By Angela McDaniels
Tacoma, Wash., Dec. 13 - HSBC USA Inc. priced $10.84 million of 0% notes due Dec. 24, 2012 linked to a weighted basket of three buffered return enhanced components, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 55% weight, the Tokyo Stock Price index with a 23% weight and the FTSE 100 index with a 22% 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 Japanese yen for the Tokyo Stock Price and the British pound sterling for the FTSE 100.
The final level of each index will be the average of its converted closing levels on the five trading days ending Dec. 19, 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 final level is greater than its initial level, its component return will be double the underlying return, subject to a maximum return of 29% for the Euro Stoxx 50, 6% for the Tokyo Stock Price and 27.6% for the FTSE 100. If the index's level declines by up to 10%, its component return will be zero. If the index's level declines by more than 10%, its component return will be 1.1111 times the sum of the index return plus 10%.
Due to the maximum returns, the maximum payout at maturity is $1,234 per $1,000 principal amount of notes.
HSBC Securities (USA) Inc. is the underwriter. Distribution is through J.P. Morgan Securities LLC.
| Issuer: | HSBC USA Inc.
|
| Issue: | Notes linked to three buffered return enhanced components converted into dollars
|
| Underlying components: | Euro Stoxx 50 index (55% weight), Tokyo Stock Price index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $10,838,000
|
| Maturity: | Dec. 24, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which will equal sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 29% for Euro Stoxx 50, 6% for Tokyo Stock Price and 27.6% for FTSE 100; zero if index's level declines by up to 10%; 1.1111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial converted levels: | 3,130.87 for Euro Stoxx 50; 8,637.18 for Tokyo Stock Price; 8,637.18 for FTSE 100
|
| Final levels: | For each index, the average of its converted closing levels on the five trading days ending Dec. 19, 2012
|
| Initial exchange rates: | 1.3365 dollars per euro; one dollar per 77.62 yen; 1.5621 dollars per pound
|
| Pricing date: | Dec. 9
|
| Settlement date: | Dec. 14
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Distribution: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K1UF8
|
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