HSBC plans two-year autocallables linked to currency basket vs. yen

By Susanna Moon

Chicago, May 23 - HSBC USA Inc. plans to price 0% autocallable securities due June 3, 2015 linked to the performance of a basket of equally weighted currencies relative to the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The underlying currencies are the Canadian dollar, the Mexican peso and the U.S. dollar.

The notes will be called at par plus an annualized call premium of at least 8.5% if the basket closes at or above its initial level on any semiannual call date.

The payout at maturity will be par if the basket finishes at or above the 90% barrier level.

Otherwise, investors will be fully exposed to losses.

HSBC Securities (USA) Inc. is the underwriter, and JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.

The notes will price on May 24 and settle on June 3.

The Cusip number is 40432XFN6.

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