By Angela McDaniels
Tacoma, Wash., Oct. 19 - HSBC USA Inc. priced $8.69 million of 0% notes due Nov. 2, 2011 linked to a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Tokyo Stock Price index with a 24% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to 0% but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap is 19% for the Euro Stoxx 50, 14% for the FTSE 100 and 6% for the Tokyo Stock Price. Based on these caps, the maximum payout at maturity is $1,146.80 per $1,000 principal amount of notes.
J.P. Morgan Securities LLC is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (52% weight), FTSE 100 index (24% weight) and Tokyo Stock Price index (24% weight)
|
| Amount: | $8,688,000
|
| Maturity: | Nov. 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component returns: | Double any positive return, capped at 19% for Euro Stoxx 50, 14% for FTSE 100 and 6% for Tokyo Stock Price; zero if return is between 0% and negative 10%; 0% minus 1.11111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,841.65 for Euro Stoxx 50; 5,703.37 for FTSE 100; 826.38 for Tokyo Stock Price
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Oct. 28, 2011
|
| Pricing date: | Oct. 15
|
| Settlement date: | Oct. 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K06Z3
|
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