HSBC plans bearish autocallable notes linked to S&P 500 index via UBS

By E. Janene Geiss

Philadelphia, Feb. 17 - HSBC USA Inc. plans to price 0% bearish autocallable optimization securities with contingent protection due Sept. 13, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

The notes will be automatically called if the closing level of the index is at or below its starting level on any observation date.

The call price will be equal to par of $10 plus a fixed annual return to the relevant observation date. The annual return will be set at pricing and is expected to be 18% to 22%.

The observation dates are June 8, 2009, Sept. 8, 2009, Dec. 8, 2009, March 8, 2010, June 8, 2010 and Sept. 7, 2010.

At maturity, investors will receive par if the final index level is less than or equal to the trigger level - 120% of the index's starting level. If the final index level is greater than the trigger level, the payout will be par minus the index return.

The notes are expected to price March 6 and settle March 11.

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