HSBC USA plans 18% worst of reverse convertibles linked to financial stock basket

By Angela McDaniels

Tacoma, Wash., April 10 - HSBC USA Inc. plans to price worst of reverse convertible notes due Oct. 23, 2008 linked to the common stocks of Bank of America Corp., Citigroup Inc., Goldman Sachs Group, Inc. and Merrill Lynch & Co., Inc., according to an FWP filing with the Securities and Exchange Commission.

The six-month notes will pay 9% for an annualized coupon of 18%. Interest will be payable monthly.

If any of the four stocks falls below its barrier price - 55% of its initial price - during the life of the notes and the worst-performing stock finishes below its initial price, the payout at maturity will be number of shares of the worst-performing stock equal to $1,000 divided by the initial price of that stock. Otherwise, the payout will be par.

The notes are expected to price on April 18 and settle on April 23.

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

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