HSBC plans 0% notes linked to three buffered return enhanced indexes

By Susanna Moon

Chicago, Dec. 7 - HSBC USA Inc. plans to price 0% notes due Dec. 24, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP filing with the Securities and Exchange Commission.

The components are the Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% weight. Their related currencies are the euro, pound and yen, respectively.

The payout at maturity will be par plus the basket return, which will be the sum of the weighted component returns of the basket components.

If an index finishes above its initial level, its component return will be double the underlying gain, up to a maximum return of at least 29% for Euro Stoxx, at least 27.6% for the FTSE and at least 23% for the Topix. The exact caps will be set at pricing.

If an index falls by up to 10%, its component return will be zero. If an index falls by more than 10%, its component return will be 0% minus 1.11111% for every 1% decline beyond 10%.

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

The notes will price Dec. 9 and settle on Dec. 14.

The Cusip number is 4042K1UF8.

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