JPMorgan Chase plans bear notes linked to S&P 500; Barclays to price currency-linked bear notes

By Sheri Kasprzak

New York, July 11 - JPMorgan Chase & Co. led structured products news on Wednesday with word that it plans to price zero-coupon notes linked to the S&P 500 index.

"Obviously, they expect the [S&P 500] index to decline," said one market insider. "I haven't had a chance to look at the historical numbers in depth but I don't think the index is likely to rise more than the buffer."

The S&P 500 index has jumped around a lot over the past month. A month ago, on June 11, the index was trading under 1,500. The index climbed in the middle part of June only to drop below 1,500 again in late June.

On Wednesday, the index gained 8.64 to end at 1,518.76, only a 0.57% gain on the day.

Quadruple leverage

The notes pay four times any decline in the S&P 500 index. There is a maximum total return of 49%.

The principal is protected up to a 10% appreciation in the index, assuming a knock-out event has not occurred. A knock-out event will occur if, on any day during the life of the 13-month notes, that index appreciates by more than the 10% knock buffer.

If a knock-out even occurs, the investors will lose 1% for every 1% beyond 10% the index appreciates.

Barclays to price bear notes

Elsewhere, Barclays Bank plc intends to price principal-protected bear notes linked to a basket of currencies.

The basket includes equal weights of the U.S. dollar/Chinese yuan exchange rate, the U.S. dollar/Indonesian rupiah exchange rate, the U.S. dollar/Japanese yen exchange rate and the U.S. dollar/Malaysian ringgit exchange rate.

Assuming the ending basket level is greater than or equal to 0%, the investors will receive par plus the principal amount times the participation rate - expected to be between 195% and 222% - times the basket performance.

If the basket level at maturity is less than 0%, investors receive par at maturity.

Eksportfinans's Turkish lira notes

In other structured products news, Eksportfinans ASA announced plans to price zero-coupon bull market notes linked to a long position in the Turkish lira versus equal weights of the U.S. dollar and the euro.

The one-year notes pay, at maturity, par times 98% plus the initial Turkish lira/U.S. dollar value times the initial index value minus the final index value divided by the final Turkish lira/U.S. dollar value.

The final index level equals the 0.5 times the final Turkish lira/euro value divided by the initial Turkish lira/euro value.

The notes are being sold through Goldman Sachs Group.

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