By Marisa Wong
Madison, Wis., Nov. 8 - HSBC USA Inc. priced $9.08 million of 0% notes due Nov. 21, 2012 linked to three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 22% weight and the Topix index with a 23% weight.
The initial level of each index was converted into dollars from its underlying currency, which is the euro for the Euro Stoxx 50, the British pound sterling for the FTSE 100 and the Japanese yen for the Topix index.
The final level of each index will be the average of its converted closing levels on the five trading days ending Nov. 16, 2012.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of 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 flat or negative but not less than negative 10%, its component return will be 0%. 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 25.5% for the Euro Stoxx, 14.26% for the FTSE 100 and 6% for the Topix. The maximum payout at maturity is $1,185.40 per $1,000 principal amount of notes.
HSBC Securities (USA) is the underwriter, with J.P. Morgan Securities LLC as the placement agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Euro Stoxx 50 index (55% weight), FTSE 100 index (22% weight) and Topix index (23%) weight; related currencies are euro, pound and yen, respectively
|
| Amount: | $9.08 million
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| Maturity: | Nov. 21, 2012
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes; if underlying return is positive, component return will be double underlying return, subject to a cap; if underlying return is flat or negative but not less than negative 10%, component return will be 0%; if underlying return is less than negative 10%, component return will be 0% minus 1.11111% for every 1% drop beyond negative 10%; caps are 25.5% for Euro Stoxx, 14.26% for FTSE 100 and 6% for Topix; maximum payout of $1,185.40 per note
|
| Adjusted initial levels: | 3,152.83 for Euro Stoxx; 8,857.55 for FTSE; 9.62 for Topix
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| Initial spot rates: | 1.3759 for euro; 1.60255 for pound; 1/78.18 for yen
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| Pricing date: | Nov. 4
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| Settlement date: | Nov. 9
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| Agents: | HSBC Securities (USA) as underwriter, with J.P. Morgan Securities LLC as dealer
|
| Fees: | 1%
|
| Cusip: | 4042K1RT2
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