JPMorgan to price contingent interest autocallables on Citigroup

By Toni Weeks

San Diego, Dec. 10 - JPMorgan Chase & Co. plans to price autocallable contingent interest notes due Jan. 2, 2014 linked to the common stock of Citigroup Inc., according to an FWP filing with the Securities and Exchange Commission.

If Citigroup shares close at or above the trigger level, 80% of the initial share price, on a quarterly review date, the notes will pay a 4.2625% coupon that quarter, which is equivalent to 17.05% per year. If Citigroup shares close below the trigger level, no coupon will be paid that quarter.

If Citigroup shares close at or above the initial share price on any of the review dates other than the final review date, the notes will be automatically called at par plus 4.2625%.

If the notes have not been called and the final share price is greater than or equal to the trigger level, the payout at maturity will be par plus 4.2625%. If the final share price is less than the trigger level, investors will be exposed to the decline of Citigroup shares from the initial share price.

The notes are expected to price Dec. 14 and settle Dec. 19.

J.P. Morgan Securities LLC is the agent.

The Cusip number is 48126DPJ2.

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