HSBC USA to price auto-callable contingent coupon notes linked to S&P 500

By Jennifer Chiou

New York, Sept. 12 - HSBC USA Inc. plans to price 0% auto-callable 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.

Investors will receive the quarterly contingent coupon, which is equal to Libor plus 300 basis points, if the index level is greater than or equal to the coupon trigger level of 80% of the initial level.

If the ending index level is greater than or equal to the contingent protection level, 60% of the initial level, the payout at maturity will be par plus the contingent coupon.

If the ending level is less than the contingent protection level, investors will share in any losses.

The notes may be redeemed on any quarterly valuation date if the index level is greater than the initial level.

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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