Eksportfinans prices $79.03 million in notes linked to S&P 500; Merrill plans Latin currency-linked notes

By Sheri Kasprzak

New York, Jan. 29 - Eksportfinans ASA led structured products news Tuesday, pricing $79.03 million in absolute return trigger notes linked to the S&P 500 index, according to a filing with the Securities and Exchange Commission.

In the past few months, the index has had its share of ups and downs, said one market source, and though it's hard to tell what the next 15 months will bring, it doesn't seem like the index will hit either trigger levels.

"If you just look at the historical levels, I don't think it's going to happen," he said.

"It would take a major, major shift in order for it to hit those levels, and it doesn't seem likely to me."

On Jan. 22, the index hit a year-long low of 1,310.50, and on Oct. 9, the index jumped to 1,565.15, the six-month high.

The zero-coupon, 15-month notes (Aaa/AA+/AAA) pay par times 100% plus the absolute index return, assuming the index level never trades above the upper trigger level, which is equal to 120.85% of the initial index level, or 1,650.124, or below the lower trigger level, which is 82.38% of the initial index level - or 1,124.906. The notes pay par at maturity, if the index level trades above the upper trigger level or below the lower level.

The initial index level is 1,365.47.

Goldman, Sachs & Co. is the agent.

Merrill plans notes linked to Latin American currencies

Elsewhere, Merrill Lynch & Co. intends to price principal-protected notes linked to a basket of three Latin American currencies, all versus a short position in the U.S. dollar.

"Basically, these notes expect continued weakness in the [U.S.] dollar," said one market insider, who was not connected to the offering.

"These days, that's not a bad bet to make. They're fairly short term, and they are principal protected, so it seems like a pretty good investment, especially if you're feeling pretty good about the dollar continuing to be weak. Latin American currencies have been gaining in popularity as underliers for a really long time now, maybe over the past two years or so."

The six-month notes are linked to the Argentine peso, Brazilian real and the Chilean peso.

The investors, assuming the currency basket appreciates against the dollar, will receive par plus a supplemental redemption amount of $10 per unit multiplied by a participation rate of between 100% and 120% of the percentage increase, with the exact percentage to be determined at pricing.

If the basket decreases or has no change, the investor will receive par.

Citi's Asian currency notes

In other foreign exchange offerings, Citigroup Funding Inc. announced plans to price two-year notes linked to a basket of four Asian currencies.

The basket includes equal weights of the Indian rupee, the Indonesian rupiah, the Singapore dollar and the South Korean won, all relative to the U.S. dollar.

At maturity, the notes pay par plus the principal amount times the basket return times the participation rate, which is expected to be between 140% and 160%, with the exact rate to be determined at pricing, assuming the basket return is positive.

The notes are 100% principal protected, and investors will receive at least par at maturity.

The notes are expected to price in February.

Barclays prices $1.5 million currency-linked notes

In other currency-related offerings, Barclays Bank plc priced $1.5 million in principal-protected notes linked to a basket of currencies.

The basket includes equal weights of the Brazilian real, the Indian rupee, the Russian ruble and the Chinese yuan, all versus the U.S. dollar.

The 30-month notes pay par plus the principal amount times the product of the 120% participation rate and the basket performance at maturity, assuming the basket performance is equal to or greater than 0%.

If the basket performance is less than 0%, the investors receive par at maturity.

Citi's rupee-linked notes

The Indian rupee made an appearance in another offering from Citigroup.

The bank priced $5 million in 2% principal-protected notes linked to the rupee on Friday, it was reported Tuesday.

The notes have a four-year term and pay par plus a currency return amount equal to the product of the principal amount and the currency return percentage and the 190% participation rate, assuming the currency return amount is not less than zero.

The currency return percentage will be equal to the starting exchange rate minus the ending exchange rate divided by the starting exchange rate.

The starting exchange rate for the currency is 39.40.

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