HSBC USA to issue 27% down & in worst of reverse convertibles linked to stock basket

By Jennifer Chiou

New York, Nov. 6 - HSBC USA Inc. plans to price 27% down & in worst of reverse convertible notes due May 30, 2008 linked to a basket of stocks, according to an FWP filing with the Securities and Exchange Commission.

The underlying stocks are Altria Group, Inc., Citigroup Inc., AT&T Inc., Pfizer Inc., JPMorgan Chase & Co., Merck & Co., Inc., General Electric Co., Verizon Communications Inc., General Motors Corp. and E.I. Du Pont de Nemours and Co.

Interest will be payable monthly.

The payout will depend on the performance of the reference stocks. At maturity, investors will receive par unless any stock falls below the protection price - 65% of its initial share price - during the life of the notes and the worst-performing stock finishes below its initial share price, in which case the payout will be a number of the worst-performing stock equal to $1,000 divided by its initial price.

The notes are expected to price on Nov. 27 and settle on Nov. 30.

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

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