By Susanna Moon
Chicago, Feb. 20 - HSBC USA Inc. priced $4.17 million of 0% buffered dual directional return enhanced notes due March 9, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
Payout at maturity will be par plus double any index gain, up to a maximum return of 21.5%.
Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
Issuer: | HSBC USA Inc.
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Issue: | Buffered dual directional return enhanced notes
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Underlying index: | S&P 500
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Amount: | $4.17 million
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Maturity: | March 9, 2010
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus double any index gain, capped at 21.5%; par if index falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
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Initial index level: | 778.94
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Pricing date: | Feb. 19
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Settlement date: | Feb. 24
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 1.1%
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