HSBC plans return optimization securities tied to fund basket via UBS

By Jennifer Chiou

New York, May 29 - HSBC USA Inc. plans to price 0% return optimization securities with contingent protection due June 29, 2012 linked to a global fund basket, according to an FWP filing with the Securities and Exchange Commission.

The basket includes 40% weights of each of the Standard & Poor's Depositary Receipts and the iShares MSCI EAFE index fund as well as 10% weights of the iShares MSCI Brazil index fund and the iShares FTSE/Xinhua China 25 index fund.

UBS Financial Services Inc. and HSBC USA Inc. are the agents.

The payout at maturity will be par of $10 plus 1.5 times any basket gain, subject to a maximum return of 48% to 55%. The exact cap will be set at pricing.

Investors will receive par if the basket is above the 50% trigger level on the final valuation date but below the initial level. They will share in losses if the basket level breaches the 50% trigger level.

The notes will price on June 25 and settle on June 30.

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