By Marisa Wong
Madison, Wis., Jan. 2 - HSBC USA Inc. priced $8.87 million of 0% contingent buffered enhanced notes due Jan. 15, 2014 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes below the initial index level by more than 20% on any day during the life of the notes.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the index return and the contingent minimum return of 4%. Otherwise, the payout will be par plus the index return with exposure to any losses.
In both cases, the maximum return is 15%.
HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC as dealer.
| Issuer: | HSBC USA Inc.
|
| Issue: | Contingent buffered enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $8,868,000
|
| Maturity: | Jan. 15, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index never falls by more than 20% during life of notes, par plus greater of index return and 4%; otherwise, par plus index return with exposure to any losses; in either case, return is capped at 15%
|
| Initial level: | 1,402.43
|
| Pricing date: | Dec. 28
|
| Settlement date: | Jan. 3
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Dealer: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 40432X5R8
|
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