JPMorgan plans bearish notes on US Treasury Note Futures (G) Tracker

By Susanna Moon

Chicago, Oct. 1 - JPMorgan Chase & Co. plans to price 0% bearish notes due Oct. 31, 2016 linked inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the absolute value of any index decline.

If the index gains, the payout will be par.

The Futures Tracker is a notional, dynamic strategy that aims to replicate the returns of maintaining a long position in 10-year U.S. Treasury notes futures contracts. At any given time, the Futures Tracker is composed of a single 10-year Treasury futures contract that is either the contract closest to expiration or the futures contract scheduled to expire immediately following that.

The notes (Cusip 48124AM53) are expected to price on Oct. 26 and settle on Oct. 29.

J.P. Morgan Securities LLC is the agent.

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