By Angela McDaniels
Tacoma, Wash., Feb. 28 - HSBC USA Inc. priced $3.16 million of 11% autocallable yield notes due March 13, 2013 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 if both indexes close at or above their initial levels on May 29, 2012, Aug. 29, 2012, Nov. 28, 2012 or Feb. 26, 2013.
A trigger event will occur if either index falls below the trigger level, 75% of the initial level, on any trading day.
If a trigger event does not occur, the payout at maturity will be par.
If a trigger event occurs and the final return of the worst-performing index is positive, the payout will be par.
If a trigger event occurs and the final return of the worst-performing index is negative or zero, investors will be fully exposed to the decline of that index.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $3,163,000
|
| Maturity: | March 1, 2013
|
| Coupon: | 11%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If trigger event does not occur, par; if trigger event occurs and final return of worst-performing index is positive, par; if trigger event occurs and final return of worst-performing index is negative or zero, full exposure to decline of that index
|
| Trigger event: | Either index falls closes trigger level on any trading day
|
| Call: | Automatically at par if both indexes close at or above their initial levels on May 29, 2012, Aug. 29, 2012, Nov. 28, 2012 or Feb. 26, 2013
|
| Initial index levels: | 1,365.74 for S&P 500 and 826.92 for Russell 2000
|
| Trigger levels: | 1,024.31 for S&P 500 and 620.19 for Russell 2000; 75% of initial levels
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 29
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 0.6%
|
| Cusip: | 4042K1WU3
|
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