HSBC plans 0% notes on buffered return enhanced indexes via JPMorgan

By Marisa Wong

Milwaukee, May 18 - HSBC USA Inc. plans to price 0% notes due June 10, 2011 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The components are the Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Tokyo Stock Price index with a 24% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.

If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.

The cap is 26.6% for the Euro Stoxx 50 index, 16% for the FTSE 100 index and 6% for the Tokyo Stock Price index. Based on these caps, the maximum payout at maturity will be $1,191.12 per $1,000 principal amount of notes.

The notes will price on May 21 and settle on May 26.

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

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