By Jennifer Chiou
New York, May 17 - HSBC USA Inc. priced $46.92 million of 0% notes due May 31, 2012 linked to three buffered return enhanced components and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight, and the Tokyo Stock Price index with a 23% weight.
The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.
The basket return will equal the sum of the weighted component returns for the three basket components.
The component return for each basket index will be determined by the change in index level. If the ending index level is greater than the initial index level, the index return will be doubled, subject to the maximum return. If the ending and initial index levels are equal or the index falls by up to 10%, the component return will be zero. If the index return is less than negative 10%, every 1% that is less than negative 10% will be multiplied by 1.11111.
The maximum return is 20% for the Euro Stoxx, 18% for the FTSE 100 and 8% for the Topix.
The maximum return will be 16.76%.
The ending basket return will be the average of the basket returns on five consecutive averaging dates ending May 25, 2012.
J.P. Morgan Securities LLC will act as agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Euro Stoxx 50 (53% weight), FTSE 100 (24% weight) and Tokyo Stock Price (23% weight)
|
| Amount: | $46,921,000
|
| Maturity date: | May 31, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of the weighted component returns; component return, if positive, doubled with maximum return of 20% for the Euro Stoxx, 18% for the FTSE 100 and 8% for the Topix; component return zero if ending and initial index levels are equal or the index falls by up to 10%; if index return is less than negative 10%, every 1% that is less than negative 10% multiplied by 1.11111; overall cap of 16.76% return
|
| Initial levels: | 4,111.7793 for Euro Stoxx 50; 9,604.6501 for FTSE 100 and 10.4004 for Tokyo
|
| Pricing date: | May 13
|
| Settlement date: | May 18
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K1HQ9
|
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