HSBC USA to price performance securities linked to three indexes

By Angela McDaniels

Tacoma, Wash., Dec. 27 - HSBC USA Inc. plans to price 0% performance securities with partial protection due Jan. 31, 2012 linked to a basket of three indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with 33.34% weight, the Dow Jones Euro Stoxx 50 index with a 33.33% weight and the Nikkei 225 index with a 33.33% weight.

If the final basket level is greater than the initial basket level, the payout at maturity will be par of $10 plus the basket return multiplied by a participation rate that is expected to be 102.5% to 112.5% and will be determined at pricing. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

The notes will price on Jan. 28 and settle on Jan. 31.

UBS Financial Services Inc. will be the underwriter.

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