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JPMorgan plans bearish CDs tied to US Treasury Note Futures (G) Tracker
By Angela McDaniels
Tacoma, Wash., May 6 - JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 31, 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 May 25 and settle May 28.
J.P. Morgan Securities Inc. is the agent.
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