HSBC USA revises payout at maturity for up and out buffer notes linked to S&P 500

By Susanna Moon

Chicago, April 8 - HSBC USA Inc. changed the payout at maturity for its upcoming 0% up and out buffer notes due Nov. 1, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes above the barrier level - 160% of the initial level - during the life of the notes and finishes above its buffer level - 85% of the initial level - the payout at maturity will be par plus 10% to 14%, with the exact knock-out rebate to be set at pricing.

If the index closes above the barrier level during the life of the notes and finishes below the barrier, the payout will be par minus the loss plus the knock-out rebate.

Previously, the payout was going to be par plus the knock-out rebate if the index ever closed above the barrier level, regardless of whether it finished above or below the buffer level.

If the index does not close above the barrier level, the payout will be:

• Par plus any index gain;

• Par if the index declines by 15% or less;

• Par minus 1% for every 1% that the index declines beyond 15%.

The notes will price on April 27 and settle on April 30.

HSBC Securities (USA) Inc. is the agent.

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