Two will be related to commodities and another will track a stock index of private-equity players. The trio will be branded under the "Opta" name.

"We're very excited about the launch of our Opta platform, and we do expect to grow it over the coming year," said Anthony Tuths, a senior vice president at Lehman Bros. in New York.

On Thursday, the new Lehman ETNs set to begin trading are:

• The Opta S&P Listed Private Equity Index Net Return ETN (NYSE Arca: PPE). It includes the stocks of 30 listed companies whose primary business is private equity investing. The portfolio will exclude real estate income and property trusts. According to Lehman Bros., it's a rules-based net return index. "The Index uses quantitative and qualitative criteria for constituent selection (size, liquidity, exposure and activity requirements), and employs a liquidity-driven weighting scheme to selected constituents. The index is rebalanced semi-annually," the company says in its disclosures. The ETN will come with an expense ratio of 0.75%.
• The Opta Lehman Brothers Commodity Index Pure Beta Total Return ETN (AMEX: RAW). It covers energy, metals, agriculture and livestock. Lehman describes this as a "second-generation" index product designed to track spot commodity returns, "and may generate greater returns than first-generation indices." It will have an expense ratio of 0.85%.
• The Opta Lehman Brothers Commodity Index Pure Beta Agriculture Total Return ETN (AMEX: EOH). The underlying index includes eight futures contracts broken down into grains (corn, soybean meal, soybean oil, soybeans, and wheat) and softs (coffee, cotton, and sugar). Also characterized as a "second-generation" index fund, EOH should track spot commodity returns in agriculture. It will charge an expense ratio of 0.85%.

The ETNs will enter a growing field. In the last few years, several open-end mutual funds have come to market providing access to the commodities space. Two of the most popular are the PIMCO Commodity Real Return Fund (PCRAX) and the Oppenheimer Commodity Strategy Total Return Fund (QRAAX).

Besides coming with loads in many cases and charging expense ratios greater than 1% per year, mutual funds face income and asset restrictions when buying futures contracts. In most cases, open-end mutual funds represent portfolios of structured notes linked to commodities rather than directly purchasing futures contracts.

And in the past year, several new ETFs have come onto the market entering the commodities marketplace.

They don't have the same restrictions as mutual funds. Instead, ETFs are formed as what amounts to huge commodity pools. What that means is that these are partnerships that investors can buy into through an ETF format.

ETNs are a little different. In the case of these new vehicles, investors will basically have an opportunity to buy Lehman debt. Such instruments will come with 30-year terms, but they'll trade each day on an exchange. Two of Lehman's first set of ETNs will trade on the American Stock Exchange and the other on the New York Stock Exchange.

Anytime an investor wants to buy or sell his or her ETNs, they can do so just like a stock. New ETNs can also be issued continually by Lehman. The significance of that is just like ETFs, the underlying values of the new ETNs can be kept in line with the price of the underlying indexes.

But there are differences. When investors redeem shares of ETFs, they get the underlying portfolio's stock or cash value. But with ETNs, investors are buying a note that's directly tied to an index. In theory at least, that should result in less tracking error.

A major caveat remains, however. Investors should realize that as unsecured notes, their value is underwritten by Lehman Bros. If anything happens to Lehman—which has hardly been immune from the ongoing mortgage meltdown—then their ETN investors could be left out in the cold.

Still, the likelihood of Lehman Brothers going bankrupt is small—the company retains an A-plus rating on its debt from Standard & Poor's and an A-1 ranking from Moody's ratings service.

Tax questions remain with ETNs. The U.S. Treasury Department earlier this year issued a notice that asked for comments on the correct tax treatment on ETNs. It also ruled that ETNs linked to a single currency shouldn't receive a beneficial tax treatment. That means most current currency ETNs will be treated for tax purposes like bonds.

But commodities ETNs are still being treated as deferred tax instruments. Worth noting is that Treasury officials continue to look at this issue. More detailed information on the funds and their prospectuses can be found on the firm's new site: http://www.optaetn.com/.