HSBC USA to price autocallable notes linked to basket of ETFs

By Susanna Moon

Chicago, July 7 - HSBC USA Inc. plans to price 0% autocallable notes due July 16, 2010 linked to a basket of exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The underlying funds are the Standard & Poor's Depositary Receipts, PowerShares QQQ Trust, Series 1, and Midcap SPDR Trust.

The notes will be called automatically if the worst-performing fund closes at or above its initial price on any of eight quarterly auto redemption dates.

Investors will receive 103.25 if the notes are called on Oct. 8; 106.5 on Jan. 9, 2009; 109.75 on April 8, 2009; 113 on July 9, 2009; 116.25 on Oct. 8, 2009; 119.5 on Jan. 11, 2010; 122.75 on April 9, 2010; and 126 on July 9, 2010.

If the notes are not called, the payout at maturity will be par if the final price of each fund is at least its barrier price - 75% of its initial price. Otherwise, the payout will be a number of shares of the worst-performing fund equal to par divided by that fund's initial price.

The notes are expected to price on July 9 and settle on July 16.

HSBC Securities (USA) Inc. will be the agent.

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