By Susanna Moon
Chicago, March 6 - HSBC USA Inc. priced $3.12 million of 0% semiannual review notes due March 23, 2011 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.
The notes will be automatically called if the index closes at or above its call level on any of four valuation dates. The call level is 80% of the initial price on the first valuation date, 90% of the initial price on the first valuation date and 100% of the initial price on the remaining valuation dates.
The redemption price is par plus 106.9% of par if the notes are called on Sept. 2, 2009, par plus 113.8% of par if called on March 19, 2010, par plus 120.7% of par if called on Sept. 17, 2010 and par plus 127.6% of par if called on March 18, 2011.
If the notes are not called, the payout at maturity will be par unless the index falls by more than 10%, in which case, investors will lose 1.1111% for every 1% decline beyond 10%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Semiannual review notes
|
| Underlying index: | S&P 500
|
| Amount: | $3.12 million
|
| Maturity: | March 23, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Automatically if index closes at or above its call level of 80% of initial level on first valuation date, 90% of initial level on second valuation date and 100% of initial level on remaining valuation dates; at par plus 106.9% of par if notes are called on Sept. 2, 2009, par plus 113.8% of par if called on March 19, 2010, par plus 120.7% of par if called on Sept. 17, 2010 and par plus 127.6% of par if called on March 18, 2011
|
| Payout at maturity: | Par unless index falls by more than 10%, in which case 1.1111% loss for every 1% decline beyond 10%
|
| Initial index: | 682.55
|
| Pricing date: | March 5
|
| Settlement date: | March 10
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.5%
|
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