JPMorgan bringing notes linked to Libor, Sifma Municipal Swap; RBC to sell notes linked to currencies

By LLuvia Mares

New York, Jan. 17 - JPMorgan Chase & Co. announced it will price range accrual notes due Jan. 30, 2038 linked to Libor and the Sifma Municipal Swap index.

Until July 30, 2008, interest will be 9.3%.

After that, for each interest period, the interest rate will be Libor plus 625 basis points multiplied by the proportion of days on which the interest condition is met.

The interest condition will be met either if the reference percentage, equal to the ratio of the Sifma Municipal Swap index to Libor, is no more than 73% or if the average level of Libor is no more than 3%.

The interest rate is capped at the lesser of 17% and 1.9 times the sum of Libor and 0.7%. There is a floor of par. Any interest over this figure is carried forward to be potentially paid in future periods, if the cap is not exceeded.

The payout at maturity will be par plus accrued interest.

The notes were expected to price on Thursday but terms were not immediately available.

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

RBC to sell notes linked to oil currencies

Royal Bank of Canada announced plans to price an issue of zero-coupon principal-protected notes due Jan. 29, 2010 linked to a basket of currencies from six crude oil-rich countries.

The basket includes the Saudi riyal, the Canadian dollar, the Russian ruble, the Mexican peso and the Brazilian real, each with a 16.6666% weight, and the Norwegian krone with a 16.6667% weight, all versus the U.S. dollar.

The payout at maturity will be par plus any gain on the basket times a participation rate that will be between 125% and 150%. The exact rate will be set at pricing.

Investors will receive at least par.

The notes are expected to price on Jan. 29 and settle on Jan. 31.

RBC Capital Markets Corp. is the underwriter.

Deutsche Bank to price BUyS

In other news, Deutsche Bank AG, London Branch plans to price 0% Buffered Underlying Securities (BUyS) with limited loss due Jan. 31, 2011 linked to the Deutsche Bank Balanced Currency Harvest index.

The payout at maturity will be par plus any index gain multiplied by a participation rate that is expected to be 100% to 115%. The exact rate will be set at pricing.

Investors will receive par if the index declines by 10% or less and will lose 1% for each 1% decline beyond 10%, subject to a minimum payout of $800 for each $1,000 principal amount of securities.

The securities are expected to price on Jan. 25 and settle on Jan. 29.

Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas will be the agents.

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