HSBC to price 0% notes linked to three buffered return enhanced indexes via JPMorgan

By E. Janene Geiss

Philadelphia, Jan. 7 - HSBC USA Inc. plans to price 0% notes due Jan. 27, 2010 linked to a basket of three buffered return enhanced components via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Tokyo Stock Price index with a 20% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.

If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be 0%. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.

The maximum return will be at least 20.3% for the Euro Stoxx 50, at least 19.4% for the FTSE 100 and at least 20% for the Tokyo Stock Price index. The exact caps will be set at pricing.

The final basket level will be the arithmetic average of the basket's closing levels on the five consecutive trading days ending Jan. 22, 2010.

The notes are expected to price Jan. 9 and settle Jan. 14.

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