HSBC plans semiannual review notes linked to S&P 500 with three review dates via JPMorgan

By Jennifer Chiou

New York, Jan. 28 - HSBC USA Inc. plans to price 0% semiannual review notes due Feb. 16, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. is the agent.

The notes will be called automatically if the index closes at or above the call level on any of three semiannual review dates. The call level will be equal to 90% of the initial index level on the first review date and equal to the initial level on the remaining review dates.

The redemption amount will be par plus 17.5% per year. The first review date is Feb. 12, 2010, the second review date is Aug. 13, 2010, and the final review date is Feb. 11, 2011.

The payout at maturity will be par unless the index declines by more than 10%, in which case investors will lose 1.1111% for every 1% decline beyond 10%.

The notes are expected to price Jan. 29 and settle Feb. 3.

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