JPMorgan plans interest range CDs linked to AMD; Lehman prices notes linked to currencies, indexes

By Sheri Kasprzak

New York, June 15 - JPMorgan Chase Bank, NA's recently announced contingent interest range certificates of deposit linked to the stock of Advanced Micro Devices, Inc. is an "interesting" deal, according to one market insider.

Tim Mortimer, managing director of Future Value Consultants, said Friday that the barrier isn't very high.

"That leaves you about three bad days of trading," he said. "You slip past the barrier once and that's it."

The investors in the nine-month CDs will forgo their coupon if AMD's stock appreciates by more than 17% or depreciates by more than 17% at any time.

If the stock stays within the parameters, the investors will receive the contingent interest rate of at least 25%, equal to at least 33.33% per year.

The CD is expected to price on June 22 with Incapital as the distributor.

Stock performance

AMD's stock has traded between $13.63 - on June 6 - and $14.31 on June 1. In May, the stock traded in a range between $13.18 on May 8 and $15.59 on May 18.

On Friday, the semiconductor company's stock gave up 15 cents, or 1.09%, to end at $13.63 (NYSE: AMD).

Lehman's currencies/index notes

In other structured products news, Lehman Brothers Holdings Inc. priced $10.287 million in zero-coupon principal-protected notes linked to two components - a group of indexes and a group of currencies.

The index component includes the Dow Jones Euro Stoxx 50 index with 35.42% weight, the FTSE 100 index with 33.97% weight, the Nikkei 225 index with 21.42% weight and the S&P/ASX 200 index with 9.19% weight.

The currency component includes the euro with 35.42% weight, the British pound sterling with 33.97% weight, the Japanese yen with 21.42% weight and the Australian dollar with 9.19% weight.

"It is a bit of an interesting structure," noted one market source not connected to the deal. "I think it's clever that they included both the indexes and currencies from each country. Of course, [Stoxx] is the heaviest there. It is interesting that the FTSE is the second-heaviest component. That's a pretty good observation. The FTSE has, historically, been weighted a bit lighter."

In early May, Bear Stearns Cos. Inc. priced notes linked to a global index basket that included just 10% weighting of the FTSE 100. Even so, a heavy weighting on the FTSE 100 in a basket is not unheard of. In February, The Goldman Sachs Group, Inc. priced $36.523 million in notes with a 30% weight of the FTSE 100. The only index in the basket with more weight was Stoxx with a 34% weight.

Deal terms

Assuming the basket return is greater than 0%, the investors, at maturity, will receive par times the basket return times the participation rate of 139%.

If the basket return is equal to or less than 0%, investors receive par at maturity.

Index performance

The beginning level for the Stoxx is 4,401.68. The index gained 65.96 on Friday to close at 4,551.00. A month before, on May 15, the index closed at 4,445.

The beginning index level for the FTSE 100 is 6,559.60. The index closed up 82.50 on Friday to end at 6,732.40 and a month prior closed at 6,568.60.

The Nikkei 225 index's starting level in the basket is 17,732.77. On Friday, the index jumped 129.20 to close at 17,971.49. On May 15, the index closed at 17,512.98.

The S&P/ASX 200 index's beginning level in the basket is 6,180.70. The index closed at 6,293.79 on Friday. The month before, the index close at 6,291.19.

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