Lehman structure pits four currency baskets against each other; Goldman plans deal tied to 45-stock basket

By Sheri Kasprzak

New York, Aug. 16 - Heading up structured product activity on Thursday was an offering of principal-protected notes linked to the performance of four currency baskets from Lehman Brothers Holdings Inc.

In other news, The Goldman Sachs Group Inc. intends to price notes linked to the Goldman Sachs International Demand Basket, which includes 45 stocks included in the S&P 500 index.

Moving back to the Lehman offering, a market insider not affiliated with the deal said Thursday that the offering is "interesting."

"It's an interesting way to structure," said another market source. "It's a good way to diversify with the different baskets. I don't believe I've ever seen anything structured just like this before. It's interesting."

Four baskets

The two-year, zero-coupon notes pit the four currency baskets with long positions against a short position of the U.S. dollar.

The first basket includes the Brazilian real with a 33.34% weight, the Argentine peso with a 33.33% weight and the Mexican peso with a 33.33% weight.

The second basket includes equal weights of the Turkish lira, the Hungarian forint, the Israeli shekel and the Russian ruble.

The third basket includes equal weights of the Indonesian rupiah, the Singapore dollar, the Malaysian ringgit and the Indian rupee.

The final basket includes the euro with a 57.6% weight, the Japanese yen with a 13.6% weight, the British pound with an 11.9% weight, the Canadian dollar with a 9.1% weight, the Swedish krona with a 4.2% weight and the Swiss franc with a 3.6% weight.

If one or more of the baskets appreciates relative to the dollar, the payout at maturity will be par plus the greatest of the basket returns multiplied by 100%. The exact multiplier will be determined at pricing.

If none of the baskets appreciate, the investors will receive par at maturity.

Goldman's notes

In other news, Goldman will price notes linked to the Goldman Sachs International Demand Basket, a basket just created to reflect price changes of a weighted basket of 45 stocks of companies in the S&P 500.

The basket includes a high percentage of companies' respective sales in 2006 outside the United States.

The one-year notes pay $900 plus the basket return times 99% plus a fixed percentage between 1% and 1.5%, with the exact level to be determined at pricing. The exact payout will be determined according to the basket value on the determination date.

The payout reflects a 1% management fee.

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