HSBC to price 3.29% buffered notes linked to S&P 500, ETFs

By Angela McDaniels

Tacoma, Wash., Sept. 26 - HSBC USA Inc. plans to price 3.29% buffered notes due April 23, 2015 linked to a basket of one index and four exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.

The basket includes 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.

If the basket return is greater than or equal to zero, the payout at maturity will be par plus the lesser of the basket return and the cap, which is expected to be 28% to 42% and will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1% for every 1% that the basket declines beyond 10%.

The notes (Cusip: 4042K1NW9) will price Oct. 14 and settle Oct. 19.

HSBC Securities (USA) Inc. is the agent.

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