HSBC plans semiannual review notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, Feb. 10 - HSBC USA Inc. plans to price 0% semiannual review notes due March 1, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

The notes will be automatically called if the index closes at or above its call level on any of three review dates. The call level is 90% of the initial index level on the first review date and 100% of the initial level on the second or third review dates.

The redemption amount will be 115.2% of par if the notes are called on Feb. 26, 2010, 122.8% of par if called on Aug. 26, 2010 and 130.4% of par if called on Feb. 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%.

The notes will price on Feb. 12 and settle on Feb. 18.

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