HSBC USA to sell auto-callable contingent coupon notes linked to S&P 500

By Susanna Moon

Chicago, Oct. 7 - HSBC USA Inc. plans to price auto-callable contingent coupon notes due Oct. 31, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index is at least 80% of its initial level, the notes will pay interest at Libor plus 350 to 400 basis points, with the exact rate to be set at pricing.

The notes will be called at par if the index level is greater than or equal to its initial level on any quarterly valuation date.

If the notes are not called, the payout at maturity will be par unless the index falls by more than 40% of the initial index level, in which case investors will lose 1% for each 1% decline beyond 40%.

The notes are expected to price on Oct. 27 and settle on Oct. 30.

HSBC Securities (USA) Inc. is the agent.

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