AIM (FAA) says:
c.
The initial communication, and if considered necessary, any subsequent transmissions by an aircraft in distress should begin with the signal MAYDAY, preferably repeated three times. The signal PAN−PAN should be used in the same manner for an urgency condition.
d.
Distress communications have absolute priority over all other communications, and the word MAYDAY commands radio silence on the frequency in use. Urgency communications have priority over all other communications except distress, and the word PAN−PAN warns other stations not to interfere with urgency transmissions.