Barclays Bank to price commodities-linked notes and bear notes linked to BRIC basket

By Sheri Kasprzak

New York, April 2 - Barclays Bank plc had an active day for structured products to kick off the week, announcing the imminent pricing of principal-protected notes linked to a commodities basket and principal-protected bear notes linked to the BRIC basket.

The principal protection on the notes got one insider talking.

"I do think investors are looking more and more at principal protection as an asset," said one market source. "It hasn't been a big part of the U.S. market in the past but I have a feeling it will make up a greater portion of the market this year than it has previously. Even notes with partial protection you're seeing more of these days than notes without any percentage of principal protection."

Another market source commented on the BRIC basket offering, noting that fewer notes will likely be linked to the BRIC basket going forward.

"We'll see one here or there," he said. "It's nothing like a few weeks ago when everyone and their brother was pricing a BRIC-linked note."

When asked why fewer notes will be linked to the basket, the market source commented that investors are just not as interested as they had been previously.

Lehman Brothers Holdings Inc. announced plans late last week to price a similar, fully principal-protected note linked to the basket.

Barclays deal has gold, oil and gas

The zero-coupon commodity notes are linked to a basket that includes equal weights of gasoline RBOB (Reformulated Gasoline Blendstock for Oxygen Blending), gold, natural gas and West Texas Intermediate crude oil.

Payout at maturity will be par plus 110% of any basket increase. Investors can expect to receive at least par at maturity.

The 51/2-year notes are set to price April 24.

Barclays' BRIC notes

The principal-protected bear notes are linked to equal weights of the U.S. dollar against the Brazilian real, the Russian ruble, the Indian rupee and the Chinese yuan.

Payout at maturity for the two-year notes if the basket performance is equal to or greater than 0% will be par plus the principal amount multiplied by the participation rate - expected to be 300% - and the basket performance.

If the performance is less than 0%, payout will be par.

Lehman's BRIC notes

Another BRIC-linked offering was announced late last week by Lehman Brothers.

The investment bank plans to sell zero-coupon, principal-protected notes linked to equal weights of the Brazilian real, the Russian ruble, the Indian rupee and the Chinese renminbi.

If the basket return is greater than zero, the two-year notes pay par plus the principal amount times the basket return times the participation rate equal 310% to 360%, to be determined at pricing.

The deal is set to price April 24.

ABN Amro prices notes

Elsewhere in structured products news, ABN Amro Bank NV negotiated the terms of a $2.1 million offering of 23% knock-in reverse exchangeable notes linked to GMX Resources, Inc.

The three-month notes pay par at maturity unless the stock falls below the 80% knock-in level during the life of the notes and finishes below the initial share price of $24.98.

If those conditions are met, the notes pay a number of shares equal to $1,000 divided by the initial share price.

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