JPMorgan plans contingent coupon CDs on commodities contracts, indexes

By Toni Weeks

San Diego, May 27 - JPMorgan Chase Bank, NA plans to price contingent coupon market-linked certificates of deposit due June 29, 2016 linked to an equally weighted basket of eight commodity futures contracts and two commodity indexes, according to a term sheet.

The basket consists of the futures contracts on silver, corn, copper, cotton, nickel, gasoline, palladium, sugar, the S&P GSCI Brent Crude Oil index - Excess Return and the S&P GSCI Livestock Index - Excess Return.

The notes will pay a coupon each year equal to the sum of the weighted component returns of the basket components, subject to a floor of zero. If a commodity's return is positive, its component return will be set to a fixed return of 10% to 12%. The actual coupon will be set at pricing. If a commodity's return is negative, its component return will be the greater of the commodity return and negative 20%.

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

The CDs (Cusip: 48123YZQ2) are expected to price June 24 and settle June 29.

UnionBanc Investment Services, LLC is the agent.

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