HSBC to issue reverse convertible notes; Lehman plans bearish notes linked to consumer index

By LLuvia Mares

New York, Jan. 7 - Despite a decrease in the volume of structured products in the past holiday-shortened week, HSBC's Monday morning was a busy one. Among the deals announced, HSBC will issue 15% reverse convertibles notes due. 31, 2008 linked to Toll Brothers.

"I think the slowdown is due to the holidays," said one market source. "I suspect it will pick up soon, now that people have had some time to recover."

At maturity, investors will receive par unless Toll Brothers stock falls below the protection price - 60% of the initial share price - during the life of the notes and finishes below the initial share price, in which case the payout will be a number of Toll Brothers shares equal to $1,000 divided by the initial share price.

The notes are expected to price on Jan. 28 and settle on Jan. 31.

HSBC Securities (USA) Inc. will be the agent.

Lehman plans notes linked to consumer index

Elsewhere in the market, Lehman Brothers Holdings Inc. plans to price 0% bearish autocallable optimization securities with contingent protection due July 31, 2009 linked to the S&P 500 Consumer Discretionary index.

The notes will be automatically called if the closing level of the index is at or below its starting level on any observation date. The call price will be equal to par of $10 plus a fixed annual return to the relevant observation date. The annual return will be between 27% and 31% with the exact level to be set at pricing.

The observation dates are April 25, 2008, July 28, 2008, Oct. 28, 2008, Jan. 27, 2009, April 27, 2009 and July 28, 2009.

At maturity, investors will receive par if the index stays below the trigger level - 130% of the index's starting level - during the life of the notes. If the index has ever closed above the trigger level, the payout will be par times one minus the index return.

The notes are expected to price on Jan. 28 and settle on Jan. 31.

UBS Financial Services Inc. and Lehman Brothers Inc. are the underwriters.

RBC plans enhanced return notes linked to S&P 500

Royal Bank of Canada also announced plans to price zero-coupon enhanced return (leveraged) notes due Feb. 27, 2009 linked to the S&P 500 index.

If the final index level is at least the initial level, the payout at maturity will be par plus 300% of any index gain, capped at a maximum payout equal to 112% of par.

Otherwise, the payout will be par times the index performance.

The notes are expected to price on Jan. 28 and settle on Jan. 31

RBC Capital Markets Corp. will be the underwriter.

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