RBC to sell currency-linked notes; Goldman plans Asian FX deal; JPMorgan to price exchangeables

By LLuvia Mares

New York, Jan. 10 - Principal-protected notes linked to currencies are coming into the structured products market stronger than ever, according to one trader.

Among the deals announced Thursday, Royal Bank of Canada said it plans to price zero-coupon 100% principal-protected notes due Jan. 29, 2010 linked to a basket of four currencies.

"Again, this is a very basic structure by RBC. It is principal-protected, which is the way to go right now, and it has a 140% to 165% gain, which is also good. We are seeing a lot of these structures being linked to Asian currencies, which are also popular right now," said a market specialist.

The basket includes equal weights of the Brazilian real, Russian ruble, Indian rupee and Malaysian ringgit, all versus the dollar.

The payout at maturity will be par plus between 140% and 165% of any gain on the basket. Investors will receive at least par.

The notes are expected to price on Jan. 29 and settle on Jan. 31.

RBC Capital Markets Corp. is the underwriter.

Goldman to price notes linked currencies

Also based on foreign exchange, AB Svensk Exportkredit plans to price 18- to 20-month 98% principal-protected bull notes linked to a basket of Asian currencies via underwriter Goldman, Sachs & Co.

The basket contains equal weights of the Chinese renminbi, Indonesian rupiah, Malaysian ringgit, Philippine peso and Singapore dollar, all versus the U.S. dollar.

The payout at maturity will be 98% of par plus the gain in the basket multiplied by 110% to 120% if the basket level rises. Otherwise, investors will receive 98% of par.

JPMorgan to price exchangeables

Elsewhere in the market, JPMorgan Chase & Co. plans to price an issue of reverse exchangeable notes due July 31, 2008 linked to Bank of America Corp.

The six-month notes will pay 6.5% for an annualized rate of 13%. Interest will be payable monthly.

The payout at maturity will be par unless the stock falls by more than the protection amount - 20% of the initial share price - during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Bank of America shares equal to $1,000 divided by the initial share price.

The notes will price on Jan. 28 and settle on Jan. 31.

J.P. Morgan Securities Inc. will be the agent.

Wachovia plans S&P 500 securities

In other news, agent Wachovia Capital Markets, LLC plans to price 0% enhanced growth securities due Aug. 10, 2009 linked to the S&P 500 index for issuer Eksportfinans ASA.

The payout at maturity will be par of $10 plus triple any index gain, capped at a maximum return of $11.70 to $12.00 per note with the exact cap determined at pricing. Investors will be fully exposed to any index decline.

Pricing will occur in January with settlement in February.

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