JPMorgan to price autocallable CDs tied to JPMorgan Efficiente Plus DS

By Toni Weeks

San Luis Obispo, Calif., July 13 – JPMorgan Chase Bank, NA plans to price autocallable certificates of deposit with step-up call value due July 29, 2022 linked to the J.P. Morgan Efficiente Plus DS 5 Index (Net ER), according to a term sheet.

If the index closes at or above the call value on any annual review date after two years, the CDs will be called at par plus a call premium that is expected to be at least 8.5% per year and will be set at pricing. The first review date is July 26, 2017.

The call value will be 108% of the initial index level on the first review date, 112% of the initial level on the second review date, 116% of the initial level on the third review date, 120% of the initial level on the fourth review date and 124% of the initial level on the final review date.

If the notes are not called, the payout at maturity will be par plus the index return, subject to a minimum payout of par.

The index is a notional dynamic basket that tracks the excess return of a portfolio of 19 exchange-traded funds and one exchange-traded note, in each case with distributions notionally reinvested, and the JPMorgan Cash Index USD 3 Month over the return of the cash index less a fee of 0.85% per annum that accrues daily, while targeting a specific volatility on a daily basis.

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

The CDs will price July 28 and settle July 31.

The Cusip number is 48125YKJ2.

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