HSBC plans capped knock-out buffer notes on 12 stocks via JPMorgan

By Susanna Moon

Chicago, April 6 - HSBC USA Inc. plans to price capped knock-out buffer notes due April 25, 2012 linked to a basket of 12 stocks, equally weighted, according to an FWP filing with the Securities and Exchange Commission.

J.P. Morgan Securities LLC is the agent.

The underlying companies are Chesapeake Energy Corp., Range Resources Corp., Southwestern Energy Co., Exxon Mobile Corp., Cenovus Energy Inc., ConocoPhillips, Baker Hughes Inc., Halliburton Co., Noble Corp., Arch Coal, Inc., Consol Energy Inc. and Teck Resources Ltd.

A knock-out event occurs if the basket ever falls by more than 30% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the basket return, up to a maximum return of $1,200 per $1,000 principal amount. Investors will be exposed to any losses.

Otherwise, the payout will be par plus any basket gain, with a minimum return of par. Any gains will be capped at 20%.

The notes are expected to price on April 8 and settle on April 13.

The Cusip is 4042K1GE7.

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