FWP 1 v156422_fwp.htm Unassociated Document
 
HSBC USA INC.
$
Buffered Return Enhanced Market Participation Notes
Linked to the S&P 500® Index
Filed Pursuant to Rule 433
Registration No. 333-158385
August 4, 2009
FREE WRITING PROSPECTUS
(To Prospectus dated April 2, 2009,
Prospectus Supplement dated April 9, 2009,
and Product Supplement dated April 9, 2009)
 
The notes are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. This debt is not guaranteed under the Federal Deposit Insurance Corporation’s Temporary Liquidity Guarantee Program. The notes offered hereby will have the terms described in this free writing prospectus and the accompanying product supplement, prospectus supplement and prospectus. If the terms of the notes offered hereby are inconsistent with those described in the accompanying product supplement, prospectus supplement or prospectus, the terms described in this free writing prospectus shall control.  You should be willing to forgo interest and dividend payments during the term of the notes and, if the reference return is negative, lose up to 90% of your principal.

This free writing prospectus relates to an offering of notes. The purchaser of a note will acquire a senior unsecured security linked to the S&P 500® Index as described below. Although the offering relates to the S&P 500® Index, you should not construe that fact as a recommendation as to the merits of acquiring an investment in any security comprising the S&P 500® Index or as to the suitability of an investment in the related notes. The following key terms relate to the offering of notes:

Principal Amount:
$1,000 per note.
Reference Asset:
The S&P 500® Index (the “Reference Asset”) (Ticker: SPX)
Trade Date:
August 24, 2009
Pricing Date:
August 24, 2009
Original Issue Date:
August 27, 2009
Final Valuation Date:
November 24, 2010.  The final valuation date is subject to adjustment as described under “Specific Terms of the Notes — Market Disruption Events” in the accompanying product supplement.
Maturity Date:
4 business days after the final valuation date, which is expected to be November 30, 2010.  The maturity date is subject to adjustment as described under “Specific Terms of the Notes — Market Disruption Events” in the accompanying product supplement.
Upside Participation Rate:
200%
Buffer Value:
-10%
Maximum Cap:
12.00% to 17.00%  The actual Maximum Cap will be determined on the Pricing Date and will be between 12.00% and 17.00%.
Payment at Maturity:
On the maturity date, for each note, we will pay you the final settlement value.
Final Settlement Value:
If the Reference Return is greater than or equal to zero, you will receive a cash payment on the maturity date, per $1,000 principal amount of notes, equal to the lesser of:
(a) $1,000 + ($1,000 × Reference Return × Upside Participation Rate); and
(b) $1,000 + ($1,000 × Maximum Cap).
 
If the Reference Return is less than zero but greater than or equal to the Buffer Value, you will receive $1,000 per $1,000 principal amount of notes (zero return).
 
If the Reference Return is less than the Buffer Value, you will receive a cash payment on the maturity date, per $1,000 principal amount of notes, calculated as follows:
$1,000 + [$1,000 × (Reference Return + 10%)]
Under these circumstances, you will lose 1% of the principal amount of your notes for each percentage point that the Reference Return is below the Buffer Value.  For example, because the buffer protects the first 10% of loss, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the principal amount.  You should be aware that if the Reference Return is less than the Buffer Value, you may lose up to 90% of your investment.
Reference Return:
The quotient, expressed as a percentage, calculated as follows:
 
Final Level – Initial Level
          Initial Level
Initial Level:
The Official Closing Level of the S&P 500® Index as determined by the calculation agent on the Pricing Date.
Final Level:
The Official Closing Level of the S&P 500® Index as determined by the calculation agent on the final valuation date.
Official Closing Level:
The closing level of the Reference Asset on any scheduled trading day as determined by the calculation agent and displayed on Bloomberg Professional® service page “SPX <Index>”.
CUSIP/ISIN:
4042K0YM1 /
Agent’s Discount per Note / Total:
The agent’s discount may vary and will be determined on the Pricing Date.
Proceeds to HSBC USA Inc. per Note / Total:
The proceeds to us will depend on the agent’s discount and will be determined on the Pricing Date.
Form of notes:
Book-Entry.
Listing:
The notes will not be listed on any U.S. securities exchange or quotation system.
 
Investment in the notes involves certain risks. You should refer to “Risk Factors” beginning on page FWP-4 of this document, page PS-4 of the accompanying product supplement and page S-3 of the accompanying prospectus supplement.
 
Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or determined that this free writing prospectus, or the accompanying product supplement, prospectus supplement and prospectus, is truthful or complete.  Any representation to the contrary is a criminal offense.
 
We may use this free writing prospectus in the initial sale of notes.  In addition, HSBC Securities (USA) Inc. or another of our affiliates or agents may use this free writing prospectus in market-making transactions in any notes after their initial sale.  Unless we or our agent informs you otherwise in the confirmation of sale, this free writing prospectus is being used in a market-making transaction.
 
We have appointed HSBC Securities (USA) Inc. as agent for the sale of the notes.  HSBC Securities (USA) Inc. will offer the notes to investors directly or through other registered broker-dealers.
 
HSBC SECURITIES (USA) INC.
August 4, 2009
 
 
 
 
 
SUMMARY
 
General Terms
 
This free writing prospectus relates to one note offering linked to the Reference Asset identified on the cover page.  The purchaser of a note will acquire a security linked to a single Reference Asset.   We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part.  Although the offering of notes relates to the Reference Asset identified on the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to the Reference Asset or any component security included in the Reference Asset or as to the suitability of an investment in the notes.
 
You should read this document together with the prospectus dated April 2, 2009, the prospectus supplement dated April 9, 2009, and the product supplement dated April 9, 2009.  If the terms of the notes offered hereby are inconsistent with those described in the accompanying product supplement, prospectus supplement or prospectus, the terms described in this free writing prospectus shall control.  You should carefully consider, among other things, the matters set forth in “Risk Factors” beginning on page FWP-4 of this free writing prospectus, page PS-4 of the product supplement and page S-3 of the prospectus supplement, as the notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the notes.  As used herein, references to the “Issuer,” “HSBC,” “we,” “us” and “our” are to HSBC USA Inc.
 
HSBC USA Inc. has filed a registration statement (including a prospectus, a prospectus supplement and product supplement) with the U.S. Securities and Exchange Commission (“SEC”) for the offering to which this free writing prospectus relates.  Before you invest, you should read the prospectus and prospectus supplement in that registration statement and other documents HSBC USA Inc. has filed with the SEC for more complete information about HSBC USA Inc. and this offering.  You may get these documents for free by visiting EDGAR on the SEC’s web site at www.sec.gov.  Alternatively, HSBC USA Inc. or any dealer participating in this offering will arrange to send you the prospectus, prospectus supplement and product supplement if you request them by calling toll-free 1 888 800 4722.
 
You may also obtain:
 
 
 
 
We are using this free writing prospectus to solicit from you an offer to purchase the notes.  You may revoke your offer to purchase the notes at any time prior to the time at which we accept your offer by notifying HSBC Securities (USA) Inc.  We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance.  In the event of any material changes to the terms of the notes, we will notify you.
 
 
 
 
 
Payment at Maturity
 
On the maturity date, for each note, we will pay you the final settlement value, which is an amount in cash, as described below:
 
If the Reference Return is greater than or equal to zero, you will receive a cash payment on the maturity date, per $1,000 principal amount of notes, equal to the lesser of:  
 
(a) $1,000 + ($1,000 × Reference Return × Upside Participation Rate); and
 
(b) $1,000 + ($1,000 × Maximum Cap).
 
If the Reference Return is less than zero but greater than or equal to the Buffer Value, you will receive $1,000 per $1,000 principal amount of notes (zero return).
 
If the Reference Return is less than the Buffer Value, you will receive a cash payment on the maturity date, per $1,000 principal amount of notes, calculated as follows:
 
$1,000 + [$1,000 × (Reference Return + 10%)]
 
Under these circumstances, you will lose 1% of the principal amount of your notes for each percentage point that the Reference Return is below the Buffer Value.  For example, because the buffer protects the first 10% of loss, if the Reference Return is -30%, you will suffer a 20% loss and receive 80% of the principal amount.  You should be aware that if the Reference Return is less than the Buffer Value, you may lose up to 90% of your investment. 
 
Interest
 
The notes will not pay periodic interest.
 
Calculation Agent
 
We or one of our affiliates will act as calculation agent with respect to the notes.
 
Trustee
 
Notwithstanding anything contained in the accompanying prospectus supplement or product supplement to the contrary, the notes will be issued under the senior indenture dated March 31, 2009, between HSBC USA Inc., as Issuer, and Wells Fargo Bank, National Association, as trustee.
 
