HSBC to sell 18-month twin participation notes linked to S&P 500

By Marisa Wong

Madison, Wis., Oct. 28 - HSBC USA Inc. plans to price 18-month 0% twin participation notes due May 9, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A trigger event occurs if the index closes below 65% of the initial level on any day during the life of the notes.

If a trigger event has not occurred and the final index level is greater than the initial level, the payout at maturity will equal par plus the index gain, subject to a maximum return of 17% to 22%. The exact cap will be set at pricing.

If a trigger event has not occurred but the final level is less than or equal to the initial level, the payout at maturity will be par plus the absolute value of the index return.

If a trigger event has occurred, investors will receive par plus the lesser of the index return and the cap.

The notes (Cusip: 4042K1RD7) will price on Nov. 4 and settle on Nov. 9.

HSBC Securities (USA) Inc. is the agent.

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