New Issue: HSBC sells $24.18 million semiannual review notes linked to S&P 500 index via JPMorgan

By Jennifer Chiou

New York, Jan. 23 - HSBC USA Inc. priced $24.18 million of 0% semiannual review notes due Jan. 27, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

J.P. Morgan Securities Inc. is the agent.

The notes will be automatically called at par plus an annualized return of 21% if the index closes at or above its call level, which is 90% of the initial index level on July 22, 2009 and 100% of the initial level on Jan. 29, 2010, July 22, 2010 and Jan. 24, 2011.

If the notes are not called, payout at maturity will be par unless the index falls by more than 10%, in which case investors will lose 1.1111% for every 1% decline beyond 10%.

Issuer:	HSBC USA Inc.
Issue:	Semiannual review notes
Underlying index:	S&P 500
Amount:	$24,175,000
Maturity:	Jan. 27, 2011
Coupon:	0%
Price:	Par
Call:	Automatically at par plus annualized return of 21% if index closes at or above call level on any valuation date; call level is 90% on July 22, 2009 and 100% on Jan. 29, 2010, July 22, 2010 and Jan. 24, 2011
Payout at maturity:	Par unless index falls by more than 10%, in which case 1.1111% loss for every 1% decline beyond 10%
Initial index level:	827.50
Index barrier:	744.75, 90% of initial level
Pricing date:	Jan. 22
Settlement date:	Jan. 27
Agent:	J.P. Morgan Securities Inc.
Fees:	1.5%

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