HSBC plans capped knock-out buffer notes on MSCI Brazil via JPMorgan

By Susanna Moon

Chicago, Feb. 23 - HSBC USA Inc. plans to price capped knock-out buffer notes due March 14, 2012 based on the performance of the iShares MSCI Brazil index fund, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities LLC is the agent.

A knock-out event occurs if the fund ever falls by more than 25% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the fund return, up to a maximum return of $1,330 per $1,000 principal amount. Investors will be exposed to any losses.

Otherwise, the payout will be par plus any fund gain, with a minimum return of 5%. Any gains will be capped at 33%.

The notes (Cusip 4042K1EB5) are expected to price on Feb. 25 and settle on March 2.

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