HSBC to price knock-out buffer notes linked to Mexican peso vs. euro

By Angela McDaniels

Tacoma, Wash., May 15 - HSBC USA Inc. plans to price 0% knock-out buffer notes due June 3, 2013 linked to the performance of the Mexican peso relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the peso has depreciated on May 27, 2013 by more than 15% as compared to the initial spot rate.

If a knock-out event occurs, investors will be fully exposed to the depreciation of the peso. If a knock-out event does not occur, the payout at maturity will be par plus the greater of the exchange rate return and the contingent minimum return, which is expected to be at least 5.75% and will be set at pricing.

The exchange rate return is the quotient of (a) the initial spot rate minus the final spot rate divided by (b) the initial spot rate. The spot rate is the amount of pesos per euro.

The notes (Cusip: 4042K1N25) will price May 18 and settle May 25.

HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC as dealer.

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