By Susanna Moon
Chicago, Feb. 9 - HSBC USA Inc. priced $3 million of 0% knock-out buffer notes due Aug. 11, 2011 based on the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the fund falls by more than the 30% buffer during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the fund return, up to a maximum gain of 40%. Investors will be exposed to any losses.
If a knock-out event does not occur, the payout will be par plus the fund return, with a contingent minimum return of 9.25% and a cap of 40%.
J.P. Morgan Securities Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Knock-out buffer notes
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Underlying fund: | iShares MSCI Brazil index fund
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Amount: | $3 million
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Maturity: | Aug. 11, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If fund falls below buffer during life of notes, par plus fund return with exposure to losses; otherwise, par plus return with a floor of 9.25%; in either case, return capped at 40%
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Initial level: | $63.26
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Pricing date: | Feb. 8
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Settlement date: | Feb. 11
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Agent: | J.P. Morgan Securities Inc.
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Fees: | 1.25%
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Cusip: | 4042K0Q65
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