HSBC USA plans semiannual review notes linked to gold via JPMorgan

By Jennifer Chiou

New York, Feb. 26 - HSBC USA Inc. plans to price 0% semiannual review notes due March 9, 2011 linked to the price of gold, according to an FWP filing with the Securities and Exchange Commission.

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

If the price closes at or above its call level on a semiannual valuation date, then the notes will be automatically called and investors will receive par plus an annualized return of 12%. The valuation dates are Sept. 4, 2009, March 4, 2010, Sept. 3, 2010 and March 4, 2011. The call level is 90% of the initial price on the first valuation date, and 100% of the initial price on the remaining valuation dates.

If the notes are not called, then the payout at maturity will be par unless the price declines by more than 20%. In that case, investors will lose 1% for every 1% decline beyond 20%.

The notes will price on March 4 and settle on March 9.

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