JPMorgan offers Russell 1000 Growth, Russell 1000 Value notes; Deutsche prices UBS Seasonal securities

By LLuvia Mares

New York, Oct. 1 - JPMorgan Chase & Co. turned heads in the structured products sector Monday with its announcement of planned buffered return enhanced notes linked to the Russell 1000 Growth and Russell 1000 Value indexes.

The bank plans to price zero-coupon buffered return enhanced notes due Nov. 30, 2012 linked to a basket consisting of the Russell 1000 Growth index with a 70% weight and the Russell 1000 Value index with a 30% weight.

The offering was announced in an FWP filing with the Securities and Exchange Commission.

If the final basket level is at least the initial level, the payout at maturity will be par plus any gain on the basket times an upside leverage factor. The leverage factor will be set at pricing and is expected to be at least 107.5%

If the basket loses up to 5%, the payout will be par. Investors will lose 1% for each 1% that the basket drops beyond 5%.

The notes are expected to price on Nov. 19.

J.P. Morgan Securities Inc. will be the agent for the offering.

Deutsche to price UBS Seasonal Exposure notes

Deutsche Bank AG, London Branch plans to price an issue of 0% performance tracking securities due Oct. 31, 2012 linked to the UBS Seasonal Exposure Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The index is designed to take advantage of the historical seasonal return pattern of the Dow Jones Industrial Average Total Return index. It provides two-to-one leveraged exposure to the Dow Jones Industrial Average Total Return during the seven-month period from October through April and 0% exposure to that index during the rest of the year.

For each $10 principal amount of securities, the redemption amount will be $9.875 times the index performance minus a fee amount. The fee amount will accrue daily and will be equal to 1.4% divided by 365 times $9.875 times the index performance.

The notes will be automatically redeemed early if the redemption amount falls below 15% of par.

If the notes are not redeemed early, investors will receive the redemption amount at maturity.

Pricing is expected to occur on Oct. 26 and settlement on Oct. 31.

UBS Financial Services Inc. and Deutsche Bank Securities are the underwriters.

Deutsche Bank plans PHLX Housing bear issue

Deutsche Bank also plans to price zero-coupon bearish autocallable optimization securities with contingent protection linked to the PHLX Housing Sector index due Oct. 23, 2008, according to an FWP filing with the Securities and Exchange Commission.

The securities will be called at a return of between 34% and 38% if the index closes at or below the initial index level on Jan. 22, 2008, April 21, 2008, July 21, 2008 or Oct. 20, 2008. The exact rate will be set at pricing.

If the securities are not called, the payout at maturity will be par of $10 unless the index closes above the trigger level of 140% of the initial level during the life of the securities, in which case the payout will be equal to par minus the index gain.

The notes are expected to price on Oct. 15 and settle on Oct. 18.

UBS Financial Services Inc. and Deutsche Bank Securities Inc. are the agents.

Deutsche prices $1.8 million barrier return notes

Using an unusual structure, Deutsche Bank AG, London Branch priced $1.8 million of zero-coupon 100% principal-protected barrier return notes due March 31, 2009 linked to the S&P 500 and Russell 2000 indexes, according to a 424B2 filing with the Securities and Exchange Commission.

If neither index closes above its upper barrier level or below its lower barrier level during the life of the notes, the payout at maturity will be par plus 25%. If either index closes outside its barrier levels, the payout will be par.

The upper and lower barrier levels are 20% above and 25% below each index's initial level, respectively.

Deutsche Bank Securities Inc. is the agent.

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