By Toni Weeks
San Diego, July 26 - HSBC USA Inc. priced $5.12 million of 6.5% autocallable yield notes due July 19, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 6.5%. Interest is payable quarterly.
The notes will be called at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date.
A trigger event will occur if either index falls below the trigger level, 80% 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 index return is zero or positive, investors will receive par.
If a trigger event occurs and the return of the least-performing index is negative, investors will share in those losses.
HSBC Securities (USA) Inc. will be the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $5,115,000
|
| Maturity: | July 19, 2012
|
| Coupon: | 6.5%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par, if a knock-in event does not occur or if it does occur but the return of the worst-performing index is at least zero; full exposure to losses if a knock-in event occurs and the return of the worst-performing index is negative
|
| Call: | At par if both underlying indexes close at or above initial levels on quarterly observation date
|
| Initial levels: | 1,345.02 for S&P, 841.82 for Russell
|
| Knock-in barriers: | 1,076.02 for S&P, 673.46 for Russell; 80% of initial levels
|
| Pricing date: | July 22
|
| Settlement date: | July 27
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 2.1%
|
| Cusip: | 4042K1KP7
|
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