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

By Susanna Moon

Chicago, March 2 - HSBC USA Inc. plans to price 0% quarter-annual review notes due March 24, 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 be automatically called if the index closes at or above its call level on any of four review dates. The call level is 85% of the initial index level on the first review date, 90% of the initial level on the second review date, 95% of the initial level on the third review date and 100% of the initial level on the fourth review date.

The redemption amount will be 104% of par if the notes are called on June 2, 2009, 108% of par if called on Sept. 2, 2009, 112% of par if called on Dec. 3, 2009 and 116% of par if called on March 19, 2010.

If the notes are not called, the 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 March 5 and settle on March 10.

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