HSBC to sell performance plus notes on S&P 500 Low Volatility April 25

By Marisa Wong

Madison, Wis., April 20 - HSBC USA Inc. amended the pricing and settlement dates for its planned 0% buffered performance plus securities due April 27, 2015 linked to the S&P 500 Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.

The notes (Cusip: 4042K1F73) are now expected to price on April 25 and settle on April 30, pushed back from April 20 and April 25, respectively.

If the index return is greater than or equal to zero, the payout at maturity will be par plus the greater of the index return and the minimum upside return, which is expected to be 15% to 20% and will be set at pricing. Investors will receive par if the index declines by 10% or less and will lose 1% for every 1% that the index declines beyond 10%.

The S&P 500 Low Volatility index is made up of the 100 least-volatile stocks over the previous year in the S&P 500 index. The volatilities of all S&P 500 constituents are calculated using daily standard deviation data for roughly the past year, and the weight for each index constituent is set inversely proportional to its volatility (higher weightings are assigned to the least volatile stocks). The index is rebalanced in February May, August and November of each year.

HSBC Securities (USA) Inc. is the agent.

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