By Angela McDaniels
Tacoma, Wash., Oct. 10 - HSBC USA Inc. priced $17.39 million of 0% buffered return enhanced notes due Oct. 23, 2013 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 56% weight, the FTSE 100 index with a 23% weight and the Topix index with a 21% weight. The indexes' underlying currencies are the euro, the British pound sterling and the Japanese yen, respectively.
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.
The initial level of each index is its closing level on the pricing date multiplied by the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its converted closing levels on the five trading days ending Oct. 18, 2013.
If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of 17.9% for each index. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be 1.11111 times the sum of its return plus 10%.
HSBC Securities (USA) Inc. is the underwriter. JPMorgan Chase Bank NA and J.P. Morgan Securities LLC are dealers.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Euro Stoxx 50 index (56% weight), FTSE 100 index (23% weight) and Topix index (21% weight)
|
| Amount: | $17,388,000
|
| Maturity: | Oct. 23, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 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 17.9%; zero if index's level declines by up to 10%; 1.11111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial index levels: | Closing index level on pricing date multiplied by initial exchange rate
|
| Initial index levels: | 2,531.21 for Euro Stoxx; 5,871.02 for FTSE 100; 737.13 for Topix
|
| Initial spot rates: | 1.306 for euro, 1.6193 for pound, 1/78.695 for yen
|
| Final index levels: | Average of index's converted closing levels on the five trading days ending Oct. 18, 2013
|
| Pricing date: | Oct. 5
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| Settlement date: | Oct. 11
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Dealers: | JPMorgan Chase Bank NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K16K4
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