JPMorgan plans leveraged contingent coupon CDs linked to 10 stocks

By Angela McDaniels

Tacoma, Wash., Aug. 2 - JPMorgan Chase Bank, NA plans to price leveraged and capped contingent coupon certificates of deposit due Aug. 31, 2016 linked to a basket of common stocks, according to a term sheet.

The equally weighted basket includes Amazon.com, Inc., Barrick Gold Corp., General Mills, Inc., Merck & Co., Inc., Molson Coors Brewing Co., Qualcomm Inc., Reynolds American Inc., Schlumberger NV, Wells Fargo & Co. and Whole Foods Market, Inc.

Interest will be payable annually and will equal the sum of the weighted returns of the basket stocks times a leverage factor, subject to a floor of zero and a maximum interest rate.

The leverage factor will be one on the first coupon determination date, two on the second date, three on the third date, four on the fourth date, five on the fifth date and six on the sixth and final determination date.

The maximum interest rate for each period will be at least 4% multiplied by the leverage factor for that period.

The return of each basket stock will be subject to a performance cap of at least 4% and a floor of negative 35%. The exact cap will be set at pricing.

The payout at maturity will be par.

The CDs (Cusip: 48123YNR3) are expected to price Aug. 24 and settle Aug. 31.

J.P. Morgan Securities Inc. is the agent. Incapital LLC is the distributor.

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