US Wrap: RBC moots real estate rebound

Royal Bank of Canada has launched an accelerated growth note linking to the iShares Dow Jones US Real Estate Index. The bullish trade offers 300% participation in the index over only six months, up to a cap of 39%. It does not incorporate any downside protection.

Deutsche Bank also followed up its recent stock-linked note with two more variations on the theme. The notes link to the same collection of 15 stocks (US commodity and energy sector equities) in either a one year or two year version. The participation rate is set at 300%, with no downside protection. The cap on the two year product is set at 53%, which is 7% lower than the same version of the product that priced in late May.

Accelerated growth was undoubtedly the structure of choice yesterday, as only one of 11 products was not a growth product. Aside from the usual S&P 500-linked investments, JP Morgan offered a note which gives exposure to the iShares MSCI Emerging Markets Index Fund.

Issuer	Product type	Underlying(s)	Pricing date	Maturity date
JP Morgan	Accelerated Growth	S&P 500	Jun 25 2009	Dec 31 2010
JP Morgan	Accelerated Growth	iShares MSCI Emerging Markets Index Fund	Jun 25 2009	Jun 30 2011
JP Morgan	Accelerated Growth	S&P 500	Jun 05 2009	Jun 08 2012
Deutsche Bank	Accelerated Growth	Apache Corp, Archer-Daniels-Midland, Barrick Gold Corp, Cliffs Natural Resources, Companhia Vale Do Rio Doce, El Paso Corp, Freeport-McMoRan Copper & Gold, Monsanto, Newmont Mining Corp, Noble Energy, Occidental Petroleum Corp, Petróleo Brasileiro, Potash Corp of Saskatchewan, Sociedad Quimica Y Minera De Chile, XTO Energy	Jun 05 2009	Jun 09 2011
Deutsche Bank	Accelerated Growth	(as above)	Jun 05 2009	Jun 23 2010
Credit Suisse	Accelerated Growth	S&P 500	Jun 05 2009	Jun 23 2010
Citi	Accelerated Growth	S&P 500	Jun-09	Jun-11
ABN Amro	Reverse Convertible	Corning	Jun 03 2009	Dec 08 2009
UBS	Accelerated Growth	S&P 500	Jun 25 2009	Dec 27 2010
Royal Bank of Canada	Accelerated Growth	iShares Dow Jones US Real Estate Index	May 29 2009	Jan 04 2010
JP Morgan	Accelerated Growth	iShares MSCI Emerging Markets Index Fund	Jun 25 2009	Jul 30 2010

Source: Future Value Consultants & SEC filings

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