HSBC to price notes tied to three buffered return enhanced indexes via JPMorgan

By Angela McDaniels

Tacoma, Wash., Sept. 16 - HSBC USA Inc. plans to price 0% notes due Oct. 6, 2010 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

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

The components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Tokyo Stock Price index with a 28% weight and the FTSE 100 index with a 23% weight.

The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.

If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.

The cap is 17.4% for the Euro Stoxx 50, 10.85% for the Topix and 13.2% for the FTSE 100. Based on these caps, the maximum payout at maturity is $1,146 per $1,000 principal amount of notes.

The notes will price Sept. 18 and settle Sept. 23.

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