Citigroup's $112.1 million ELKS linked to NYSE leads day of big deals

New York, May 25 - A flood of substantially sized offerings was announced in structured products Friday, making a sharp contrast to the $1 and $2 million sales that often dominate news.

Largest among the new transactions was $112.1 million of 10.85% Equity LinKed Securities (ELKS) due June 6, 2008 linked to the common stock of NYSE Euronext, Inc. from Citigroup Funding Inc.

The payout at maturity will be par of $10 unless the NYSE Euronext falls by 25% or more during the life of the notes, in which case the payout will be a number of NYSE Euronext shares equal to $10 divided by the initial share price or, at the holder's option, the equivalent cash value.

Citigroup Global Markets Inc. is the underwriter.

Also from Citigroup, and also in the ELKS structure was a $57.2 million issue of 8% ELKS due June 6, 2008 linked to the common stock of Lowe's Cos., Inc.

The payout at maturity will be par of $10.00 in cash unless the share price of Lowe's closes at or below $25.43 - 80% of the initial share price - during the life of the ELKS, in which case the payout will be 0.31456 shares of Lowe's or, at the holder's option, the cash value.

Citigroup Global Markets Inc. was agent again.

Morgan Stanley's deals

Morgan Stanley announced terms on numerous deals Friday, the biggest of them being a $55 million issue of protected buy-write securities due May 25, 2012 linked to the performance of the 2007-3 Dynamic Reference index.

The index is a dynamic composite index that will track the performance of hypothetical investments in two assets, the equity component - a buy-write strategy related to the S&P 500 index - and the zero-coupon bond component, and in one liability, which is the leverage component.

The leverage component represents hypothetical borrowed funds that may, under certain circumstances, be used to leverage the allocation to the equity component in the index.

Initially, the hypothetical funds are invested 100% in the equity component. The percentage allocations will change over time based on the performance of the components.

The deal has a target yield of 10%, but the level is not guaranteed and could be zero.

Morgan Stanley & Co. Inc. is the agent.

$42.2 million EM fund deal

Morgan Stanley also disclosed pricing on a $42.2 million issue of 0% notes due June 20, 2008 in the Performance Leveraged Upside Securities (PLUS) structure linked to the MSCI Emerging Markets Index Fund.

The payout at maturity will be par of $10 plus triple any positive return on the index. The payout will be capped at 124%, or $12.40.

Investors will participate fully in any loss.

Morgan Stanley & Co. Inc. is the agent.

Double upside in EM currency deal

In another emerging markets-related offering, Morgan Stanley sold a $33.643 million issue of 0% capital-protected notes due Nov. 30, 2009 linked to a basket of six currencies. The underlying basket includes equal weights of the Brazilian real, Chinese renminbi, Hungarian forint, Indian rupee, Mexican peso and Turkish lira, all relative to the dollar.

If the basket gains, at maturity investors will receive par plus double any gain on the basket, with a minimum return of 25%. Otherwise investors will receive par.

Morgan Stanley is the underwriter.

130 stock basket

In an unusual structure, Morgan Stanley priced a $41.694 million issue of zero-coupon principal-protected capital appreciation notes due June 26, 2017 linked to the common stocks of 130 companies.

The payout at maturity will be par of $25.00 plus a stock-linked payment equal to $68.16 less $5.68 for each portfolio stock that experiences a stock event prior to maturity. The maximum yield is 13.5%.

A stock event will occur if there is a 90% or more decline in a portfolio stock price or if an issuer experiences bankruptcy. If 12 or more stock events occur, the payout will be par.

Morgan Stanley & Co. Inc. is the agent.

More large deals

Other large transactions announced by Morgan Stanley Friday included $30.75 million of 100% capital-protected notes due Aug. 20, 2011 linked to an equally weighted index basket consisting of the Dow Jones Euro Stoxx 50, S&P 500 and Nikkei 225 indexes. At maturity, investors will receive par of $10 plus a participation rate of 100% times any positive return on the basket. Investors will receive at least par.

Morgan Stanley also priced a $22.1 million issue of 8% Stock Participation Accreting Redemption Quarterly-pay Securities (Sparqs) due June 20, 2008 linked to the common stock of Valero Energy Corp. and a $29 million issue of 8% Stock Participation Accreting Redemption Quarterly-pay Securities (Sparqs) due June 20, 2008 linked to the common stock of Intel Corp.

Nuveen, Merrill to sell BNP momentum deal

In a new structure, AB Svensk Eksportkredit disclosed plans for an offering of Elements notes linked to the Spectrum large cap U.S. sector momentum index developed by BNP Paribas.

Nuveen Investments - a firm not often seen as lead agent on structured products deals - and Merrill Lynch & Co. will be agents.

The Spectrum index tracks the value of a notional portfolio composed of the ten sub-indexes of the S&P 500. Weights are rebalanced daily based on a momentum strategy, with the allocation to outperforming sub-indexes increased and underperforming components decreased.

The notes will pay par times the return on the index less fees at maturity.

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