Paying Agent
 
Notwithstanding anything contained in the accompanying prospectus supplement or product supplement to the contrary, HSBC Bank USA, N.A. will act as paying agent with respect to the Notes pursuant to a Paying Agent and Securities Registrar Agreement dated June 1, 2009, between HSBC USA Inc. and HSBC Bank USA, N.A.
 
Reference Sponsor
 
Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) is the reference sponsor.
 
FWP-3
 
INVESTOR SUITABILITY
The notes may be suitable for you if:
¨    You seek an investment with an enhanced return linked to the potential positive performance of the Reference Asset and you believe the level of the Reference Asset will increase over the term of the notes.
¨    You are willing to invest in the notes based on the Maximum Cap indicated herein (the actual Maximum Cap will be determined on the Pricing Date) which may limit your return at maturity.
¨    You are willing to make an investment that is exposed to the negative Reference Return on a 1 to 1 basis for each percentage point that the Reference Return is less than -10%.
¨    You are willing to forego dividends or other distributions paid to holders of stocks comprising the Reference Asset.
¨    You do not seek current income from this investment.
¨    You do not seek an investment for which there is an active secondary market.
¨    You are willing to hold the notes to maturity.
¨    You are comfortable will the creditworthiness of HSBC, as issuer of the notes.
 
 
 
  
The notes may not be suitable for you if:
¨    You believe the Reference Return will be negative on the final valuation date or that the Reference Return will not be sufficiently positive to provide you with your desired return.
¨    You believe the level of the Reference Asset will decrease over the term of the notes.
¨    You are unwilling to make an investment that is exposed to the negative Reference Return on a 1 to 1 basis for each percentage point that the Reference Return is below -10%.
¨    You seek an investment that is 100% principal protected.
¨    You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities issued by HSBC or another issuer with a similar credit rating.
¨    You prefer to receive the dividends or other distributions paid on any stocks included in the Reference Asset.
¨    You seek current income from your investment.
¨    You seek an investment for which there will be an active secondary market.
¨    You are unable or unwilling to hold the notes to maturity.
¨    You are not willing or are unable to assume the credit risk associated with HSBC, as issuer of the notes.
 
 
RISK FACTORS
 
We urge you to read the section “Risk Factors” on page S-3 in the accompanying prospectus supplement and on page PS-4 of the accompanying product supplement.  Investing in the notes is not equivalent to investing directly in any of the stocks comprising the Reference Asset.  You should understand the risks of investing in the notes and should reach an investment decision only after careful consideration, with your advisers, of the suitability of the notes in light of your particular financial circumstances and the information set forth in this free writing prospectus and the accompanying product supplement, prospectus supplement and prospectus.
 
As you review “Risk Factors” in the accompanying prospectus supplement, you should pay particular attention to the following sections:
 
 
·
“— Risks Relating to All Note Issuances” and
 
 
·
“—Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset.”
 
You will be subject to significant risks not associated with conventional fixed-rate or floating-rate debt securities.
 
Your Investment in the Notes May Result in a Loss.
 
You will be exposed to the decline in the Final Level from the Initial Level beyond the Buffer Value of -10%.  Accordingly, if the Reference Return is less than -10%, your payment at maturity will be less than the principal
 
FWP-4
 
amount of your notes.  YOU MAY LOSE UP TO 90% OF YOUR INVESTMENT AT MATURITY IF THE REFERENCE RETURN IS BETWEEN -10% AND -100%.
 
The Appreciation on the Notes is Limited By the Maximum Cap.
 
 You will not participate in any appreciation in the level of the Reference Asset (as magnified by the Upside Participation Rate) beyond the Maximum Cap that will be between 12.00% and 17.00% (to be determined on the Pricing Date). YOU WILL NOT RECEIVE A RETURN ON THE NOTES GREATER THAN THE MAXIMUM CAP.
 
The Notes Will Not Bear Interest.
 
As a holder of the notes, you will not receive periodic interest payments.
 
Changes that Affect the Reference Asset Will Affect the Market Value of the Notes and the Amount You Will Receive at Maturity.
 
The policies of the reference sponsor concerning additions, deletions and substitutions of the constituents comprising the Reference Asset and the manner in which the reference sponsor takes account of certain changes affecting those constituents included in the Reference Asset may affect the level of the Reference Asset.  The policies of the reference sponsor with respect to the calculation of the Reference Asset could also affect the level of the Reference Asset.  The reference sponsor may discontinue or suspend calculation or dissemination of the Reference Asset.  Any such actions could affect the value of the notes.
 
