HSBC prices $5 million performance securities linked to Climate Change index as market crawls

By Sheri Kasprzak

New York, Nov. 21 - HSBC USA, Inc. led action on Wednesday with a $5 million offering of notes linked to its Investable Climate Change index as market insiders headed out early to catch their planes and trains or hit the highways ahead of the Thanksgiving holiday.

One market insider captured the essence of the day when he responded, via BlackBerry, late in the day while heading out of town.

"Not much going on today," he said. "People leaving early, so it's pretty quiet."

He noted that he had not heard of the HSBC notes but added that the securities "seem like an interesting item."

The HSBC Investable Climate Change index tracks the performance of up to 50 liquid stocks with revenue derived substantially from producing emissions-reducing technologies or other technologies aimed at reducing pollution.

Terms of HSBC's notes

The five-year notes are not principal protected and pay par plus 110% of the return on the index, assuming the return is positive.

If the index return is zero, the investors receive par at maturity.

If the index return is less than zero, the investors will receive the principal amount reduced by that negative index return.

Citi prices notes linked to Alcoa, Morgan Stanley

In terms of size Wednesday, little could compete with Citigroup Funding, Inc.'s issue of $87.43 million Equity LinKed Securities linked to the stock of Alcoa, Inc.

The 12.5% ELKS have a one-year term and pay par at maturity if the stock does not fall below the 27.5% barrier price.

Otherwise, the notes pay a number of shares of Alcoa's stock equal to the equity ratio, which is equal to par divided by the initial share price.

Citigroup also priced $79.33 million in 14% ELKS linked to Morgan Stanley.

These notes also have a one-year term and the notes pay par at maturity unless the stock falls below the 30% barrier.

If that happens, the notes pay a number of shares equal to the equity ratio, which is equal to par divided by the initial share price.

Lehman adds $1.17 million to crude oil notes

Elsewhere, Lehman Brothers Holdings, Inc. priced another $1.17 million in principal-protected notes linked to crude oil Wednesday.

The zero-coupon, five-year notes pay par plus the principal amount times the 150% upside participation rate times the crude oil return, if the return is greater than or equal to 0%.

If the crude oil return is less than 0%, the investors receive par plus the principal amount times the 50% downside participation rate times the absolute value of the crude oil return.

The latest issue brings the total notes sold to $5.51 million. The investment bank priced $3.96 million in an earlier issue and $380,000 before that.

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