HSBC to price buffered AMPS linked to performance of dollar vs. euro

By Angela McDaniels

Tacoma, Wash., Dec. 7 - HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due December 2013 linked to the performance of the dollar relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The reference return equals (a) the initial number of dollars per euro minus the final spot rate divided by (b) the initial spot rate. As a result, the reference return will be positive if the dollar strengthens relative to the euro.

If the reference return is positive, the payout at maturity will be par plus 150% of the reference return, subject to a maximum return of 10% to 15% that will be set at pricing. Investors will receive par if the reference return is between zero and negative 10% and will lose 1% for every 1% that the reference return is less than negative 10%.

The notes (Cusip: 4042K1UG6) are expected to price and settle in December.

HSBC Securities (USA) Inc. is the agent.

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