HSBC to price knock-out buffer notes linked to currency basket

By Jennifer Chiou

New York, March 5 - HSBC USA Inc. plans to price 0% knock-out buffer notes due Sept. 13, 2013 linked to a basket of equally weighted currencies relative to the U.S. dollar, according to an FWP with the Securities and Exchange Commission.

The underlying currencies are the Brazilian real, Mexican peso and Canadian dollar.

A knock-out event occurs if the basket falls by more than 20% on the final valuation date.

If a knock-out event does not occur, the payout at maturity will be par plus the greater of the basket return and the contingent return. The contingent return will be at least 12.3% and will be set at pricing.

If a knock-out event occurs, the payout at maturity will be par plus the basket return, with full exposure to losses.

The notes (Cusip: 4042K1ZM8) are expected to price on March 6 and settle on March 13.

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

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