US Wrap: Easter money is on US equity alongside rare commodity note

There were 15 new issues in the US market over the Easter period, with all but one offering exposure to US equity. New launches since last Thursday included a mix of reverse convertibles and accelerated growth or kick out structures linked to the S&P 500. Two more robust looking financial stocks, JP Morgan and Wells Fargo, formed the basis for two notes, paying annualised coupons of around 15% each. Higher coupons are on offer from non-financial corporations. A six-month note linked to the mining company Freeport-McMoran, for example, will earn the investor an annualised coupon of 20%. JP Morgan has structured a three-month note linked to the reference stock of Alcoa, the aluminium producer, which pays 22% (annualised).

The only product to buck the trend was a commodity-linked note issued by Morgan Stanley, the first seen in public placement this year. It lasts 18 months and pays 140% participation in the index up to a cap of between 46-52% (the exact level to be determined on the pricing date). As with most products now being issued in the low-rate environment, it offers no downside protection. The launch of such a product may be a sign that investor wariness over volatile commodity markets is easing up. While the index has lost 46% over the past 12 months, it has only lost 3% by comparison so far this year.

Issuer	Product type	Underlying	Pricing date	Maturity date
J P Morgan Chase & Co	Reverse Convertible	Microsoft	Apr 27 2009	Apr 30 2010
J P Morgan Chase & Co	Reverse Convertible	Walt Disney Co	Apr 27 2009	Apr 30 2010
J P Morgan Chase & Co	Reverse Convertible	Caterpillar	Apr 27 2009	Apr 30 2010
J P Morgan Chase & Co	Reverse Convertible	Wells Fargo	Apr 27 2009	Oct 30 2009
J P Morgan Chase & Co	Reverse Convertible	GoldCorp	Apr 27 2009	Oct 30 2009
J P Morgan Chase & Co	Reverse Convertible	Freeport	Apr 27 2009	Oct 30 2009
ABN AMRO Holding N V	Reverse Convertible	JP Morgan	Apr 27 2009	Jul 31 2009
J P Morgan Chase & Co	Reverse Convertible	Alcoa	Apr 27 2009	Jul 31 2009
Morgan Stanley	Accelerated Growth	DJ AIG Commodity Index	Apr-09	Oct-10
Barclays Bank Plc	Accelerated Growth	S&P 500	Apr 24 2009	May 27 2010
ABN Amro Holding NV	Review	S&P 500	Apr 28 2009	Oct 29 2010
Royal Bank of Canada	Accelerated Growth	S&P 500	Apr 24 2009	Apr 29 2013
Goldman Sachs	Accelerated Growth	S&P 500	Apr 06 2009	Jul 20 2010
Barclays Bank PLC	Accelerated Growth	S&P 500	Apr 08 2009	Jan 09 2012
J P Morgan Chase & Co	Accelerated Growth	S&P 500	Apr 08 2009	Jul 03 2012

Source: Future Value Consultants & SEC filings

For access to analysis of the US structured product market, visit www.structurededge.com