By Marisa Wong
Madison, Wis., Sept. 27 - HSBC USA Inc. priced $520,000 of 12% autocallable yield notes due Sept. 28, 2011 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes will be called automatically at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date. The observation dates are Dec. 23, March 23, June 23, 2011 and Sept. 23, 2011.
A trigger event will occur if either index falls to or below the trigger level, 75% of the initial level, on any trading day.
If a trigger event does not occur, investors will receive par at maturity.
If a trigger event occurs and the return of the least-performing index is positive, investors will receive par.
If a trigger event occurs and the return of the least-performing index is negative or zero, investors will share in those losses.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $520,000
|
| Maturity: | Sept. 28, 2011
|
| Coupon: | 12%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index falls to or below its trigger level during the life of the notes and the least-performing index finishes at or below the initial level, investors will share fully in losses; otherwise, par
|
| Call option: | Automatically at par plus accrued interest if the indexes close above their initial levels on Dec. 23, March 23, June 23, 2011 or Sept. 23, 2011
|
| Initial levels: | 1,124.83 for S&P 500 and 648.84 for Russell 2000
|
| Knock-in levels: | 843.62 for S&P 500 and 486.63 for Russell 2000; 75% of initial levels
|
| Pricing date: | Sept. 23
|
| Settlement date: | Sept. 28
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 0.3%
|
| Cusip: | 4042K04Y8
|
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