JPMorgan to price 11% principal-at-risk yield notes linked to S&P GSCI Brent Crude Oil index

By Angela McDaniels

Tacoma, Wash., Dec. 21 - JPMorgan Chase & Co. plans to price 11% principal-at-risk yield notes linked to the S&P GSCI Brent Crude Oil Index Excess Return, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable quarterly.

If the final index level is greater than or equal to 80% of the strike level, the payout at maturity will be par. If the final index level is less than 80% of the strike level, investors will be fully exposed to the decline.

The strike level will be set by the calculation agent at pricing. It may or may not be the regular official weekday closing level of the index on the pricing date.

The notes are expected to price and settle in December.

J.P. Morgan Securities LLC is the agent.

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