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

By Jennifer Chiou

New York, Dec. 18 - HSBC USA Inc. plans to price 0% semiannual review notes due Dec. 23, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. will be the agent.

The notes will be called automatically if the index closes at or above the call level on any of three semiannual review dates. The call level will be equal to 80% of the initial index level on the first review date and equal to the initial index level on the second and third review dates.

The redemption amount will be par plus 14.6% if the notes are called on Dec. 31, 2009, par plus 21.9% if called on June 24, 2010 and par plus 29.2% if called on Dec. 23, 2010.

The payout at maturity will be par unless the index declines by more than 20%, in which 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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