By Susanna Moon
Chicago, March 17 – JPMorgan Chase & Co. priced $3 million of 0% dual directional trigger Performance Leveraged Upside Securities due May 3, 2017 linked to the Market Vectors Gold Miners exchange-traded fund, according to an FWP with the Securities and Exchange Commission.
If the fund finishes above its initial level, the payout at maturity will be par of $10 plus any double any fund gain, up to a maximum return of 25.85%.
If the fund falls by up to 25%, the payout will be par plus the absolute value of the return.
Otherwise, investors will be fully exposed to any losses if the fund finishes below the 75% trigger level.
J.P. Morgan Securities LLC is the agent.
| Issuer: | JPMorgan Chase & Co.
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| Issue: | Dual directional trigger Performance Leveraged Upside Securities
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| Underlying fund: | Market Vectors Gold Miners ETF
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| Amount: | $3 million
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| Maturity: | May 3, 2017
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If fund gains, par plus 200% of return, capped at 25.85%; if shares fall by 25% or less, par plus absolute value of return; otherwise, full exposure to losses if fund drops below trigger
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| Initial level: | $19.53
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| Trigger level: | $14.6475, 75% of initial index level
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| Pricing date: | March 15
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| Settlement date: | March 18
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 1.75%
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| Cusip: | 48128B861
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