HSBC to issue 5.625% down & in worst of reverse convertibles linked to ADS basket

By Jennifer Chiou

New York, June 6 - HSBC USA Inc. plans to price 5.625% down & in worst of reverse convertible notes due Oct. 1, 2007 linked to a basket of American Depositary Shares, according to an FWP filing with the Securities and Exchange Commission.

Interest will be payable at maturity.

The basket includes the American Depositary Shares representing the stocks of Companhia Siderúrgica Nacional SA, TAM SA, Gerdau SA and Companhia Vale Do Rio Doce.

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 the market price of the worst-performing ADS falls below the protection price - 80% of the initial price - during the life of the notes and finishes below the initial price, in which case the payout will be a number of the worst-performing ADS equal to $1,000 divided by the initial price.

The notes are expected to price on June 26 and settle on June 29.

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

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