Lehman to price notes linked to homebuilders ETF; Lehman upsizes commodities deal again

By LLuvia Mares

New York, Oct. 22 - Lehman Brothers Holdings Inc. proved once again the ETF linked to structured products are set to be one of this year's more dominant structures, according to a market specialist.

Lehman led structured products news on Monday with plans for an offering of enhanced participation notes linked to the SPDR S&P Homebuilders ETF.

Lehman plans to price an issue of 0% return enhanced notes with contingent protection due October 2010 linked to the SPDR S&P Homebuilders exchange-traded fund.

The underlying index is the S&P Homebuilders Select Industry index.

If the final share price of the ETF is at least the initial price, the payout at maturity will be par plus any positive return times a participation rate of between 124% and 134%, with the exact rate to be set at pricing.

If the final share price is below the initial share price, the payout will be par if the share price remains above the trigger price - 70% of the initial share price - throughout the life of the notes.

If the share price drops below the trigger price during the life of the notes and finishes below the initial share price, investors will be fully exposed to the share price decline.

The notes are expected to price and settle this month.

Lehman Brothers Inc. is the underwriter.

Lehman upsizes commodities notes

Also from Lehman, the bank yet again upsized its issue of zero-coupon principal-protected return enhanced notes due Oct. 11, 2010 linked to 10 commodities to $7,216,000 after pricing $1.5 million additional notes on Friday.

The deal was originally $965,000 in size but has been increased multiple times since pricing.

The basket includes equal weights (10%) of light sweet crude oil, No. 2 fuel heating oil, copper - grade A, primary nickel, special high-grade zinc, No. 11 world sugar, cocoa, coffee robusta, class III milk and No. 2 wheat.

The payout at maturity will be par plus 130% of any positive return on the basket. Investors will receive at least par.

Lehman Brothers Inc. is the underwriter.

Barclays prices $19.28 million commodity notes

In one of the larger structures Monday, Barclays Bank plc priced a $19,275,000 million issue of 0% Buffered Super Track Notes due Oct. 24, 2011 linked to a basket of commodities and indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes copper with a 20% weight; lead with a 15% weight; aluminum, zinc and gold, each with a 10% weight; the S&P GSCI Soybeans Index Excess Return, S&P GSCI Sugar Index and S&P GSCI Cotton Index Excess Return, each with a 10% weight; and the S&P GSCI Corn Index Excess Return with a 5% weight.

The payout at maturity will be par plus any basket gain multiplied by a participation rate of 218%. Investors will receive par if the index declines by 20% or less and will lose 1% for each 1% that the basket declines beyond 20%.

ABN plans 14.5% reverse exchangeables

Elsewhere in structured products, ABN Amro Bank NV announced Monday it plans to price 14.5% Knock-in Reverse Exchangeable Securities due Jan. 31, 2008 linked to the stock of MasterCard Corp.

Interest will be payable monthly.

The payout at maturity will be par unless the stock falls below its knock-in price - 75% of the initial price - during the life of the notes and finishes below the initial share price, in which case the payout will be a number of MasterCard shares equal to $1,000 divided by the initial share price.

The notes are expected to price on Oct. 26 and settle on Oct. 31.

ABN Amro Inc. is the lead agent.

JPMorgan plans component notes

In other news, JPMorgan Chase & Co plans to price zero-coupon notes due Dec. 3, 2008 linked to an index basket of buffered return enhanced components.

The basket consists of the Euro Stoxx 50 with a 45% weight, double leverage and a maximum return of 17.70%, the FTSE 100 with a 30% weight, double leverage and a maximum return of 15.20% and the Nikkei 225 with a 25% weight, double leverage and a maximum return of 22.60%. The exact leverage factors and maximum returns will be set at pricing and be no less than the amounts indicated.

The payout at maturity is based on the performance of the basket components.

For each component, if the final level is at least the initial level, the payout at maturity will be par plus any gain. If the component loses up to 10%, the payout will be par. Investors will lose 1.1111% for each 1% the component drops beyond 10%.

The final component levels will the average of closing levels on Nov. 20, Nov. 21, Nov. 25, Nov. 26 and Nov. 28 of 2008.

The notes are expected to price Oct. 26 and settle Oct. 31.

J.P. Morgan Securities Inc. will be the agent for the offering.

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