Lehman prices $3 million currency-linked notes; Rabo plans 22.2% reverse convertibles

By Sheri Kasprzak

New York, June 18 - Lehman Brothers Holdings Inc. led structured products news on Monday with a $3 million offering of foreign exchange notes linked to a basket of currencies.

The 18-month notes are linked to equal weights of the Hong Kong dollar, the Indian rupee, the Turkish lira and the Chinese renminbi.

If the final basket level is greater than zero, the investors will receive par times the leverage, expected to be between 180% and 200%, times the basket return.

If the final basket level is less than or equal to zero, the payout at maturity will be par plus 4%.

"The [Turkish] lira has made some significant gains against the [U.S.] dollar recently so it makes sense given the conditions we're seeing now," said one New York-based market source not affiliated with the offering. "You know, we saw some [linked to the Turkish lira], as part of a basket for the most part, for a while now, but there does seem to be a surge of them now so maybe there is something to it."

Lehman did not return requests for comments on Monday.

On Friday, the lira climbed by about 1.4% against the U.S. dollar.

Turkish lira popular

The Turkish lira has received quite a bit of play in the structured products marketplace lately.

Last week, Goldman Sachs & Co. priced $25.01 million in 98% principal-protected notes linked to the lira/U.S. dollar exchange rate and the lira/euro exchange rate.

Later this month, Barclays Bank plc plans to price zero-coupon principal-protected bear notes linked to the Turkish lira as well as the rupee and the Brazilian real. The notes are set to price June 26.

In May, Citigroup Funding Inc. priced $10 million in principal-protected notes linked to a basket that includes the Turkish lira, as well as the Australian dollar, British pound, Indonesian rupiah and the Mexican peso.

On Monday, the lira/U.S. dollar exchange rate was 1.3008.

The renminbi/U.S. dollar exchange rate was 7.6313 on Monday and the rupee/U.S. dollar rate was 40.753. The Hong Kong dollar/U.S. dollar rate was 7.8171 on Monday.

Rabo to price reverse convertibles

In other news, Rabo Financial Products BV announced plans Monday to price 22.2% reverse convertibles linked to the stock of Zoltek Cos. Inc.

The notes have a four-month term and pay par at maturity unless the stock falls below the knock-in level or ends below the initial share price.

If that should happen, the notes pay a number of shares equal to $1,000 divided by the initial share price at maturity.

The notes are being sold through LaSalle Financial Services Inc.

So far this month, Zoltek's stock has traded between $35.18 on June 7 and $42.87 on June 15.

In May, the stock ranged between $29.70 on May 1 and $38.09 on May 22.

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