HSBC plans performance barrier notes due 2016 linked to S&P 500 index

By Toni Weeks

San Luis Obispo, Calif., April 2 - HSBC USA Inc. plans to price 0% performance barrier notes due Oct. 31, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 120% to 130% of any index gain. The exact participation rate will be set at pricing.

Investors will receive par if the index falls by up to 25% and will be fully exposed to losses if the index drops below the 75% barrier level.

HSBC Securities (USA) Inc. is the underwriter.

The notes (Cusip: 40432XDV0) will price April 25 and settle April 30.

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