HSBC USA plans absolute return barrier notes linked to Russell 2000 via UBS

By E. Janene Geiss

Philadelphia, Aug. 5 - HSBC USA Inc. plans to price zero-coupon 100% principal protection absolute return barrier notes expected to mature Feb. 26, 2010 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the index ever closes above or below its initial level by more than a range amount, the payout at maturity will be par plus the absolute value of the final index return.

Otherwise, the payout will be par.

The upper and lower index barriers of the range will be between 26.5% and 29% above and below the initial level, respectively, with the exact range to be set at pricing.

The notes are expected to price Aug. 26 and settle Aug. 29.

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

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