HSBC plans market participation notes on S&P 500 Low Volatility index

By Toni Weeks

San Diego, March 2 - HSBC USA Inc. plans to price 0% leveraged buffered uncapped market participation securities due April 1, 2015 linked to the S&P 500 Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 110% to 115% of the gain. The exact participation rate will be set at pricing.

Investors will receive par if the index falls by up to 20% and will lose 1% for every 1% decline in the index beyond 20%.

The S&P 500 Low Volatility index is made up of the 100 least-volatile stocks over the previous year in the S&P 500 index. The volatilities of all S&P 500 constituents are calculated using daily standard deviation data for roughly the past year, and the weight for each index constituent is set inversely proportional to its volatility (higher weightings are assigned to the least volatile stocks). The index is rebalanced in February May, August and November of each year.

The notes (Cusip: 4042K1ZJ5) are expected to price March 27 and settle March 30.

HSBC Securities (USA) Inc. will be the agent.

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