HSBC USA plans knock-out buffer notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, Feb. 26 - HSBC USA Inc. plans to price 0% knock-out buffer notes due Sept. 1, 2010 linked to the S&P 500 index via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the index ever declines by more than the buffer amount of 30%.

If a knock-out event occurs, the payout at maturity will be par plus the index return. Investors are fully exposed to any index decline.

If a knock-out event has not occurred, the payout will be par plus the index return, subject to a contingent minimum return of 4.5%.

The notes will price on Feb. 27 and settle on March 4.

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