HSBC plans contingent income autocallables on iShares MSCI EM fund

By Jennifer Chiou

New York, Nov. 28 - HSBC USA Inc. plans to price contingent income autocallable securities due Dec. 28, 2012 linked to iShares MSCI Emerging Markets index fund, according to an FWP with the Securities and Exchange Commission.

If the exchange-traded fund's shares close at or above the downside threshold level - 75% of the initial share price - on a quarterly determination date, investors will receive a contingent quarterly payment of 4.125% to 4.875%. Otherwise, no contingent payment will be made for that period.

If the closing share price is greater than the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of ETF shares equal to the principal amount of notes divided by the initial share price or, at issuer's option, the cash value of those shares.

The notes (Cusip: 40433K884) are expected to price on Dec. 22 and settle on Dec. 28.

HSBC Securities (USA) Inc. is the agent with Morgan Stanley Smith Barney LLC as distributor.

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