By Angela McDaniels
Tacoma, Wash., April 12 - HSBC USA Inc. priced $6.15 million of 0% knock-out buffer notes due April 24, 2013 linked to the performance of the Mexican peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the peso has depreciated on April 17, 2013, as compared to the initial spot rate, by more than 15%.
If a knock-out event occurs, investors will be fully exposed to the depreciation of the peso. If a knock-out event does not occur, the payout at maturity will be par plus the greater of the currency return and 7.35%.
The currency return is the quotient of (a) the initial spot rate minus the final spot rate divided by (b) the initial spot rate.
HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC as dealer.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying currency: | Mexican peso
|
| Amount: | $6.15 million
|
| Maturity date: | April 24, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Full exposure to decline if peso has depreciated on April 17, 2013 by more than 15% compared to initial spot rate; otherwise, par plus greater of currency return and 7.35%
|
| Initial exchange rate: | 13.166 pesos per dollar
|
| Pricing date: | April 10
|
| Settlement date: | April 17
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Dealer: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K1G23
|
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