By Angela McDaniels
Tacoma, Wash., March 12 - HSBC USA Inc. priced $23.2 million of 0% dual index notes due Dec. 13, 2012 linked to the S&P 500 index and the MSCI All Country Asia ex Japan index, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus the reference return. If the reference return is negative, investors will receive less than par.
The reference return equals (a) the return of the S&P 500, subject to a cap of zero, plus (b) the return of the MSCI AC Asia ex Japan index, subject to a maximum of 38% and a minimum of zero.
Because the S&P 500 return is capped at zero, investors will be exposed to any depreciation of the S&P 500 but will receive no benefit from any appreciation of the S&P 500.
HSBC Securities (USA) Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Dual index notes
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Underlying indexes: | S&P 500 index and MSCI All Country Asia ex Japan index
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Amount: | $23.2 million
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Maturity: | Dec. 13, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus return of S&P 500 plus return of MSCI All Country Asia ex Japan index; return of former is subject to cap of zero, and return of latter is subject to cap of 38% and floor of zero
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Initial index levels: | 1,365.91 for S&P 500 and 522.66 for MSCI All Country Asia ex Japan
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Pricing date: | March 8
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Settlement date: | March 13
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Agent: | HSBC Securities (USA) Inc.
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Fees: | None
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Cusip: | 4042K1A29
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