New Issue: HSBC sells $3.82 million semiannual review notes linked to S&P 500 index via JPMorgan

By E. Janene Geiss

Philadelphia, Feb. 6 - HSBC USA Inc. priced $3.82 million of 0% semiannual review notes due Feb. 24, 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 18% if the index closes at 90% of the initial index level on the first call date, Feb. 19, 2010. The notes will be automatically called at par plus 27% if the index level is at 100% of the initial level on Aug. 20, 2010 and par plus 36% if the index level is at 100% on Feb. 19, 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:	$3,815,000
Maturity:	Feb. 24, 2011
Coupon:	0%
Price:	Par
Call:	Automatically called at par plus an annualized return of 18% if index closes at 90% of the initial index level of the first call date, Feb. 19, 2010. The notes will be automatically called at par plus 27% if the index level is at 100% on Aug. 20, 2010 and par plus 36% if the index is at 100% on Feb. 19, 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:	845.85
Protection level:	761.27, 90% of initial level
Pricing date:	Feb. 5
Settlement date:	Feb. 10
Agent:	J.P. Morgan Securities Inc.
Fees:	1.5%

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