SG plans commodity-linked notes; Credit Suisse to price notes linked to currency basket

By Sheri Kasprzak

New York, April 18 - Commodities continued to show up in the structured products market on Wednesday as a recent SG Structured Products Inc. offering of five-year Heavy Metal Plus Booster notes got insiders talking.

The notes are linked to equal weights of crude oil, copper, nickel, zinc and aluminum.

"Everyone's been eyeing metals lately," said one market source familiar with commodities. "Gold has been rising, silver too. Some of the heavy metals are doing pretty well. I don't know how long that will last. I think for the short term we'll continue to see more metal-linked deals."

Even so, copper prices fell 5.55 cents on Wednesday to close at $3.6235 per pound. The price of crude oil, however, climbed 3 cents to close at $63.13 per barrel.

35% boost

Under the terms of the heavy metal booster notes, if the basket return is greater than or equal to zero, the payout is par plus the basket performance, with a minimum of par plus 35%.

If the basket performance is less than zero but greater than the negative 35% trigger level, the payout will be par plus the basket performance plus the booster percentage.

Payout is par if the performance is less than or equal to the trigger level.

Credit Suisse's Asian currency notes

Elsewhere in the structured products market, Credit Suisse USA Inc. also sparked conversation in the marketplace on Wednesday with its 100% principal protected 2¾ year notes linked to a basket of Asian currencies.

"Emerging markets-related notes are always going to be out there but, frankly, I think they're dying off a bit in terms of frequency," said one market source at a distributor.

"I don't think it necessarily means there's anything wrong with emerging markets deals. I just think investor interest changes, moves on to other things. You can't always be in the mood for steak. Sometimes you want chicken."

Even so, the basket includes equal weights of the Philippine peso/U.S. dollar spot rate, the Indonesian rupiah/U.S. dollar spot rate, the Malaysian ringgit/U.S. dollar spot rate, the Indian rupee/U.S. dollar exchange rate and the Korean won/U.S. dollar spot rate.

If the final basket level is equal to or greater than the initial basket level, investors will receive the product of par multiplied by 300% of the basket return. Investors will receive at least par at maturity.

JPMorgan's index-linked notes

In other news, JPMorgan Chase & Co. priced $26.995 million in lesser index annual review notes linked to the Nikkei 225 and the Euro Stoxx 50 indexes.

The notes will be automatically called at increasing premiums if the index levels for both indexes are at or above their respective call levels on any of three annual review dates.

On the first review date, the call level for each index will be 90% of its initial level. On the second and third review dates, the call levels will be equal to their respective initial levels.

The redemption amount will be par plus 15.5% if the notes are called on April 21, 2008; par plus 31% if called on April 21, 2009; and par plus 46.5% if called on April 21, 2010.

Payout at maturity will be par if neither index has declined by more than 10%. Investors will receive par plus the product of par, 1.1111% and the sum of the lesser of the returns on the two indexes and 10% if one of the indexes has declined by more than 10%.

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