JPMorgan to sell bearish CDs on JPMorgan US Treasury Note Futures

By Susanna Moon

Chicago, Feb. 2 - JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due Feb. 29, 2016 linked inversely to the J.P. Morgan US Treasury Note Futures (G) Tracker, according to a term sheet.

The payout at maturity will be par plus at least 100% of the absolute value of any index decline, subject to a minimum return of 6%. The exact participation rate will be set at pricing.

If the index return is positive, the payout will be par plus 6%.

The 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.

The CDs are expected to price on Feb. 23 and settle on Feb. 26.

J.P. Morgan Securities Inc. is the agent.

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