JPMorgan plans digital contingent coupon CDs due 2018 on 10 stocks

By Jennifer Chiou

New York, July 3 - JPMorgan Chase Bank, NA plans to price digital contingent coupon certificates of deposit due July 31, 2018 linked to a basket of stocks, according to a term sheet.

The equally weighted basket includes the common stocks of Altria Group, Inc., Clorox Corp., Duke Energy Corp., Goldcorp Inc., Hasbro, Inc., Kellogg Co., Lockheed Martin Corp., Lorillard, Inc., PepsiCo, Inc. and Sysco Corp.

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 15%. The coupon cap is expected to be at least 6% and will be set at pricing.

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

The CDs (Cusip: 48124JFU7) are expected to price on July 26 and settle on July 29.

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

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