HSBC to price notes linked to basket of Italy, Spain SMID Cap indexes

By Toni Weeks

San Luis Obispo, Calif., May 14 - HSBC USA Inc. plans to price 0% notes due June 3, 2015 linked to a basket containing equal weights of the MSCI Italy SMID Cap index and the MSCI Spain SMID Cap index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 0.9935 times the basket return. If the level of the basket decreases - or increases by less than 0.654252% - investors will lose a portion of their principal amount.

The final index levels will be the average of the closing index levels on the five trading days ending May 29, 2015.

The notes (Cusip: 40433BBJ6) are expected to price May 16 and settle May 21.

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

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