HSBC USA to price performance securities linked to index basket via UBS

By Susanna Moon

Chicago, Feb. 25 - HSBC USA Inc. plans to price 0% performance securities with contingent protection due March 31, 2011 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

UBS Financial Services Inc. and HSBC USA Inc. will be the underwriters.

The basket comprises the Dow Jones Euro Stoxx 50 index weighted at 40%, the FTSE 100 index weighted at 25%, the Nikkei 225 index weighted at 20%, the Swiss Market index weighted at 5%, the S&P/ASX 200 index weighted at 5% and the MSCI Emerging Markets index weighted at 5%.

If the final index return shows a gain, the payout at maturity will be par of $10 plus the final index return multiplied by a participation rate expected to be between 110% and 115%. The exact rate will be set at pricing.

If the final index return is negative, the payout will be par unless the index falls below the trigger price - 70% of the initial index level - during the life of the notes, in which case the payout will be par plus the final index return.

The notes are expected to price on March 26 and settle on March 31.

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