HSBC lowers contingent quarterly payment for autocallables linked to iShares MSCI EM ETF

By Angela McDaniels

Tacoma, Wash., Dec. 6 - HSBC USA Inc. changed the contingent quarterly payment for its upcoming contingent income autocallable securities due Dec. 28, 2012 linked to the iShares MSCI Emerging Markets index fund, according to an FWP filing 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 $0.325 to $0.425 per $10.00 principal amount of notes. Otherwise, no contingent payment will be made that quarter.

The contingent quarterly payment was originally expected to be $0.4125 to $0.4875. The exact payment will be set at pricing.

The determination dates are March 23, 2012, June 25, 2012, Sept. 25, 2012 and Dec. 24, 2012.

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 of $10.00 plus the contingent payment. If the final share price is less than the downside threshold level, investors will be fully exposed to the decline.

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

HSBC Securities (USA) Inc. is the agent. Distribution will be through Morgan Stanley Smith Barney LLC.

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