HSBC USA plans 17.5% down & in worst of reverse convertibles linked to stock basket

By Angela McDaniels

Seattle, June 29 - HSBC USA Inc. plans to price 17.5% down & in worst of reverse convertible notes due July 30, 2008 linked to a basket of common stocks, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable monthly.

The basket will include the common stocks of AT&T Inc.; Altria Group, Inc.; Citigroup Inc.; E.I. du Pont de Nemours and Co.; General Electric Co.; General Motors Corp.; JPMorgan Chase & Co.; Merck & Co, Inc.: Pfizer Inc.; and Verizon Communications Inc.

The payout at maturity will be par unless any stock falls below its 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 shares of the worst-performing stock equal to $1,000 divided by that stock's initial share 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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