Barclays arranges two iPath exchange-traded notes offerings; Lehman plans natural gas index-linked notes

By Sheri Kasprzak

New York, Nov. 22 - Barclays Bank plc announced plans to price two offerings of iPath exchange-traded notes to round out the short week in structured products ahead of the Thanksgiving holiday. While markets were technically scheduled to be open Friday, few people expected much to happen.

One of the Barclays notes, linked to the Dow Jones - AIG Commodity Index Total Return, is in addition to $750 million in notes already priced this year. The latest offering - for $250 million - will bring the total proceeds to $1 billion.

The other notes are a planned issue linked to MSCI India Total Return Index.

Barclays refused to comment on the notes Wednesday.

According to a prospectus released by Barclays, the zero-coupon notes do not carry any principal protection and are linked to the performance of the referenced market index.

Dow Jones notes

The Dow Jones - AIG Commodity-linked notes are structured with a 30-year tenor and are set to price Nov. 28.

Payout at maturity will be par of $50 multiplied by the index factor, equal to the closing value of the index divided by the initial level on the final valuation date, minus the investor fee.

Noteholders may redeem their securities on any redemption day - the third business day following a valuation date - during the life of the securities for a cash payment equal to par multiplied by the index factor on the valuation date, minus the investor fee and less the redemption charge, which is a one-time fee of 0.00125 multiplied by the weekly redemption value. There is a minimum redemption requirement of 50,000 notes.

The valuation dates will be the Thursday of each week during the life of the securities.

MSCI-linked notes

The other issue of iPath notes Barclays plans to price are linked to the MSCI India Total Return Index and are also 30-year notes.

The payout at maturity on these notes is the same as the Dow Jones - AIG-linked notes.

The MSCI India Total Return index is a free float-adjusted market capitalization index that includes the top 68 companies by market capitalization listed on the National Stock Exchange of India.

Lehman's notes linked to gas index

Elsewhere in structured products news, in keeping with its trend towards resources-related offerings, Lehman Brothers Holdings Inc. announced its plans this week to price zero-coupon 18-month auto-callable notes linked to the Lehman Brothers Commodity Index Natural Gas Excess Return.

The notes will be called if the index level is greater than or equal to the initial index level on the fifth business day before the one-year anniversary date of the note issuance or on the final valuation date, which is five business days prior to maturity.

If called on the fifth business day before the anniversary date, the payout will be par of $10,000 plus 31%. If called on the final valuation date, the payout will be par of $10,000 plus 46.5%.

If the notes have not been called, the payout at maturity will be par unless the index declines by more than 45%, in which case investors will be fully exposed to the decline.

Earlier in the week, Lehman priced $3 million in "Wedding Cake" notes linked to light sweet crude oil and the previous week the investment bank priced $1.37 million in single-barrier synthetic reverse convertibles linked to light sweet crude.

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