HSBC plans notes tied to MSCI Italy SMID, MSCI Spain SMID indexes

By Marisa Wong

Madison, Wis., May 13 - HSBC USA Inc. plans to price 0% notes due June 3, 2015 linked to an equally weighted basket 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.

For each $1,000 principal amount of notes, the payout at maturity will be (a) $1,000 multiplied by (b) one plus the basket return multiplied by (c) a basket adjustment factor of 99.35%. Because of the basket adjustment factor, investors will lose some or all of their principal if the basket return is less than 0.654252%.

The final level of each basket component will be the average of that index's closing levels on the five trading days ending May 29, 2015.

J.P. Morgan Securities LLC and JPMorgan Chase Bank NA are the placement agents.

The notes will price on May 16 and settle on May 23.

The Cusip number is 40433BBJ6.

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