JPMorgan plans digital contingent coupon CDs due 2020 linked to stocks

By Angela McDaniels

Tacoma, Wash., Aug. 7- JPMorgan Chase Bank, NA plans to price digital contingent coupon certificates of deposit due Aug. 31, 2020 linked to a basket of common stocks, according to a term sheet.

The equally weighted basket includes the common stocks of Hewlett-Packard Co., Kinross Gold Corp., Lorillard, Inc., McDonald's Corp., Mead Johnson Nutrition Co., PG&E Corp., Raytheon Co., Time Warner Cable Inc., Verizon Communications Inc. and Walgreen Co.

Interest is payable annually and will equal the sum of the weighted performances of the basket stocks, subject to a minimum coupon of zero.

If a stock's return is greater than or equal to zero, its performance will be equal to the coupon cap. Otherwise, its performance will be equal to the greater of its return and negative 10%. The coupon cap is expected to be at least 8% and will be set at pricing.

The payout at maturity will be par plus the final coupon, if any.

J.P. Morgan Securities LLC is the agent. The fees are expected to be 4.5%.

The CDs are expected to price Aug. 27 and settle Aug. 30.

The Cusip number is 48124JX78.

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