By Marisa Wong
Milwaukee, April 23 - HSBC USA Inc. priced $3.94 million of 0% knock-out buffer notes due Oct. 31, 2011 based on the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than the 20% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return. Investors will be exposed to any losses.
If a knock-out event does not occur, the payout will be par plus the greater of the index return and a contingent minimum return of 3.5%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying index: | S&P 500
|
| Amount: | $3.94 million
|
| Maturity: | Oct. 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return with exposure to losses; otherwise, par plus index return, floor of 3.5%
|
| Initial level: | 1,208.67
|
| Pricing date: | April 22
|
| Settlement date: | April 27
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
| Cusip: | 4042K0W50
|
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