HSBC plans four-year buffered AMPS linked to index, funds basket

By Toni Weeks

San Diego, May 5 - HSBC USA Inc. plans to price 0% buffered Accelerated Market Participation Securities due May 14, 2015 linked to a basket of one index and four funds, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 70% weight, the iShares MSCI EAFE index fund, with a 15% weight, the MidCap SPDR Trust, Series 1, with an 8% weight, the iShares MSCI Emerging Markets index fund, with a 4% weight, and the iShares Russell 2000 index fund, with a 3% weight.

The payout at maturity will be par plus 1.4 times any gain in the basket, subject to a maximum return of 56% to 70%. The exact maximum return will be set at pricing.

Investors will receive par if the basket falls by up to 20% and will be exposed to declines beyond 20%.

The notes (Cusip: 4042K1HN6) are expected to price May 11 and settle May 16.

HSBC Securities (USA) Inc. is the agent.

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