HSBC plans notes tied to buffered return enhanced indexes via JPM

By Jennifer Chiou

New York, April 29 - HSBC USA Inc. plans to price 0% notes due May 19, 2011 linked to a basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The components are the Dow Jones Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Tokyo Stock Price index with a 24% 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 22.92% for the Euro Stoxx 50, 14.02% for the FTSE 100 and 6% for the Tokyo Stock Price. Based on these caps, the maximum payout at maturity is $1,167.20 per $1,000 principal amount of notes.

The notes will price on April 30 and settle on May 5.

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

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