JPMorgan plans autocallable contingent interest notes on three stocks

By Marisa Wong

Madison, Wis., May 17 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due May 26, 2015 linked to the least performing of the common stocks of Caterpillar Inc., Citigroup Inc. and Occidental Petroleum Corp., according to an FWP filing with the Securities and Exchange Commission.

If each stock closes at or above the 70% trigger price on a quarterly review date, the notes will pay a coupon at an annualized rate of 13.4% for that quarter.

If each stock closes at or above its respective 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 each stock finishes at or above its trigger price, the payout at maturity will be par plus the coupon. Otherwise, investors will receive a number of shares of the least performing stock equal to $1,000 divided by that stock's initial price or, at the issuer's election, the cash value of those shares.

J.P. Morgan Securities LLC is the agent.

The notes will price on May 20 and settle on May 23.

The Cusip number is 48126NAN7.

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