By Susanna Moon
Chicago, Aug. 3 - HSBC USA Inc. priced $13.62 million of 0% knock-out buffer notes due Feb. 3, 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.
A knock-out event occurs if the index closes down by more than 30% from its initial level on any day during the life of the notes.
If a knock-out event has occurred, the payout at maturity will be par plus the index return.
Otherwise, the payout will be par plus the greater of the index return and the contingent minimum return of 2.5%.
Issuer: | HSBC USA Inc.
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Issue: | Knock-out buffer notes
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Underlying index: | S&P 500
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Amount: | $13,619,000
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Maturity: | Feb. 3, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index falls by more than 30% during life of notes, par plus index return; otherwise, par plus greater of index return and 2.5%
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Initial index level: | 987.48
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Pricing date: | July 31
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Settlement date: | Aug. 5
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 1%
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