Lehman plans FX notes linked to Asian basket, prices $38.3 million notes linked to Whole Foods

By Sheri Kasprzak

New York, Feb. 1 - Lehman Brothers Holdings Inc. led structured products news on Thursday with two offerings - one an offering of foreign exchange notes linked to a basket of Asian currencies and the other $38.3 million in 1.25% notes linked to the stock of Whole Foods Market, Inc.

The 18-month foreign exchange notes are linked to the Japanese yen, the Chinese yuan, the Singapore dollar, the South Korean won, the Taiwanese dollar and the Indonesian rupiah.

The deal reflects the bank's outlook on the currencies and the past success of similar deals.

"We have recently launched a [U.S. dollar]-denominated, SEC-registered, principal-protected, leveraged Asian Appreciation Note," said a spokesperson from Lehman's foreign exchange structured products team.

"This is a bullish Asia, bearish USD directional note where the investor has leveraged upside participation should the equally weighted basket of currencies appreciate against the U.S. dollar over the 18-month maturity of the note.

"The makeup of the basket reflects our positive research view on these Asian currencies over the medium term. For clarity, this is not a range note.

"Market-wide principal-protected bullish Asian basket notes have been a very popular trade over the past couple of years."

130% to 140% leverage

The yen will have 16.67% weight, the yuan 16.67 weight, the Singapore dollar 16.67% weight, the won 16.67% weight, the Taiwanese dollar 16.66% weight and the rupiah 16.66% weight relative to the U.S. dollar.

Payout will be par plus 130% to 140% the gain on the basket with the exact leverage ratio to be determined at pricing.

Lehman's Whole Foods notes

Elsewhere at Lehman, the investment bank priced $38.3 million in 1.25% notes linked to the stock of Whole Foods.

The seven-year notes pay par plus the return on the stock if Whole Foods' share price exceeds the threshold value of 118% of the average execution price per share on Feb. 3, 2014, the final valuation date. Payout may be in stock or cash at Lehman's option.

Otherwise, investors will receive par.

The note offering includes a $5.745 million greenshoe and the notes are callable beginning Jan. 30, 2010.

In January, Whole Foods' stock traded between $42.51 and $46.99 (Nasdaq: WFMI). On Thursday, the company's stock gained 78 cents to settle at $43.97.

UBS plans biofuel index-linked notes

In other structured products news, UBS AG (Jersey Branch) is negotiating an issue of 100% principal-protected notes linked to the UBS Diapason Global Biofuel Index Excess Return.

The index includes 10 physical commodities related to the global production of ethanol and biodiesel and the index is weighted to reflect the relative importance of the different commodities using the production of ethanol and biodiesel.

As of Dec. 11, 2006, the two biofuel groups had respective weights of 83% for ethanol and 17% for biodiesel.

The five-year, zero-coupon notes pay par plus any appreciation on the index at maturity. The investors can expect to receive at least par at maturity.

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