By Angela McDaniels
Tacoma, Wash., Nov. 28 - HSBC USA Inc. priced $1.04 million of variable-coupon callable yield notes due Nov. 28, 2012 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly. A coupon step-down event will occur if either index closes below its trigger level, 50% of its initial level, on the observation date for that quarter. The interest rate will be 13.4% per year if a coupon step-down event does not occur and 1% per year if a coupon step-down event does occur.
The payout at maturity will be par unless either index closes below its trigger level during the life of the notes, in which case the payout will be par plus the return of the worst-performing index, subject to a maximum payout of par.
The notes are callable at par on any interest payment date.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Variable-coupon callable yield notes
|
| Underlying indexes: | Russell 2000 index and S&P 500 index
|
| Amount: | $1,041,000
|
| Maturity: | Nov. 28, 2012
|
| Coupon: | 1% per year if either index closes below its trigger level on applicable observation date, otherwise 13.4% per year; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index closes below trigger level during life of notes, in which case par plus return of worst-performing index, subject to maximum payout of par
|
| Call option: | At par on any interest payment date
|
| Initial index levels: | 1,188.04 for S&P 500 and 696.26 for Russell 2000
|
| Trigger levels: | 594.02 for S&P 500 and 348.13 for Russell 2000; 50% of initial levels
|
| Pricing date: | Nov. 22
|
| Settlement date: | Nov. 28
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 0.6%
|
| Cusip: | 4042K1SU8
|
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