HSBC plans one-year contingent income autocallables linked to JPMorgan

By Susanna Moon

Chicago, Oct. 3 - HSBC USA Inc. plans to price contingent income autocallable securities due Oct. 15, 2013 linked to the common stock of JPMorgan Chase & Co., according to an FWP filing with the Securities and Exchange Commission.

If JPMorgan stock closes at or above the 75% downside threshold level on a quarterly determination date, investors will receive a contingent payment of 2.125% to 2.625% that quarter. The exact quarterly contingent payment will be set at pricing.

If the stock closes at or above the initial level on any of the first three quarterly determination dates, the notes will be called at par plus the contingent payment.

If the notes are not called, the payout at maturity will be par plus the contingent payment unless the final share price is less than the downside threshold level, in which case the payout will be a number of JPMorgan shares equal to $10.00 divided by the initial share price or, at the issuer's option, the cash equivalent.

HSBC Securities (USA) Inc. is the agent. Morgan Stanley Smith Barney LLC is the dealer.

The notes will price on Oct. 10 and settle on Oct. 15.

The Cusip number is 40433T828.

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