JPMorgan plans capped semiannual contingent coupon CDs tied to S&P 500

By Angela McDaniels

Tacoma, Wash., March 4 - JPMorgan Chase Bank, NA plans to price capped semiannual contingent coupon certificates of deposit due March 31, 2016 linked to the S&P 500 index, according to a term sheet.

Interest is payable semiannually and is linked to the semiannual periodic performance of the S&P 500 in excess of the accrued periodic shortfall, subject to a minimum coupon of zero. The return of the index will be subject to a floor of negative 15% and a cap of 5%.

The accrued periodic shortfall is initially zero. On each subsequent coupon observation date, it will be the accrued periodic shortfall for the preceding observation date minus the index return, subject to the cap, for the current observation date. The accrued periodic shortfall will be reset to zero on any observation date that corresponds with a positive coupon payment.

The payout at maturity will be par.

The CDs are expected to price March 26 and settle March 31.

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

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