HSBC plans to price knock-out buffer notes linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., Oct. 12 - HSBC USA Inc. plans to price 0% knock-out buffer notes due April 27, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level falls by more than 25% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, investors will receive par plus the greater of the index return and 10.6%.

In each case, the payout will be subject to a maximum return of 30%.

The notes (Cusip 4042K07A7) will price Oct. 15 and settle Oct. 20.

J.P. Morgan Securities LLC is the agent.

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