HSBC plans trigger phoenix autocallables linked to SPDR S&P 500 ETF

By Toni Weeks

San Diego, Sept. 23 - HSBC USA Inc. plans to price 0% trigger phoenix autocallable optimization securities due Sept. 28, 2012 linked to the SPDR S&P 500 exchange-traded fund trust, according to an FWP with the Securities and Exchange Commission.

If the fund closes at or above the trigger price - 75% of the initial share price - on any of four quarterly observation dates, the issuer will pay a contingent coupon of 11.5% to 15%. Otherwise, no coupon will be paid for that quarter. The exact coupon will be determined at pricing.

If the fund closes at or above the initial price on any observation date, the notes will be called at par of $10 plus the contingent coupon.

If the notes are not called and the shares finish at or above the trigger price, the payout at maturity will be par plus the contingent coupon. Investors will be exposed to any losses.

The notes (Cusip: 40433C395) are expected to price on Sept. 28 and settle on Sept. 30.

HSBC Securities (USA) Inc. and UBS Financial Services Inc. are the agents.

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