JPMorgan plans autocallable contingent interest notes linked to Citigroup

By Susanna Moon

Chicago, Nov. 6 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Nov. 27, 2013 linked to Citigroup Inc. shares, according to an FWP filing with the Securities and Exchange Commission.

If Citigroup stock closes at or above the 80% trigger level on a quarterly review date, the notes will pay a coupon that quarter at an annualized rate of 18.05%.

If the shares close 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 Citigroup stock finishes at or above the trigger level, the payout at maturity will be par plus the coupon.

Otherwise, investors will be fully exposed to any losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on Nov. 9 and settle on Nov. 15.

The Cusip number is 48126DHE2.

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