HSBC amends terms of twin participation notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Oct. 31 - HSBC USA Inc. changed the maturity date, pricing and settlement dates, trigger level and maximum return of its upcoming 0% twin participation notes linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The maturity date was extended to May 14, 2013 from May 9, 2013.

A trigger event occurs if the index closes below 70% of the initial level - increased from 65% - 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 be par plus the index gain, subject to a maximum return of 18% to 22%. The cap was previously expected to be 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. 9, pushed back from Nov. 4. They will settle on Nov. 15.

HSBC Securities (USA) Inc. is the agent.

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