Lehman to price Range Notes linked to pound, Canadian dollar; Barclays plans reverse convertibles

By Sheri Kasprzak

New York, March 15 - Lehman Brothers Holdings Inc. is in the process of negotiating terms on an issue of Double Conditional Range Notes linked to the pounds sterling/U.S. dollar spot exchange rate and the Canadian dollar/U.S. dollar spot exchange rate.

News of the offering comes as the Canadian loonie dropped to a weekly low against the U.S. dollar. The Canadian dollar has also slipped against the euro.

Lehman did not comment on the offering by press time Thursday.

The notes will pay par plus a fixed return of 2.25% at their three-month maturity if both exchange rates trade strictly within their respective reference ranges.

If either exchange rate trades outside of its reference range the payout will be par.

The range for the pounds sterling/dollar spot exchange rate, expressed as the number of dollars per pounds sterling, will be 8.39 cents higher and lower than the initial spot exchange rate.

The reference range for the Canadian dollar/U.S. dollar spot exchange rate will be 4.76 Canadian cents more or less than the initial spot exchange rate.

The exact ranges and fixed return will be set a pricing.

Barclays plans 15% reverse convertibles

Elsewhere in structured products news Thursday, Barclays Bank plc announced plans to price 15% reverse convertibles linked to Countrywide Financial Corp.

The six-month notes are set to price on March 21.

The notes pay par unless the stock falls below the 70% knock-in level during the life of the notes and finishes below the initial share price. In that case, the investors will receive a number of shares equal to $1,000 divided by the initial share price.

On March 7, JPMorgan Chase & Co. priced $595,000 in reverse exchangeables linked to Countrywide's stock.

Those three-month notes bear interest at 18% annually and pay par unless the stock falls by more than 25% of the protection amount during the life of the notes and finishes below the initial share price of $36.84. In that case, investors will receive a number of shares equal to $1,000 divided by the initial share price.

Morgan Stanley announced plans to price 11.31% reverse convertibles linked to the stock as well. Those notes are expected to price Friday.

The one-year notes have a 75% knock-in level.

Bear Stearns's index-linked notes

In other news, The Bear Stearns Cos. Inc. said it intends to price medium-term notes linked to an index basket that includes equal weights of the S&P 500 index, the Dow Jones Euro Stoxx 50 index, the Nikkei 225 index and the S&P BRIC 40 index.

The offering comes as the S&P 500, Nikkei 225 and Dow Jones Euro Stoxx 50 indexes have all received exceptional popularity in the market and as the BRIC basket has enjoyed success as well.

Payout on the notes will be par plus any positive return on the basket. Investors can expect to receive at least par.

The return on the basket will be calculated on the value of each index on each of six monthly observation dates between April 2012 and September 2012.

Goldman, Sachs prices notes

Finally, Goldman, Sachs & Co. priced $55.4 million in 0% enhanced participation notes linked to the Topix index for AB Svensk Exportkredit.

The 18-month notes pay par plus 173% of any percentage increase in the index level. Investors share in any losses.

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