HSBC to price buffered return enhanced notes linked to Asian indexes

By Angela McDaniels

Tacoma, Wash., March 15 - HSBC USA Inc. plans to price 0% buffered return enhanced notes due April 4, 2012 linked to a basket of indexes and their related currencies, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index with a 33% weight, the Kospi 200 index with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight.

The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.

The basket return will equal the sum of the weighted component returns for the basket indexes.

The component return for each basket index will be the product of (a) its final level divided by its initial level multiplied by (b) the final spot rate of its related currency relative to the U.S. dollar divided by its initial spot rate, in each case averaged over the five trading days ending March 30, 2012.

If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum return of 14.25%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.

The notes (Cusip: 4042K1FH1) are expected to price March 18 and settle March 23.

J.P. Morgan Securities LLC is the agent with HSBC Securities (USA) Inc. as co-agent.

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