HSBC to price quarter-annual review notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., Feb. 23 - HSBC USA Inc. plans to price 0% semiannual review notes due March 17, 2010 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 price Feb. 26 and settle March 3.

If the index closes at or above its call level on a quarterly valuation date, then the notes will be automatically called and investors will receive par plus an annualized return of 16.8%. The valuation dates are May 26, Aug. 26, 2009, Nov. 27, 2009 and March 12, 2010. The call level is 85% of the initial index level on the first valuation date, 90% on the second valuation date, 95% on the third valuation date and 100% on the fourth valuation date.

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

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