JPMorgan plans CDs linked to JPMorgan Optimax Market-Neutral index

By Angela McDaniels

Tacoma, Wash., May 9 – JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due May 31, 2023 linked to the JPMorgan Optimax Market-Neutral index, according to a term sheet.

If the index return is positive, the payout at maturity will be par plus 140% to 155% of the index return. The exact participation rate will be set at pricing. If the index return is flat or negative, the payout will be par.

The index references the value of a synthetic portfolio of 18 commodity constituents, each of which is a sub-index of the S&P GSCI index and is intended to serve as a benchmark value for a particular commodity. The index employs a strategy that is based on modern portfolio theory and momentum theory. The level of the index reflects the deduction of a fee of 0.96% per year that accrues daily.

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

The CDs will price May 25.

The Cusip number is 48125YV92.

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