By Marisa Wong
Madison, Wis., Aug. 10 - HSBC USA Inc. priced $2 million of 10.6% autocallable yield notes due Aug. 13, 2012 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 at par plus accrued interest if the indexes close above their initial levels on any quarterly observation date.
A trigger event will occur if the final level of either index is below the trigger level, 65% of the initial level.
If a trigger event does not occur, investors will receive par at maturity.
If a trigger event occurs, investors will receive par plus the return of the lesser performing index and will share in any 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: | $2 million
|
| Maturity: | Aug. 13, 2012
|
| Coupon: | 10.6%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If a knock-in event does not occur, par; if a knock-in event occurs, par plus the return of the worse performing index, with full exposure to losses
|
| Call: | At par if both underlying indexes close at or above initial levels on quarterly observation date
|
| Initial levels: | 1,119.46 for S&P, 650.96 for Russell
|
| Knock-in barriers: | 727.65 for S&P, 423.12 for Russell; 65% of initial levels
|
| Pricing date: | Aug. 8
|
| Settlement date: | Aug. 11
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K1MF7
|
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