JPMorgan plans CDs tied to Low Volatility Rate Response Daily RC 7% ER

By Marisa Wong

Morgantown, W.Va., July 13 – JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due July 31, 2023 linked to the S&P 500 Low Volatility Rate Response Daily RC 7% Excess Return index, according to a term sheet.

The index provides notional exposure to the S&P Low Volatility Rate Response index, while targeting an annualized volatility of 7%. The index also reflects, on a daily basis, the deduction of a notional borrowing cost.

The payout at maturity will be par plus 115% to 125% of any index gain, with the exact participation rate to be set at pricing.

If the index falls, the payout will be par.

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

The CDs will price on July 26 and settle on July 29.

The Cusip number is 48125Y5Y6.

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