HSBC to price twin win notes due 2013 linked to S&P 500 index

By Angela McDaniels

Tacoma, Wash., Oct. 13 - HSBC USA Inc. plans to price 0% twin win notes due April 18, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A trigger event will occur if the index closes below the trigger level, 65% of the initial level, during the life of the notes.

If a trigger event does not occur, the payout at maturity will be

• Par plus the lesser of the index return and the cap if the index return is positive. The cap is expected to be 22% to 24% and will be set at pricing; or

• Par plus the absolute value of the index return if the index return is negative.

If a trigger event does occur, the payout will be par plus the lesser of the index return, which could be positive or negative, and the cap.

The notes (Cusip: 4042K1QM8) will price Oct. 14 and settle Oct. 19.

HSBC Securities (USA) Inc. is the agent.

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