Svensk plans three Elements linked to indexes; Lehman to price metals-linked notes

By Sheri Kasprzak

New York, June 21 - AB Svensk Exportkredit announced plans Thursday to price three Elements linked to different indexes - the Rogers International Commodity Index - Energy Total Return, the Rogers International Commodity Index - Metals Total Return and the Spectrum Large Cap U.S. Sector Momentum Index.

"Elements are interesting," said one market insider not affiliated with the offering. "They're ETNs [exchange-traded notes], which we always get really excited about because ETNs tend to give investors access to areas that they normally wouldn't be able to access. They're liquid, they're transparent."

All three of the Elements are being sold through Nuveen Investments and Merrill Lynch & Co.

In addition, all three are expected to be listed on the New York Stock Exchange.

Elements terms

The zero-coupon Elements linked to the Spectrum Large Cap U.S. Sector Momentum index pay par times the change in the index, minus the annual investor fee of 0.75% times the proportion of days elapsed. The securities have a 15-year term.

The index, developed by BNP Paribas and is also referred to as the S&P Custom/BNP Paribas - Spectrum U.S. Sector Momentum index. The index tracks the notional portfolio of 10 sub-indexes of the S&P 500.

Ninety days after the issue date, investors may put back the notes for repurchase on a weekly repurchase date.

Rogers-linked notes

Svensk also plans to price zero-coupon Elements with a 15-year term linked to the Rogers International Commodity Index - Metals Total Return.

The Elements pay par times the change in the index, less the annual investor fee of 0.75% times the proportion of days elapsed.

The index represents the value of a basket of 10 metals commodity futures contracts and is a sub-index of the Rogers International Commodity Index - Total Return. The Rogers International Commodity Index - Total Return is a composite, dollar-based total return index representing the value of a basket of commodities ranging from agriculture to energy and metals products.

Other Rogers note

Finally, Svensk plans to price zero-coupon, 15-year Elements linked to the Rogers International Commodity Index - Energy Total Return.

The securities pay par times the index change, minus the annual investor fee of 0.75% times the proportion of days elapsed.

The index represents a value of a basket of six energy commodity futures contracts and is a sub-index of the Rogers International Commodity Index - Total Return.

Lehman plans metals-linked deals

Elsewhere in structured products news, Lehman Brothers Holdings, Inc. intends to price three notes linked to base metals.

One of the deals is an offering of 100% principal-protected base metals basket participation notes.

The basket includes equal weights of grade A copper and special high-grade zinc.

The payout at maturity will be par plus any return on the basket times a participation rate that is expected to be 125%. The exact participation rate will be set at pricing. Investors will receive at least par.

Another metals-linked deal is a non-principal-protected offering of base metals basket bonus notes linked to equal weights of grade A copper, primary nickel, special high-grade zinc and high-grade primary aluminum.

If the basket gains more than 50%, the payout at maturity on the three-year notes will be par plus the basket return.

If the return is better than a loss of 25% and less than or equal to a gain of 50%, the payout will be par plus 50%.

The payout will be par plus the basket return plus 25% if the basket loses 25% or more.

Other metals notes

Lehman also plans to price three-year, principal-protected notes linked to a base metals basket that includes equal weights of grade A copper, primary nickel, special high-grade zinc and high-grade primary aluminum.

At maturity, investors will receive par plus any positive return on the basket if the basket return is greater than 30%. Investors will receive par plus 30% if the basket return is better than a loss of 8.00%, but less than or equal to 30%. Investors will receive par if the basket loses 8.00% or more.

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