JPMorgan to price CDs linked to JPMorgan Optimax Market-Neutral index

By Angela McDaniels

Tacoma, Wash., Sept. 2 - JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due March 28, 2014 linked to the JPMorgan Optimax Market-Neutral index, according to a term sheet.

The payout at maturity will be par plus at least 110% of any index gain, with the exact participation rate to be set at pricing. Investors will receive at least par.

The index references the value of a synthetic portfolio of 18 commodity constituents, each of which is a sub-index of the S&P GSCI index and is intended to serve as a benchmark value for a particular commodity. The index is rebalanced monthly to reset the aggregate weighting of the constituents to zero and applies certain volatility and diversification constraints. After accounting for these factors, the index will generally take long synthetic positions in the constituents with positive estimated future returns and short synthetic positions in the constituents with negative estimated future returns.

The CDs are expected to price Sept. 25 and settle Sept. 30.

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

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