Please read and pay particular attention to the section “Additional Risks Relating to Notes with an Equity Security or Equity Index as the Reference Asset” in the accompanying prospectus supplement.
 
The Notes are Not Insured by Any Governmental Agency of the United States or Any Other Jurisdiction.
 
The notes are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction.  An investment in the notes is subject to the credit risk of the Issuer, and in the event that the Issuer is unable to pay its obligations as they become due, you may not receive the full payment at maturity of the notes. This debt is not guaranteed under the Federal Deposit Insurance Corporation’s Temporary Liquidity Guarantee Program.
 
Uncertain Tax Treatment.
 
For a discussion of certain of the U.S. federal income tax consequences of your investment in a note, please see the discussion under “Certain U.S. Federal Income Tax Considerations” below, the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement and the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying prospectus supplement.
 
FWP-5
 
ILLUSTRATIVE EXAMPLES
 
The following table and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in the level of the Reference Asset relative to its Initial Level.  We cannot predict the Final Level of the Reference Asset on the final valuation date.  The assumptions we have made in connection with the illustrations set forth below may not reflect actual events, and the hypothetical Initial Level used in the illustrations below is not the actual Initial Level of the Reference Asset.  You should not take these examples as an indication or assurance of the expected performance of the Reference Asset. With respect to the notes, the final settlement value may be less than the amount that you would have received from a conventional debt security with the same stated maturity, including those issued by HSBC. The numbers appearing in the examples below have been rounded for ease of analysis.
 
The table below illustrates the payment at maturity on a $1,000 investment in notes for a hypothetical range of performance for the Reference Return from -100% to +100%. The following results are based solely on the assumptions outlined below.  You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the table below have been rounded for ease of analysis. You should not take the below illustration as an indication or assurance of the expected performance of the Reference Asset or return of the notes.
 
The following table and examples assume the following:
 
·
Principal Amount:
$1,000
 
·
Upside Participation Rate:
200%
 
·
Buffer Value:
10%
 
·
Initial level:
980.00
 
·
Maximum Cap:
14.50% (the midpoint of the expected range for the Maximum Cap of 12.00% to 17.00%)
The actual Initial Level and Maximum Cap will be determined on the Pricing Date.
 
The notes are intended to be long term investments and, as such, should be held to maturity. They are not intended to be short-term trading instruments. The price at which you will be able to sell your notes prior to maturity, if at all, may be at a substantial discount from the principal amount of the notes, even in cases where the level of the Reference Asset has appreciated since the Pricing Date of the notes. The potential returns described here assume that your notes are held to maturity.
 
Final level
Reference Return
Total Return
1960.00
100.00%
14.50%
1862.00
90.00%
14.50%
1764.00
80.00%
14.50%
1666.00
70.00%
14.50%
1568.00
60.00%
14.50%
1470.00
50.00%
14.50%
1372.00
40.00%
14.50%
1274.00
30.00%
14.50%
1176.00
20.00%
14.50%
1127.00
15.00%
14.50%
1078.00
10.00%
14.50%
1051.05
7.25%
14.50%
1029.00
5.00%
10.00%
999.60
2.00%
4.00%
989.80
1.00%
2.00%
980.00
 0.00%
0.00%
970.20
-1.00%
0.00%
960.40
-2.00%
0.00%
931.00
-5.00%
0.00%
882.00
-10.00%
0.00%
833.00
-15.00%
-5.00%
784.00
-20.00%
-10.00%
686.00
-30.00%
-20.00%
588.00
-40.00%
-30.00%
490.00
-50.00%
-40.00%
392.00
-60.00%
-50.00%
294.00
-70.00%
-60.00%
196.00
-80.00%
-70.00%
98.00
-90.00%
-80.00%
0.00
-100.00%
-90.00%
 
FWP-6
 
The following examples indicate how the final settlement value would be calculated with respect to a hypothetical $1,000 investment in the notes.
 
Example 1:  The level of the Reference Asset increases from the Initial Level of 980.00 to a Final Level of 1,029.00.
 
