JPMorgan plans contingent coupon CDs linked to 10-commodity basket

By Toni Weeks

San Diego, July 6 - JPMorgan Chase Bank, NA plans to price contingent coupon certificates of deposit due July 29, 2016 linked to an equally weighted basket of four commodities and six commodity futures contracts, according to a term sheet.

The basket consists of Brent crude oil, RBOB gasoline, silver, platinum, copper, nickel, corn, soybeans, sugar and cotton.

The notes will pay a coupon each year equal to the sum of the weighted returns of the basket commodities, subject to a floor of zero. Each commodity return will be subject to a cap of 10% to 12% and a floor of negative 20%. The exact minimum coupon and cap will be set at pricing.

The payout at maturity will be par plus the final coupon, if any.

The CDs (Cusip: 48123YH25) are expected to price July 26 and settle July 29.

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

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