HSBC USA to price autocallable contingent coupon notes linked to S&P 500

By Susanna Moon

Chicago, Sept. 11 - HSBC USA Inc. plans to price autocallable contingent coupon notes due Sept. 29, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index is at least 80% - the coupon trigger level - of its initial level as of the valuation date, the notes will pay a contingent coupon of Libor plus 3%.

The notes will be automatically called if the index closes at or above its initial level on any quarterly observation date. If the notes are called, the redemption amount will be par of $10 plus any accrued interest.

If the notes are not called, the payout at maturity will be par unless the index closes below the trigger level - 60% of the initial level - during the life of the notes and finishes below the initial level, in which case investors will receive par minus the index decline.

The notes are expected to price on Sept. 25 and settle on Sept. 30.

HSBC Securities (USA) Inc. is the agent.

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