 
Reference Asset
Initial level
980.00
Final level
1,029.00
Reference Return
5.00%
Final Settlement Value:
$1,100.00
 
Here, the Reference Return is 5.00%.  Because the Reference Return is positive, and the Reference Return multiplied by the Upside Participation Rate is less than the Maximum Cap, the final settlement value would be $1,100.00 per $1,000 principal amount of notes calculated as follows:
$1,000 + $1000 × Reference Return × Upside Participation Rate
= $1,000 + ($1000 × 5.00% × 200.00%)
= $1,100
 
Example 1 shows that you will receive the return of your principal investment plus, if such amount is equal to or less than the Maximum Cap, a return equal to the Reference Return multiplied by 200% when the Reference Return is positive.
 
Example 2:  The level of the Reference Asset increases from the Initial Level of 980.00 to a Final Level of 1,078.00.
 
 
Reference Asset
Initial level
980.00
Final level
1,078.00
Reference Return
10.00%
Final Settlement Value:
$1,145.00
 
Here, the Reference Return is 10.00%.  Because the Reference Return is positive, and the Reference Return multiplied by the Upside Participation Rate is greater than the Maximum Cap, the final settlement value would be $1,145.00 per $1,000 principal amount of notes calculated as follows:
$1,000 + ($1000 × Maximum Cap)
= $1,000 + ($1000 × 14.50%)
= $1,145.00

 
Example 2 shows that you will receive the return of your principal investment plus, if the Reference Return multiplied by 200% exceeds the Maximum Cap, a return equal to the Maximum Cap when the Reference Return is positive.
 
Example 3:  The level of the Reference Asset decreases from the Initial Level of 980.00 to a Final Level of 931.00.
 
 
Reference Asset
Initial level
980.00
Final level
931.00
Reference Return
-5.00%
Final Settlement Value:
$1,000.00
 
Here, the Reference Return is -5.00%. Because the Reference Return is negative but greater than or equal to the Buffer Value, the final settlement value would be $1,000 per $1,000 principal amount of notes.
 
Example 3 shows that you will receive the return of your principal investment where the level of the Reference Asset declines by no more than 10% over the term of the notes.  Nonetheless, the receipt of only the principal amount at maturity may be less than the return that you would have received from a conventional debt security.
 
Example 4:  The level of the Reference Asset decreases from the Initial Level of 980.00 to a Final Level of 784.00.
 
 
Reference Asset
Initial level
980.00
Final level
784.00
Reference Return
-20.00%
Final Settlement Value:
$900.00
 
Here, the Reference Return is -20.00%.  Because the Reference Return is less than the Buffer Value of -10%, the final settlement value would be $900 per $1,000 principal amount of notes calculated as follows:
$1,000 + [$1000 × (Reference Return + 10%)]
= $1,000 + [$1000 × (-20.00% + 10%)
= $900
 
Example 4 shows that you may lose up to 90% of your initial investment if the Reference Return is less than -10%.
 
FWP-7
 
DESCRIPTION OF THE REFERENCE ASSET
 
General
 
This free writing prospectus is not an offer to sell and it is not an offer to buy interests in any Reference Asset or any of the securities comprising any Reference Asset or any underlying index.  All disclosures contained in this free writing prospectus regarding a Reference Asset, including its make-up, performance, method of calculation and changes in its components, where applicable, are derived from publicly available information. Neither HSBC nor any of its affiliates assumes any responsibilities for the adequacy or accuracy of information about any Reference Asset or any constituent included in any Reference Asset contained in this free writing prospectus.  You should make your own investigation into each Reference Asset.
 
The S&P 500® Index
 
We have derived all information relating to the Reference Asset, including, without limitation, its make-up, performance, method of calculation and changes in its components, from publicly available sources. That information reflects the policies of and is subject to change by, Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”).  S&P is under no obligation to continue to publish, and may discontinue or suspend the publication of the Reference Asset at any time.
 
S&P publishes the Reference Asset.
 
The Reference Asset is a capitalization weighted index and is intended to provide an indication of the pattern of common stock price movement.  The calculation of the level of the Reference Asset, discussed below in further detail, is based on the relative value of the aggregate market value of the common stocks of 500 companies as of a particular time compared to the aggregate average market value of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.  As of June 30, 2009, 411 companies, or 80.8% of the market capitalization of the Reference Asset, traded on the New York Stock Exchange (the “NYSE”) and 89 companies, or 19.2% of the market capitalization of the Reference Asset, traded on The Nasdaq Stock Market.  S&P chooses companies for inclusion in the Reference Asset with the aim of achieving a distribution by broad industry groupings that approximates the distribution of these groupings in the common stock population of the NYSE, which S&P uses as an assumed model for the composition of the total market.
 
