Asian currencies underlying Goldman's notes for Svensk Exportkredit draw attention

By LLuvia Mares

New York, Nov. 30 - Goldman Sachs & Co.'s zero-coupon bull notes linked to three Asian currencies for AB Svensk Exportkredit caused some surprise.

"It gets quiet interesting in the selection of currencies, in particular the Chinese renminbi," said Tim Mortimer, Future Value Consultants managing director.

"This is good for someone who wants to explore Asian currencies. And I guess the most interesting of those is the Chinese currency. And with the principal protection and the 200% upside, if the currencies move significantly then you stand to gain a decent amount, so it's pretty low risk."

Goldman upsized the deal's size to $84.78 million from $69.01 million on Friday.

The $15.77 million add-on was priced at 102.15 while the original $69.01 million was priced at par on Nov. 16.

The basket consists of equal weights of the Chinese renminbi, the Malaysian ringgit and the Singapore dollar, each against the U.S. dollar.

The payout at maturity will be 104.5% of par plus 200% of any gain on the basket. Investors will receive at least par.

Goldman 0% bull notes

In a similar but different deal, Goldman Sachs slightly increased its zero-coupon bull notes linked to two Asian currencies to $27.86 million from $23.009 million for Svensk.

"The price on this [structure] has gone down just a bit," Mortimer said. "The volatility in the currencies most likely affected the price."

The notes have a 19-month term and are linked to a basket of two Asian currencies on.

The add-on priced at 99.65.

Svensk priced $23.009 million of the notes at par on Nov. 16.

The basket consists of equal weights of the Indonesian rupiah and the Philippine peso, each against the dollar.

The payout at maturity will be 104.5% of par plus 200% of any gain on the basket. Investors will receive at least par.

Small index moves favor Deutsche notes

Deutsche Bank AG, London Branch priced $2.59 million of buffered absolute return barrier securities due May 29, 2009 linked to the Russell 1000 Growth index.

"If you think the index can significantly achieve somewhere between 10% and 25% and if you think the index is going to go roaring up, then this is not the right structure for you," Mortimer remarked.

"If you think the index is set for steady growth then you'll get better participation than you would have if there had been no barrier present. There is no principal-protection on the downside but you get full upside gearing as long as you don't exceed the barrier."

If the index never closes above 142.5% or below 85% of its initial level during the life of the securities, the payout at maturity will be par plus the absolute value of the index return.

If the index ever closes outside that barrier range, the payout will be par minus any amount by which the index declines beyond 15%. In that case, the payout will not be greater than par.

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