HSBC plans to price one-year autocallable notes linked to S&P 500

By Marisa Wong

Madison, Wis., April 17 - HSBC USA Inc. plans to price 0% autocallable notes due May 8, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus an annualized call premium of 10.2% if the index closes at or above the initial index level on any of four quarterly observation dates.

If the notes are not called and the final index level is at least 90% of the initial index level, the payout at maturity will be par. Otherwise, investors will lose 1.1111% for every 1% decline beyond the 10% buffer.

The notes (Cusip: 4042K1G98) will price on April 20 and settle on April 25.

HSBC Securities (USA) Inc. is the underwriter, and J.P. Morgan Securities LLC is the dealer.

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