Goldman prices $6.13 million bull notes linked to Asian currencies

By LLuvia Mares

New York, Dec. 13 - More and more notes linked to Asian currencies have been making the rounds in the structured products sector. According to one market source, the number of notes linked to Asian currencies is not going to decrease anytime soon.

"The Asian currency instruments, we have talked about this before," said the market source. "They clearly have an ongoing popularity, because we see the various combinations of the different currencies."

In one example of the structure, Goldman, Sachs & Co. priced an additional $6.132 million of zero-coupon 97.5% principal-protected bull notes due June 13, 2009 linked to the Indonesian rupiah and the Philippine peso for issuer AB Svensk Exportkredit.

"They are offering a different choice in currency," said the source regarding the Philippine peso. "The products that we have seen, cycle down to the six or eight main economies and developing economies in Asia."

The company originally priced $15.62 million of the notes on Nov. 22. The total amount of notes priced is now $21.75 million.

The original issue priced at par, and the latest issued priced on Dec. 4 at 103.95.

The two currencies are equally weighted in a basket. If the basket appreciates relative to the dollar by 2.5% or more, the payout at maturity will be 113.5% of par. Otherwise, the payout will be 97.5% of par.

Goldman adds $1.12 million to bull notes

In a similar structure, AB Svensk Exportkredit priced a further $1.12 million in bull notes due June 17, 2009 linked to a basket of four Asian currencies via Goldman, Sachs & Co.

The notes priced at 100.322 on Dec. 11.

With the addition, the issue size is now $11.37 million. Svensk previously priced $10.255 million of notes at par on Dec. 5.

The underlying basket consists of equal weights of the Indonesian rupiah, Philippine peso, Singapore dollar and Taiwan dollar, each against the U.S. dollar.

If the basket gains by at least 2.5%, the payout at maturity will be par plus 1.85 times any gain on the basket. Investors will receive at least par.

JPMorgan plans notes linked to S&P MidCap 400

In other news, JPMorgan Chase & Co. plans to price 0% return enhanced notes due Jan. 7, 2009 linked to the S&P MidCap 400 index.

If the final index level is at least the initial level, the payout at maturity will be par plus 300% of any index gain, capped at a maximum payout that will be at least 122.8% of par. The exact cap will be set at pricing.

Otherwise, the payout will be par minus the index decline.

The final index level will equal the average of the index closing levels on the five trading days ending Jan. 2, 2009.

The notes are expected to price on Dec. 14 and settle on Dec. 19.

J.P. Morgan Securities Inc. is the agent.

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