HSBC USA to price semiannual review notes linked to Tokyo Stock Price index via JPMorgan

By Angela McDaniels

Tacoma, Wash., Dec. 18 - HSBC USA Inc. plans to price 0% semiannual review notes due Dec. 24, 2010 linked to the Tokyo Stock Price index, according to an FWP filing with the Securities and Exchange Commission.

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

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 12.3%. The valuation dates are Dec. 30, 2009, June 21, 2010 and Dec. 20, 2010. The call level is 80% of the initial index level on the first valuation date and 100% of the initial level on the second and third valuation dates.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 20%. In that case, investors will lose 1.25% for every 1% decline beyond 20%.

The notes will price on Dec. 19 and settle on Dec. 24.

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