By Jennifer Chiou
New York, Dec. 2 - HSBC USA Inc. priced $1 million of variable-coupon callable yield notes due Dec. 5, 2011 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 with the Securities and Exchange Commission.
Interest will be payable quarterly.
A coupon step-down event will occur if the closing value of either underlying component is below its trigger value of 70% of the initial level on the relevant observation date. If a coupon step-down event occurs, interest will be 6% per year. Otherwise, interest will accrue at 17.5%.
A trigger event will occur if either underlying component closes below 70% of its initial level during the life of the notes.
If a trigger event does not occur, the payout at maturity will be par. If a trigger event does occur, but the final return of the worst-performing underlying component is positive, the payout at maturity will also be par.
If a trigger event occurs and the worst-performing underlying component return is zero or negative, investors will share fully in any losses.
The notes will be callable at par on any interest payment date.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Variable-coupon callable yield notes
|
| Underlying assets: | Russell 2000 and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $1 million
|
| Maturity: | Dec. 5, 2011
|
| Coupon: | 17.5% if coupon step-down event does not occur; otherwise 6%; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either component falls below trigger level during life of notes, par plus return of worst-performing component, subject to maximum payout of par; otherwise, par
|
| Call: | At par on any interest payment date
|
| Initial levels: | 727.01 for index; $59.50 for fund
|
| Pricing date: | Nov. 30
|
| Settlement date: | Dec. 3
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 0.6%
|
| Cusip: | 4042K1AQ6
|
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