Barclays plans notes linked to currency basket; Goldman prices $128.5 million Stoxx 50-linked notes

By Sheri Kasprzak

New York, Dec. 18 - Getting back to business after the weekend, Barclays Bank plc headed up structured products news with word that it plans to price 100% principal-protected notes linked to a currency basket with a 630% multiplier.

"That could be the biggest [multiplier] I've ever seen on a basket like that," said one equity structurer when contacted about the offering Monday.

"Anyway, I think it's a sign of what the hopes are for emerging markets coming up. I don't think we'll see anything like this again in the near future but it's an interesting indicator as far as I'm concerned."

Barclays did not wish to comment on the offering by press time Monday because the notes have not yet priced.

Basket includes real, ruble and rupee

The basket linked to the notes includes the Brazilian real, Russian ruble and Indian rupee.

One market source said in an interview Monday that those are the three EM countries to bank on and that a 630% multiplier shouldn't be that surprising.

"Those are the big three, including China," he said. "If you want a good indicator of how these will do, look at the [emerging markets] ETF [exchange-traded funds] market. It is incredibly hot right now and I think notes like this will be popular coming up, just in response to what ETFs are doing."

The notes had been set to price on Dec. 18 but the full terms were unavailable by the newsletter deadline Monday.

Payout at maturity, as previously mentioned, will be par plus the return on the basket multiplied by a percentage expected to be 630% of the basket performance. The exact percentage will be determined at pricing. If the basket has a negative performance, payout will be par.

Goldman's $128.5 million notes

Elsewhere, The Goldman Sachs Group Inc. priced $128.5 million in 0% enhanced-participation notes linked to the Dow Jones Euro Stoxx 50 index.

The 18-month notes pay par plus 1.85 times the return on the index, capped at a 20% appreciation, if the index value rises. Investors will receive par if the index dips by 7% or less, but if the index drops by more than 7%, investors lose 1% for every 1% decline beyond 7%.

In a very similar offering priced earlier this month, JPMorgan Chase & Co. priced 0% buffered return enhanced notes for $128.5 million linked to the Dow Jones Euro Stoxx 50 index.

Under the terms of the notes, payout at maturity will be par plus 2.82 times any positive return up to 28.2%. If the index level declines by 7% or less, payout will be par, but investors will also lose 1% for every 1% decline beyond 7%.

JPMorgan Chase & Co. announced its plans last week to price lesser-index principal-protected notes linked to EuroStoxx 50 and the S&P 500.

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