HSBC plans buffered uncapped notes linked to S&P 500 Low Volatility

By Toni Weeks

San Luis Obispo, Calif., April 2 - HSBC USA Inc. plans to price 0% buffered uncapped market participation securities due April 28, 2016 linked to the S&P 500 Low Volatility index, according to an FWP filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus the index return. Investors will receive par if the index declines by up to 15% and will lose 1% for every 1% that the index declines beyond the 15% buffer.

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 index is rebalanced quarterly.

The notes (Cusip: 40432XDX6) will price April 23 and settle April 26.

HSBC Securities (USA) Inc. is the underwriter.

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