Lehman, JPMorgan plan notes linked to Euro Stoxx, S&P 500, Nikkei

By Sheri Kasprzak

New York, July 19 - Lehman Brothers Holdings Inc. and JPMorgan Chase & Co. led structured products news, both announcing plans to price principal-protected notes linked to three indexes - the Dow Jones Euro Stoxx 50, Nikkei 225 and S&P 500 indexes.

JPMorgan alone plans to price two separate notes linked to the three indexes and priced two others on Wednesday. The indexes, according to one market source, comprise one of the most popular structures.

"It's very common," he said. "Probably the most common."

The Lehman notes have a four-year term with the S&P 500 index carrying 33.34% weight, the Stoxx carrying 33.33% weight and the Nikkei 225 carrying 33.33% weight.

The notes pay par plus any positive return on the basket multiplied by the participation rate, which is expected to be between 105% and 115%.

The notes are scheduled to price Aug. 28.

JPMorgan's notes

One of the four JPMorgan notes has a 51/2-year term and pays par plus any positive return on the basket multiplied by a participation that is expected to be at least 152%.

The notes are expected to price Aug. 17.

Another of the notes has a four-year term and pays par at maturity plus any positive return on the basket times a participation rate expected to be at least 123%.

Those notes are also scheduled to price Aug. 17.

On Wednesday, JPMorgan priced $423,000 in zero-coupon principal-protected notes linked to the three indexes.

Those four-year notes pay par at maturity plus 125% of any basket gain. Investors will receive at least par at maturity.

The investment bank also priced $305,000 in zero-coupon principal-protected notes linked to the indexes on Wednesday.

Those four-year notes pay par plus 115% of any basket gain and investors will also receive at least par at maturity.

Index performance

The Dow Jones Euro Stoxx 50 index closed at 4,518 on Wednesday. A month prior, on June 18, the index closed at 4,530.

The Nikkei 225 closed at 18,015.58 on Wednesday and ended at 18,149.52 on June 18.

The S&P 500 index ended at 1,546.17 on Wednesday and at 1,531.05 on June 18.

JPMorgan's currency-linked notes

In other news at JPMorgan, the investment bank priced $768,000 in zero-coupon principal-protected notes linked to a basket that includes equal weights of the Brazilian real, the Indian rupee, the Mexican peso and the new Turkish lira.

The 18-month notes pay par plus 400% of any appreciation on the basket relative to the dollar.

Investors can expect to receive at least par at maturity.

Currency performance

On Thursday afternoon, the dollar/real exchange rate was 1.855 and the dollar/rupee exchange rate was 40.2804.

The dollar/peso rate was 10.7302 and the dollar/Turkish lira rate was 1.7443.

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