HSBC USA to issue 22.5% down & in worst of reverse convertibles linked to stock basket

By Jennifer Chiou

New York, June 29 - HSBC USA Inc. plans to price 22.5% annualized down & in worst of reverse convertible notes due Jan. 30, 2008 linked to a basket of stocks, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The basket includes the stocks of Archer-Daniels-Midland Co., SunPower Corp. and VeraSun Energy Corp.

The payout will be determined according to the performance of all reference assets during the life of the notes. At maturity, investors will receive par unless any stock falls below its protection price - 75% 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 July 25 and settle on July 30.

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

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