JPMorgan plans to price review notes linked to Brent crude oil futures

By Susanna Moon

Chicago, Oct. 24 - JPMorgan Chase & Co. plans to price 0% review notes due April 30, 2013 linked to the Brent crude oil futures contract, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of at least 6.1% if the price of Brent crude oil closes at or above the initial index level on any review date.

If the notes are not called, the payout at maturity will be par if the final Brent crude oil price is at least 80% of the initial level.

If the price of Brent crude oil falls below the knockout level, investors will be fully exposed to any losses.

J.P. Morgan Securities LLC is the agent.

The notes will price on Oct. 26 and settle on Oct. 31.

The Cusip number is 48126DCB3.

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