Relevant criteria employed by S&P include the viability of the particular company, the extent to which that company represents the industry group to which it is assigned, the extent to which the market price of that company’s common stock is generally responsive to changes in the affairs of the respective industry and the market value and trading activity of the common stock of that company.  Ten main groups of companies comprise the Reference Asset with the number of companies included in each group, as of June 30, 2009, indicated in parenthesis: Industrials (58), Utilities (35), Telecommunication Services (10), Materials (28), Information Technology (74), Energy (40), Consumer Staples (41), Consumer Discretionary (81), Health Care (53) and Financials (80).  Changes in the Reference Asset are reported daily in the financial pages of many major newspapers, on Bloomberg Professional® service under the symbol “SPX” and on S&P website.  Information contained in the S&P website is not incorporated by reference in, and should not be considered a part of, this free writing prospectus.  The Reference Asset does not reflect the payment of dividends on the stocks included in the Reference Asset.
 
Computation of the Reference Asset
 
S&P currently computes the Reference Asset as of a particular time as follows:
 
 
i.
the product of the market price per share and the number of then outstanding shares of each component stock as determined as of that time (referred to as the “market value” of that stock);
 
 
ii.
the market values of all component stocks as of that time are aggregated;
 
 
iii.
the average of the market values as of each week in the base period of the years 1941 through 1943 of the common stock of each company in a group of 500 substantially similar companies is determined;
 
 
iv.
the mean average market values of all these common stocks over the base period are aggregated (the aggregate amount being referred to as the “base value”);
 
FWP-8
 
 
v.
the current aggregate market value of all component stocks is divided by the base value; and
 
 
vi.
the resulting quotient, expressed in decimals, is multiplied by ten.
 
While S&P currently employs the above methodology to calculate the Reference Asset, no assurance can be given that S&P will not modify or change this methodology in a manner that may affect the performance of the Reference Asset.
 
S&P adjusts the foregoing formula to offset the effects of changes in the market value of a component stock that are determined by S&P to be arbitrary or not due to true market fluctuations.
 
These changes may result from causes such as:
 
 
·
the issuance of stock dividends,
 
 
·
the granting to shareholders of rights to purchase additional shares of stock,
 
 
·
the purchase of shares by employees pursuant to employee benefit plans,
 
 
·
consolidations and acquisitions,
 
 
·
the granting to shareholders of rights to purchase other securities of the company,
 
 
·
the substitution by S&P of particular component stocks in the Reference Asset, and
 
 
·
other reasons.
 
In these cases, S&P first recalculates the aggregate market value of all component stocks, after taking account of the new market price per share of the particular component stock or the new number of outstanding shares of that stock or both, as the case may be, and then determines the new base value in accordance with the following formula:
 
Old Base Value  ×  New Market Value  = New Base Value
                                 Old Market Value
 
The result is that the base value is adjusted in proportion to any change in the aggregate market value of all component stocks resulting from the causes referred to above to the extent necessary to negate the effects of these causes upon the Reference Asset.
 
In addition, S&P standard practice is to remove all closely held shares and shares held between corporations who are both in the calculations of the Reference Asset and a Reference Asset component’s market value.
 
License Agreement with Standard & Poor’s (“S&P”):
 
We have entered into a nonexclusive license agreement providing for the license to us, in exchange for a fee, of the right to use indices owned and published by S&P’s in connection with some products, including the securities.
 
The notes are not sponsored, endorsed, sold or promoted by S&P, a division of The McGraw-Hill Companies, Inc. S&P makes no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding the advisability of investing in financial products generally or in the notes particularly or the ability of the S&P 500® to track general stock market performance.  S&P’s only relationship to HSBC USA Inc. (other than transactions entered into in the ordinary course of business) is the licensing of certain service marks and trade names of S&P and of the S&P 500® which is determined, composed and calculated by S&P  without regard to HSBC or the notes.  S&P has no obligation to take the needs of HSBC or the holders of the notes into consideration in determining, composing or calculating the S&P 500®.  S&P is not responsible for and has not participated in the determination of the timing of the sale of the notes, prices at which the notes are to initially be sold, or quantities of the notes to be issued or in the determination or calculation of the equation by which the notes are to be converted into cash.  S&P has no obligation or liability in connection with the administration, marketing or trading of the notes.

