Merrill prices $59 million securities linked to Euro Stoxx 50

New York, Nov. 8 - In structured products news, Merrill Lynch & Co., Inc. priced $59 million of 0% Strategic Accelerated Redemption Securities due Nov. 9, 2009 linked to the Dow Jones Euro Stoxx 50 index.

The index is one of the major market measures, "so this would be a perfectly logical choice," commented Tim Mortimer, managing director at Future Value Consultants. "Other than that you've got the accelerated structure which is probably the most popular upside product in structures."

The notes will be called at a premium of 11.2% per year if the closing level of the index is greater than its starting value on any of three observation dates. The observation dates will be Nov. 10, 2008, May 8, 2008 and Nov. 2, 2009.

The call amount is par of $10 plus 11.2% on the first observation date, par plus 16.8% on the second observation date and par plus 22.4% on the third observation date.

If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial level. Otherwise, investors will lose 1% for each 1% decline in the index beyond 10%.

The securities will be listed on the American Stock Exchange under the symbol "DJL."

Merrill Lynch & Co. is the underwriter.

Merrill sells Russell notes

Merrill Lynch also priced a $33.5 million issue of 0% Accelerated Return Bear Market Notes due Jan. 21, 2009 linked to the Russell 3000 index.

"This one is interesting because the Russell 3000 is another index different to the main indices which are used quiet frequently," said Mortimer. "Obviously people think that stocks in that index are vulnerable, perhaps to the credit situation or other circumstances. With the bear market the index would have to go down 9% in 14 months for you to get the full return."

Payout at maturity will be par plus three times the absolute value of any decrease on the index. The return will be capped at $12.655 per $10.00 note. If the index increases by 10% or less, payout will be par. Investors will lose 1% for every 1% the index increases beyond 10%.

The notes have been approved for listing on the American Stock Exchange under the symbol "BJW."

Merrill Lynch & Co. is the underwriter.

Barclays to price reverse convertibles linked to Marathon

With the recent climb in oil prices, Mortimer said there is a possibility that the market maybe seeing more products linked to the commodity.

"Perhaps we might see more products linked to oil," he said. "Oil prices have climbed so much lately that perhaps it is going to have a temporary retreat, which might affect actually them."

Although not directly linked to crude, in a deal related to the sector, Barclays Bank plc plans to price 11.25% reverse convertible notes due Nov. 28, 2008 linked to the common stock of Marathon Oil Corp.

Interest will be payable monthly.

The payout at maturity will be par unless Marathon Oil stock falls by more than 30% during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Marathon Oil shares equal to $1,000 divided by the initial share price or, at Barclays' option, the equivalent cash amount.

The notes will price on Nov. 27 and settle on Nov. 30.

Barclays Capital Inc. will be the agent.

Morgan Stanley to sell notes linked to commodities

Morgan Stanley plans to price 0% commodity-linked capital-protected notes due June 26, 2009 linked to a basket of three commodity indexes and crude oil.

"This one is linked to Baltic which is quite rare and more difficult than the other commodity instruments are," said Mortimer. "It's quite unusual so it's good to have that in there. Agriculture has been less traded and less popular than metals and oils - it's a nice spread of commodities."

The underlying basket consists of equal weights (25%) of the Baltic Dry Index, the S&P GSCI Agriculture Index - Excess Return, S&P GCSI Industrial Metals Index - Excess Return and West Texas Intermediate light sweet crude oil.

The payout at maturity will be par plus the basket performance. If the basket declines, investors will receive par.

The notes are expected to price and settle in November.

Morgan Stanley & Co. will be the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.