Lehman plans absolute return notes linked to S&P; Deutsche to sell notes linked to DB Liquid Commodity

By LLuvia Mares

New York, Jan. 3 - Amid a slow day in structured products Thursday, Lehman Brothers Holdings Inc. announced plans to price an issue of zero-coupon 100% principal-protected absolute return barrier notes due July 31, 2009 linked to the S&P 500 index.

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

If the index ever closes above the upper index barrier or below the lower index barrier, investors will receive par at maturity. The upper and lower index barriers are expected to be between 25.15% and 28.15% of the initial level, with the exact barrier levels to be determined at pricing.

If the index stays within the barriers, the payout at maturity will be par plus the absolute value of the index return.

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

Deutsche Liquid Commodity notes

Reflecting the continued popularity of principal-protected notes, Deutsche Bank AG, London Branch said it will price zero-coupon 100% principal-protected notes due Jan. 31, 2013 linked to the Deutsche Bank Liquid Commodity Index - Optimum Yield Excess Return.

The Deutsche Bank Liquid Commodity Index - Optimum Yield Excess Return reflects the performance of a basket of futures contracts on six commodities, West Texas Intermediate light sweet crude oil, New York Harbor No. 2 heating oil, high grade primary aluminum, gold, corn and wheat.

The payout at maturity will be par plus any index gain multiplied by a participation rate that will be determined at pricing and is expected to be 100% to 120%. Investors will receive at least par.

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

Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas will be the agents.

HSBC to issue reverse convertibles

In the mining sector, HSBC USA Inc. announced plans to price 14.17% annualized reverse convertible notes due July 31, 2008 linked to the common stock of United States Steel Corp.

Interest will be payable monthly.

At maturity, investors will receive par unless United States Steel stock falls below the protection price - 70% 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 United States Steel 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.

HSBC to issue reverse convertibles linked to Southern Copper

In a similar but separate structure, HSBC USA Inc. plans to price 15.56% reverse convertible notes due May 1, 2008 linked to the common stock of Southern Copper Corp.

According to market sources, metals are expected to perform well in the market in 2008.

Interest will be payable monthly.

At maturity, investors will receive par unless Southern Copper stock falls below the protection price - 70% 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 Southern Copper 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.

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