HSBC to sell semiannual review notes linked to S&P 500 via JPMorgan

By Susanna Moon

Chicago, March 2 - HSBC USA Inc. plans to price 0% semiannual review notes due March 23, 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 automatically called if the index closes at or above its call level on any of four review dates. The call level is 80% of the initial index level on the first review date, 90% of the initial level on the second review date and 100% of the initial level on the third and fourth review dates.

The redemption amount will be 106.9% of par if the notes are called on Sept. 2, 2009, 113.8% of par if called on March 19, 2010, 120.7% of par if called on Sept. 17, 2010 and 127.6% of par if called on March 18, 2011.

If the notes are not called, the payout at maturity will be par unless the index falls by more than 10%, in which case investors will lose 1.1111% for every 1% decline beyond 10%.

The notes will price on March 5 and settle on March 10.

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