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

By Angela McDaniels

Tacoma, Wash., March 23 - HSBC USA Inc. plans to price 0% semiannual review notes due April 14, 2011 linked to the S&P 500 index via agent J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above its call level on a semiannual valuation date, the notes will be automatically called and investors will receive par plus an annualized return of 13.4%. The valuation dates are Sept. 28, 2009, April 9, 2010, Sept. 27, 2010 and April 11, 2011. The call level is 80% of the initial index level on the first valuation date, 90% on the second valuation date, 95% on the third valuation date and 100% on the fourth valuation date.

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

The notes will price March 26 and settle March 31.

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