HSBC to sell buffered return notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, July 1 - HSBC USA Inc. plans to price 0% buffered return enhanced notes due July 22, 2010 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 payout at maturity will be par plus double any index gain, up to a maximum return of 17.6%.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The final index level will be the arithmetic average of the index's closing levels on the five consecutive trading days ending July 19, 2010.

The notes will price on July 2 and settle on July 8.

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