JPMorgan to price CDs linked to TargetTracker: European Equities 20/8

By Angela McDaniels

Tacoma, Wash., June 8 – JPMorgan Chase Bank, NA plans to price 0% certificates of deposit due June 30, 2022 linked to the J.P. Morgan TargetTracker: European Equities 20/8 (EUR) index, according to a term sheet.

The index is designed to track the performance of a synthetic investment portfolio consisting of the Euro Stoxx 50 index and a cash component earning or incurring, as the case may be, interest at a blended rate, while seeking to maintain an annualized volatility target level of 20%, subject to a return cap of 8% and a maximum exposure to the Euro Stoxx 50 of 200%. The blended rate is a composite rate of interest determined based on the three-month and two-month Euribor rates that is intended to approximate the overnight rate of return of a notional position in a three-month time deposit in the euro.

The payout at maturity will be par plus at least 100% of the index return, subject to a minimum payout of par. The exact participation rate will be set at pricing.

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

The CDs are expected to price June 25 and settle June 30.

The Cusip number is 48125YGK4.

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