HSBC plans buffered performance notes linked to index, fund basket

By Susanna Moon

Chicago, Feb. 25 - HSBC USA Inc. plans to price 0% buffered performance securities linked to a basket of two indexes and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The underlying components are the S&P 500 index with a 33.34% weight, the iShares MSCI Emerging Markets index fund with a 33.33% weight and the Euro Stoxx 50 index with a 33.33% weight.

The notes will mature between June 2014 and December 2014, with the exact date to be set at pricing.

The payout at maturity will be par of $10.00 plus any basket gain. If the basket falls by up to 15%, the payout will be par. Otherwise, investors will receive par plus the basket return and $1.50.

The notes will price on March 25 and settle on March 30.

The Cusip is 40432R112.

HSBC Securities (USA) Inc. is the agent. It will use its fees to pay a selling concession to Morgan Stanley Smith Barney LLC.

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