Barclays prices $11.94 million in notes linked to Dow Jones Euro Stoxx 50

By Sheri Kasprzak

New York, May 14 - Barclays Bank plc led structured products news with two interesting offerings. The investment bank priced $11.945 million in 0% buffered enhanced return notes linked solely to the Dow Jones Euro Stoxx 50 index and announced plans to price notes in a new structure called Smores linked to Fannie Mae mortgage-backed securities.

The Euro Stoxx-linked notes pay double the return on the index if the final index level is greater than the initial level, capped at 15.6%.

The notes are protected up to a 10% decline and investors will lose 1.1111% for every 1% the index drops beyond 10%.

Euro Stoxx sees improvement

"There have been some pretty steady gains in the index over the past couple of months," noted one market source. "It makes sense in that case to see it stand alone. Of course I'm sure it's not going to cease to be part of a basket. Quite the contrary. There is a great deal of demand for index baskets now and the [Dow Jones Euro Stoxx 50] index is going to continue to be a big part of baskets."

On Monday, the index was down 0.2%, or 9.35, at 4,413.72. At the end of April, the index closed at 4,392.34.

The majority of the top 10 stocks that make up the index saw double-digit gains year over year, as of April 30.

Unicredito Italiano was up 26.97% over the same period of 2006, E.On was up 18.24% year-over-year, and BNP Paribas' stock climbed 14.35% over a year. Siemens' stock was up 18.93% over the year and Groupe Societe Generale climbed a whopping 30.10% over the year. Allianz's stock was up 25.62%. Total, the number-one company on the Dow Jones Euro Stoxx 50 index by size, was up just 0.67% and BCO Santander Central Hispano's stock was up 7.32% for that time period.

Barclays' MBS-linked notes

Elsewhere, Barclays said it plans to price four tranches of automatically redeemable notes in the Smores structure linked to a reference pool of Fannie Mae mortgage-backed securities.

The 22-year notes include a pool of fixed-rate, level payment, fully amortizing mortgages, fixed-rate initial interest mortgages or fixed-rate balloon/reset mortgages formed by Fannie Mae and issued on Oct. 1, 2005.

From July 2007 through maturity, each tranche will be redeemed in full if the prepayments on the underlying pool of mortgages run fast enough to cause the remaining amount of the pool to fall below a preset threshold.

There are four tranches using two sets of interest payment dates and two different thresholds for prepayment speeds.

Assuming the notes are not redeemed before maturity, investors will receive par plus one month's interest at maturity.

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