Barclays to price reverse convertibles linked to Apple; Lehman to price FX notes

By LLuvia Mares

New York, Dec. 18 ? Once again reverse convertibles remain one of the most used structures, according to a market source. On Tuesday, Barclays Bank plc announced plans for 17.5% reverse convertibles linked to Apple.

The reverse convertible notes due March 24, 2008 are linked to the common stock of Apple Inc.

"This is a very standard product with a short maturity," said a market source. "It's not extremely exciting but it's not too bad either."

The three-month notes will pay 4.375% for an annualized rate of 17.5%.

The payout at maturity will be par unless Apple stock falls by more than 25% during the life of the notes and the final share price is less than the initial share price, in which case the payout will be a number of Apple shares equal to $1,000 divided by the initial share price or, at Barclays' option, the equivalent cash value.

The notes will price on Dec. 18 and settle on Jan. 3.

Barclays Capital Inc. will be the agent.

Lehman to price FX notes linked currencies

Also in structured products, Lehman Brothers Holdings Inc. plans to price four-month 0% foreign exchange 90% principal-protected notes linked to a basket of three currencies.

"Again, this is a very standard product linked to three currencies. We can expect to see more structures like this in the market," said a market source.

The basket consists of the Indonesia rupiah with a 34% weight and the Indian rupee and Brazilian real, both with a 33% weight.

The payout at maturity will be par of $10,000 plus 11% if the basket currencies appreciate versus the dollar. If the basket currencies do not appreciate versus the dollar or the currencies depreciate, the payout will be par less 10%. Investors could lose up to 10% of par.

Pricing and settlement dates will be determined.

Lehman Brothers Inc. will be the underwriter.

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