HSBC plans notes on three buffered return enhanced indexes, related currencies via JPMorgan

By Marisa Wong

Madison, Wis., May 11 - HSBC USA Inc. plans to price 0% notes due May 31, 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 53% weight, the FTSE 100 index with a 24% weight, and the Tokyo Stock Price index with a 23% weight.

The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The basket return will equal the sum of the weighted component returns for the three basket components.

The component return for each basket index will be determined by the change in index level. If the ending index level is greater than the initial index level, the index return will be doubled, subject to the maximum return. If the ending and initial index levels are equal or the index falls by up to 10%, the component return will be zero. If the index return is less than negative 10%, every 1% that is less than negative 10% will be multiplied by 1.11111.

The maximum return is 20% for the Euro Stoxx, 18% for the FTSE 100 and 8% for the Topix.

The ending basket return will be the average of the basket returns on five consecutive averaging dates ending May 25, 2012.

The notes (Cusip: 4042K1HQ9) are expected to price on May 13 and settle on May 18.

J.P. Morgan Securities LLC will act as agent.

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