JPMorgan prices $29.28 million Stoxx, Nikkei review notes; Eksportfinans to bring Swiss franc-denominated notes

By LLuvia Mares

New York, Sept. 18 - JPMorgan Chase & Co.'s handsomely sized $29.28 million issue of 0% lesser index annual review notes grabbed structured products headlines Tuesday.

The notes are due Sept. 27, 2010 and linked to the Dow Jones Euro Stoxx 50 and Nikkei 225 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if both index levels are at least 90% of their initial levels on the first review date and at or above their initial index levels on the second or third annual review dates. The redemption amount will be par plus 19.75% if the notes are called on Sept. 22, 2008, par plus 39.50% if called on Sept. 24, 2009 and par plus 59.25% if called on Sept. 22, 2010.

If the notes are not called, the payout at maturity will be par unless one or both indexes decline by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.

J.P. Morgan Securities Inc. is the agent.

Swiss franc reverse convertible

Eksportfinans ASA announced a rarely seen Swiss franc-denominated issue of 8% mandatory exchangeable notes that will be offered in the United States.

The Swiss franc-denominated notes are due Nov. 29, 2007 and linked to ABB Ltd. common stock, according to a 424B3 filing with the Securities and Exchange Commission.

Interest is payable monthly.

At maturity, if the final share price is equal to or greater than the cap level, the payout will be a number of shares equal to the final share price times the cap level of between 112% and 118%. The exact cap level will be set at pricing.

The notes will price on Sept. 18 and settle on Sept. 25.

Deutsche Bank Securities Inc. is the agent.

Eksportfinans plans basket-linked deal

In other news, Eksportfinans also announced plans to price capped principal-protected notes linked to two indexes and an exchange-traded fund via agent Goldman, Sachs & Co., according to a 424B3 filing with the Securities and Exchange Commission.

The notes are expected to have a tenor of between 18 months and two years.

The basket consists of the S&P 500 index with a 60% weight, the MSCI EAFE index with a 30% weight and the iShares MSCI Emerging Markets index fund with a 10% weight.

The payout at maturity will be equal to par plus any gain on the basket, capped at a maximum return that is expected to be between 8.5% and 12%. The exact cap will be set at pricing.

InterOil deal hits 40.7% coupon

Eksportfinans was all over the place Tuesday after topping the day with the announcement of its pricing of $923,000 of reverse convertible notes due Dec. 19, 2007 linked to the common stock of InterOil Corp. via Natixis Securities North America Inc., according to an FWP filing with the Securities and Exchange Commission.

The three-month notes will pay 10.175% for an annualized rate of 40.7%. Interest is payable monthly.

The payout at maturity will be par unless InterOil stock falls by more than 40% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of InterOil shares equal to $1,000 divided by the initial share price.

Also among significantly sized deals announced Tuesday, Barclays Bank plc priced a $9.41 million issue of 0% buffered return enhanced notes due Sept. 26, 2008 linked to the Dow Jones Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus double any positive return on the index up to a maximum return of 17.50%. Investors will share in any losses beyond 10% at a rate of 1.1111% per 1% drop below 10%.

JPMorgan was the agent.

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