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Published on 4/3/2012 in the Prospect News Structured Products Daily.

New Issue: HSBC prices $2.59 million knock-out buffer notes linked to basket of three currencies

By Jennifer Chiou

New York, April 3 - HSBC USA Inc. priced $2,594,000 of 0% knock-out buffer notes due April 16, 2013 linked to a basket of three currencies relative to the dollar, according to a 424B2 with the Securities and Exchange Commission.

The equally weighted basket components include the Korean won, the Mexican peso and the Russian ruble.

A knock-out event occurs if the basket falls by more than 15% relative to the initial level on the final valuation date of April 9, 2013.

If a knock-out event occurs, the payout at maturity will be par plus the basket return, with full exposure to losses.

Otherwise, the payout will be par plus the basket return, subject to a contingent minimum return of 6.75%.

HSBC Securities (USA) Inc. is the underwriter, and J.P. Morgan Securities LLC is the agent.

Issuer:HSBC USA Inc.
Issue:Knock-out buffer notes
Underlying currencies:Korean won, Mexican peso and Russian ruble, all equally weighted and relative to the dollar
Amount:$2,594,000
Maturity date:April 16, 2013
Coupon:0%
Price:Par
Payout at maturity:If basket falls by more than 15% on April 9, 2013, par plus basket return, with full exposure to losses; otherwise par plus basket return, with floor of 6.75%
Initial exchange rates:1,134.2 for won, 12.8105 for peso and 29.365 for ruble
Knock-out buffer:15% of initial level
Pricing date:March 30
Settlement date:April 9
Underwriter:HSBC Securities (USA) Inc. (underwriter) and J.P. Morgan Securities LLC (agent)
Fees:1%
Cusip:4042K1C84

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