Goldman prices $23.205 million basket-linked notes, $13.482 million in Turkish lira notes

By Sheri Kasprzak

New York, July 18 - Goldman Sachs led structured products news on Wednesday after pricing two offerings - one linked to a basket of three indexes and one linked to the Turkish lira versus the U.S. dollar and the euro.

Goldman priced $23.205 million in notes linked to the Dow Jones Euro Stoxx 50 with a 47% weight, the FTSE 100 with a 47% weight and the Swiss Market with a 12% weight.

Payout at maturity will be equal to any gain multiplied by a participation rate of 150%. The investors will receive par at maturity for losses in the basket up to 20% and will lose 1.25% of their principal for every 1% drop beyond 20%.

Goldman prices notes for Eksportfinans

Elsewhere, Goldman Sachs & Co. priced its previously announced offering of 98% principal-protected bull market notes linked to the Turkish lira relative to the U.S. dollar and the euro for $13.482 million. The offering was priced on behalf of Eksportfinans ASA.

"The initial value of both the lira against the dollar and euro is taken as the forward rate, where the market is predicting where it's going to be in one year with the final rate being the actual rate," Tim Mortimer, managing director of Future Value Consultants, said recently about the offering, which was announced last week.

"Normally, it's the stock value today and the stock value in one year."

The notes are linked to equal weights of the lira/U.S. dollar rate and the lira/euro rate. At maturity, the investors will receive 98% of par plus the product of any basket return and the performance across the life of the notes.

Earlier offerings

Goldman previously priced a $73.847 million offering of zero-coupon 98% principal-protected bull notes linked to the Turkish lira versus the U.S. dollar and euro in May.

On May 15, Goldman priced a $59.738 million in the notes and then priced a $14.109 million add-on to the issue on May 25.

On those notes, the payout at maturity will be 98% of par plus the product of the absolute value of any negative basket return and the initial dollar/lira exchange rate divided by the final dollar/lira exchange rate. There is a floor of 98% of par and if the Turkish lira gains, the payout of the note increases.

RBC reverse exchangeables

In other structured products news Wednesday, Royal Bank of Canada announced plans to price two reverse exchangeable notes with rather high coupons.

The investment bank intends to bring 25.75% notes linked to First Solar, Inc. and 25.1% notes linked to Cutera, Inc.

A market insider said Wednesday that even though he didn't have a lot of familiarity with the stocks in question, high volatility is responsible for high coupons.

"There must be some serious volatility," he said. "Those aren't exactly huge coupons but bigger than average, I'd say."

Shares of First Solar have traded between $93.75 and $119.34 in July with the low on July 2 and the high on July 9.

In June, the stock traded between $68.17 on June 1 and at $90.13 on June 28.

Cutera's stock traded between $24.77 on July 17 and $25.48 on July 6 and between $23.49 on June 29 and $26.40 on June 4.

The First Solar-linked notes pay par at maturity unless the stock falls below the 80% knock-in level during the life of the notes and ends below the initial share price.

If those conditions are met, the notes will pay a number of shares equal to $1,000 divided by the initial share price at maturity.

The Cutera-linked notes also pay a par at maturity unless the stock falls below the 80% knock-in priced during the life of the notes and ends below the initial share price.

At that time, the notes will also pay a number of shares equal to $1,000 divided by the initial share price.

Both notes have a three-month term and both are set to price on July 26.

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