HSBC plans performance securities with contingent protection linked to S&P 500

By Laura Lutz

Des Moines, Nov. 26 - HSBC USA Inc. plans to price 0% performance securities with contingent protection due Dec. 31, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index level is at least the initial index level, the payout at maturity will be par plus any gain on the index times a participation rate that is expected to be between 103% and 113%. The exact rate will be set at pricing.

If the final index level is less than the initial level but the index does not close below it trigger level - 50% of the initial level - during the life of the notes, the payout will be par.

If the final level is less than the initial level and the index has closed below the trigger level, investors will receive par times the index performance.

The notes are expected to price on Dec. 21 and settle on Dec. 31.

UBS Financial Services Inc. and HSBC USA Inc. will be the underwriters.

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