Lehman prices $10 million in FX range notes linked to euro/dollar; JPMorgan sells notes linked to S&P

By Sheri Kasprzak

New York, Oct. 19 - Lehman Brothers Holdings Inc. led structured products news Thursday after it priced $10 million in 0% foreign exchange range notes linked to the euro/dollar spot exchange rate late Wednesday.

Even though the euro/dollar offering is not an exotic one by any means, one market source reached Thursday said he expects more exotic currencies to be linked to similar note offerings in the future.

"The fervor seems to be surrounding more exotic currencies, mostly in Asia and Latin America," he said. "There is still some interest out there, even though some investors did take a step back."

Thailand may not be popular

That step back, the market source said, was because of the recent coup in Thailand.

Even so, he added, the baht has bounced back and that may be appeasing some investors' worry about taking on emerging market offerings.

"It's funny because I've seen very little linked to the baht since then, so maybe some investors are still a little wary of it, but it's not stopping interest in other currencies," he noted.

Lehman's notes

In the Lehman notes, payout at maturity will be 106% of par if the euro/dollar spot exchange rate remains within 1.1917 to 1.3117 dollars per euro during the life of the notes, which are due April 27, 2007.

If the euro/dollar spot exchange rate falls outside the reference range during the life of the notes, payout will be par.

Real, ruble and peso linked

In upcoming currency-linked offerings, the Brazilian real, the Mexican peso and the Russian ruble are among the currencies listed.

Credit Suisse (USA) Inc. said it plans to price 0% notes linked to the dollar/real, dollar/peso, dollar/ruble and dollar/Turkish lira exchange rate.

Although not an emerging markets deal, UBS AG intends to price 0% principal protected notes linked to the dollar/Japanese yen, dollar/Singapore dollar and dollar/Norwegian krone exchange rates.

JPMorgan's S&P notes

In other structured products news, JPMorgan Chase & Co. priced $10.5 million in 0% return enhanced notes linked to the Standard & Poor's 500 index.

"There is still an enormous amount of confidence in the S&P [500 index]," said one equity structurer said when asked about the offering Thursday. "There is talk that before the end of the year, it could top 1,400. It really boils down to investor demand and there's enough optimism surrounding the [index]."

JPMorgan's deal pays out double the return on the S&P 500, capped at a 14.7% payout. Investors have full exposure to any downside.

Other S&P notes

JPMorgan earlier this month priced $3,325,000 in buffered return enhanced notes linked the S&P 500 due March 2008 and $2.97 million in 0% annual review senior notes linked to the S&P 500 due October 2009.

Coming up, JPMorgan said it plans to price 0% principal-protected notes linked the S&P due April 30, 2014; 0% buffered return enhanced notes linked to the index due April 2, 2008 and 0% annual review notes linked to the index due Nov. 4, 2009.

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