JPMorgan Chase, Credit Suisse separately sell notes tied to Asian indexes on investor demand

By Sheri Kasprzak

New York, June 16 - Asian currencies and indexes seemed to be extremely popular Tuesday with JPMorgan Chase & Co. and Credit Suisse pricing notes linked to Asian indexes, currencies or both.

"There has been some interest in Asian indexes [and currencies]," noted one market source reached during the day.

"It's a safe way to invest in these indexes. You don't have to sit there and follow every movement of a foreign index."

Leading the action was JPMorgan Chase, which priced $9.918 million in return enhanced notes linked to a basket of indexes, including the Hang Seng China Enterprises index, the Hang Seng index, the Korea Stock Price Index 200, the MSCI Singapore index and the MSCI Taiwan index.

The one-year zero-coupon notes pay three times the appreciation of the basket, up to a maximum return of 29.25% at maturity.

Investors are exposed to any losses on the indexes. They will lose 1.1111% of their principal for every 1% decline in the basket.

Credit Suisse's Asian notes

In other similar offerings, Credit Suisse priced $21.98 million of its previously announced offering of buffered return enhanced notes linked to a basket of Asian indexes and currencies.

The basket includes the Hang Seng China Enterprises index, the Kospi 200 index, the MSCI Taiwan index, the Hang Seng index and the MSCI Singapore index, as well as related Asian currencies, including the Hong Kong dollar, Korean won, Taiwan dollar and Singapore dollar.

The notes weight the indexes and the corresponding currency together. The Hang Seng China Enterprises index and the Hong Kong dollar comprise 34% weighting in the basket. The Kospi 200 and the Korean won comprise 21%, the MSCI Taiwan index and the Taiwan dollar comprise 22% and the Hang Seng index and the Hong Kong dollar comprise 15%. The MSCI Singapore and the Singapore dollar comprise 8%.

The notes pay out twice the appreciation of the basket of indexes multiplied by the performance of their respective currencies relative to the U.S. dollar, up to a 21% maximum return. If the basket declines by more than 10%, the investors will lose 1.1111% of their investment for every 1% the basket declines by more than the 0.9 buffer.

Goldman sells $12.5 million currency notes

Elsewhere, Goldman Sachs Group Inc. priced $12.499 million in currency-linked notes, according to a prospectus filed with the Securities and Exchange Commission.

The notes are linked to a basket of currencies that includes the Australian dollar, the Brazilian real and the Norwegian krone, all against the U.S. dollar.

The one-year zero-coupon notes pay par plus the product of the principal amount times the basket return times the 1.05 upside participation factor, assuming the basket return is positive. Should the basket return be negative or zero, but not below minus 10%, investors receive par. If the basket return is below minus 10%, the investors will receive par plus the product of the principal amount times 1.1111 times the sum of the basket return and 10%.

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