus the coupon.

Otherwise, investors will be fully exposed to losses.

The notes (Cusip: 48125VXH8) are expected to price May 4 and settle May 9.

J.P. Morgan Securities LLC is the agent.

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