HSBC plans to price 0% return enhanced noted linked to the S&P 500

By Toni Weeks

San Diego, Jan. 25 - HSBC USA Inc. plans to price one-year 0% Return Enhanced Notes due Feb. 15, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Investors will receive two times any gain in the index at maturity, capped at a return of 18.8%.

Investors will be fully exposed to any decrease in the level of the S&P 500.

The ending index level will be the average of the index's closing level on each of Feb. 6, 2012, Feb. 7, 2012, Feb. 8, 2012, Feb. 9, 2012, and Feb. 10, 2012.

J.P. Morgan Securities LLC will act as agent.

The notes (Cusip 4042K1CT8) are expected to price on Jan. 28 and settle on Feb. 2.

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