 
FWP-9
 
 
Historical Performance of Reference Asset
 
The following graph sets forth the historical performance of the Reference Asset based on the weekly historical closing levels from January 2, 2003 through July 30, 2009.  The closing level for the Reference Asset on July 30, 2009 was 986.75. We obtained the closing levels below from Bloomberg Professional® Service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial  service.
 
 
The historical levels of the Reference Asset should not be taken as an indication of future performance, and no assurance can be given as to the closing level on the final valuation date. We cannot give you assurance that the performance of the Reference Asset will result in any return of any of your initial investment in excess of $100 per $1,000 principal amount of notes.
 
CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
 
Notwithstanding any disclosure in the accompanying product supplement to the contrary, our special U.S. tax counsel in this transaction is Sidley Austin llp. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel, Sidley Austin llp, it is reasonable to treat the notes as pre-paid forward or other executory contracts with respect to the Reference Asset.  Pursuant to this approach, we do not intend to report any income or gain with respect to the notes prior to their maturity or an earlier sale or exchange and we intend to treat any gain or loss upon maturity or an earlier sale or exchange as long-term capital gain or loss, provided that you have held the note for more than one year at such time for U.S. federal income tax purposes.  For a discussion of certain of the U.S. federal income tax consequences of your investment in a note, please see the discussion under “Certain U.S. Federal Income Tax Considerations” in the accompanying product supplement.
 
FWP-10
 

       
You should only rely on the information contained in this free writing prospectus, the accompanying prospectus supplement, product supplement and prospectus.  We have not authorized anyone to provide you with information or to make any representation to you that is not contained in this free writing prospectus, the accompanying prospectus supplement, product supplement and prospectus.  If anyone provides you with different or inconsistent information, you should not rely on it.  This free writing prospectus, the accompanying prospectus supplement, product supplement and prospectus are not an offer to sell these notes, and these documents are not soliciting an offer to buy these notes, in any jurisdiction where the offer or sale is not permitted.  You should not, under any circumstances, assume that the information in this free writing prospectus, the accompanying product supplement, prospectus supplement and prospectus is correct on any date after their respective dates.
 
 
 
 
 
 
 
 
 
 
HSBC USA Inc.
 
 
 
$
 
 
 
Buffered Return Enhanced Market Participation Notes Linked to the
S&P 500® Index
 
 
 
 
August 4, 2009
 
 
 
 
 
 
 
 
 
FREE WRITING
PROSPECTUS
 
 
TABLE OF CONTENTS
  
Free Writing Prospectus
  
Summary
FWP-2
  
Investor Suitability
FWP-4
  
Risk Factors
FWP-4
  
Illustrative Examples
FWP-6
  
Description of the Reference Asset
FWP-8
  
Certain U.S. Federal Income Tax Considerations
FWP-10
  
Product Supplement
  
Notice to Investors
PS-1
  
Product Supplement Summary
PS-1
  
Risk Factors
PS-4
  
Pricing Supplement Overview
PS-7
  
Valuation of the Notes
PS-7
  
Hypothetical Examples
PS-10
  
Specific Terms of the Notes
PS-19
  
Certain U.S. Federal Income Tax Considerations
PS-24
  
Events of Default and Acceleration
PS-25
  
Information Regarding the Reference Asset and Reference Issuers
PS-25
  
Certain ERISA Considerations
PS-25
  
Validity of the Notes
PS-25
  
Prospectus Supplement
  
Risk Factors
S-3
  
Pricing Supplement
S-16
  
Description of Notes
S-16
  
Sponsors or Issuers and Reference Asset
S-37
  
Use of Proceeds and Hedging
S-37
  
Certain ERISA
S-38
  
Certain U.S. Federal Income Tax Considerations
S-39
  
Supplemental Plan of Distribution
S-52
  
Prospectus
  
About this Prospectus
2
  
Special Note Regarding Forward-Looking Statements
2
  
HSBC USA Inc.
3
  
Use of Proceeds
3
  
Description of Debt Securities
4
  
Description of Preferred Stock
16
  
Description of Warrants
22
  
Description of Purchase Contracts
26
  
Description of Units
29
  
Book-Entry Procedures
32
  
Limitations on Issuances in Bearer Form
36
  
Certain U.S. Federal Income Tax Considerations
    
Relating to Debt Securities
37
  
Plan of Distribution
52
  
Notice to Canadian Investors
54
  
Certain ERISA Matters
58
  
Where You Can Find More Information
59
  
Legal Opinions
59
  
Experts
59
    
 
 
FWP-11