Eksportfinans to price water-linked notes via Credit Suisse; Lehman notes linked to rupee, CNX Nifty index

By LLuvia Mares

New York, Sept. 13 - Eksportfinans ASA led structured products news Thursday after announcing its plan to price an issue of 0% Accelerated Return Equity Securities (ARES) due March 30, 2012 linked to the Credit Suisse Water index.

The notes are expected to price on Sept. 21.

The index consists of stocks of 30 companies that are active in the water sector.

If the final index level is greater than or equal to the initial level, the payout at maturity will be equal to par plus 112% of any gain on the index. Otherwise, the payout will be par minus the index decline.

Credit Suisse Securities (USA) LLC will be the underwriter.

Lehman plans notes linked to rupee, CNX Nifty index

Lehman Brothers Holdings Inc. plans to price three-year zero-coupon notes linked to a basket consisting of the S&P CNX Nifty index and the dollar/Indian rupee exchange rate, according to an FWP filing with the Securities and Exchange Commission.

The index carries a 60% weight in the basket, and the exchange rate carries a 40% weighting.

"By linking currency and an index in a basket in the way that these notes are being priced, you are going to get a slight cheapening effect from the correlation," said a market source. "They're showing a bullish view on India in itself and one way to think about it is from an investor's perspective."

The market source said most investors are looking at whether the Nifty Index will go up.

"If the Nifty Index goes up, the equities index goes up and more people are going to want to invest in India and therefore this should also push the currency up."

The payout at maturity will be par plus any basket gain multiplied by the participation rate, which is expected to be 105% to 115% and will be determined at pricing.

Investors will receive par if the basket decreases by 20% or less and will lose 1% for each 1% decline beyond 20%.

Lehman Brothers Inc. will be the underwriter.

Citigroup working on notes tied to five currencies

In other news, Citigroup Funding Inc. plans to price an offering of zero-coupon 100% principal-protected notes due in October 2009 linked to a basket that contains equal weights of the Turkish lira, Hungarian forint, Icelandic krona, Indonesia rupiah and Norwegian krone, according to an FWP filing with the Securities and Exchange Commission.

A market analyst said the high carrying currencies are pulling investors in like magnets.

"All of these currencies are high carrying currencies," said the analyst. "They are basically trying to give the investors a view that these high carrying currencies are going to continue to appreciate.

"Because they are high carrying, the pricing becomes more attractive to the investors," added the analyst. "Instead of trying to invest in other lower-yielding currencies they invest in these."

The payout will be par plus the sum of the return on the currency basket plus a return percentage that will be determined at pricing and is expected to be between 11% and 13%. There is a floor of par.

The notes are expected to price and settle sometime in October.

Citigroup Financial Products Inc. will be the agent.

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