Lehman to price notes linked to Israeli shekel; Barclays plans S&P 500-linked notes

By Sheri Kasprzak

New York, April 13 - Heading up structured products offerings to close out the week was an unusual offering from Lehman Brothers Holdings Inc.

The investment bank announced plans to price a two-year principal-protected note linked to the Israeli shekel.

The announcement of the deal comes on the heels of news that the shekel/U.S. dollar exchange rate is at its lowest level since December 2000.

Representatives from Lehman's foreign exchange desk did not respond to requests for comment on the notes by press time Friday.

The notes pay par plus any percentage gain on the shekel multiplied by a leverage rate to be determine at pricing. The leverage rate is expected to be 225%.

Investors can expect to receive at least par at maturity.

Barclays' index-linked notes

In other structured products news, Barclays Bank plc is currently negotiating the terms of annual review notes linked to the S&P 500 index.

The three-year notes may be called on any three review dates.

If the notes are called on the first review date, the call premium will be at least 3.35%; if called on the second review date, the premium will be at least 16.7%; and if called on the final review date, the premium will be at least 25.05%. All of the premiums will be determined at pricing.

If the index declines by less than 10%, investors will receive par at maturity. If the notes, however, fall below the 10% buffer, investors will lose 1.1111% for every 1% beyond 10% the index drops.

JPMorgan's S&P-linked notes

Earlier this week, JPMorgan Chase & Co. priced $25 million in zero-coupon buffered return enhanced notes linked the S&P 500 index.

Those six-year notes pay par plus 1.321 times any positive return on the index.

Investors receive par if the index drop by 15% or less and will share in any losses beyond 15% at a rate of 1% for every 1% beyond 15% the index declines.

Reverse convertibles

Looking forward, a number of reverse convertible offerings are set to price with substantial coupons.

JPMorgan plans to price 22% reverse convertibles linked to Countrywide Financial Corp. and HSBC USA Inc. is gearing up to price 29% reverse convertibles linked to Vertex Pharmaceuticals Inc. HSBC is also planning an issue of 25.25% notes linked to Elan Corp. plc.

Elsewhere, Eksportfinans ASA plans to price 22.5% notes linked to Apple Inc. and 17.75% reverse convertible linked to the "Dogs of the Dow" through Natixis Securities.

Finally, ABN Amro Bank NV said it intends to price 25% knock-in reverse exchangeable securities S-notes linked to Theravance Inc. through LaSalle Financial Services Inc.

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