HSBC plans notes with 19% cap tied to buffered return enhanced indexes

By Susanna Moon

Chicago, March 14 - HSBC USA Inc. plans to price 0% notes due April 4, 2013 linked to a weighted basket of three buffered return enhanced components, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 55% weight, the Tokyo Stock Price index with a 23% weight and the FTSE 100 index with a 22% weight. Their underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.

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

Each component return will be double any underlying index gain, up to a maximum return. If the index falls by up to 10%, its component return will be zero. Otherwise, the component return will be 1.11111 times the sum of its return plus 10%.

The maximum return is 19% for each basket component. The maximum payment at maturity is $1,190 per $1,000 principal amount of notes.

HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC as dealer.

The notes will price on March 16 and settle on March 21.

The Cusip is 4042K1A45.

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