Published on 2/28/2012 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.57 million peak return participation notes linked to S&P 500 Low Volatility
By Angela McDaniels
Tacoma, Wash., Feb. 28 - HSBC USA Inc. priced $1.57 million of 0% peak return participation notes due March 1, 2019 linked to the S&P 500 Low Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.
If the highest reference return is greater than zero, the payout at maturity will be par plus the greater of (a) 70% of the highest reference return and (b) 7%. If the highest reference return is less than or equal to zero, the payout will be par plus 7%.
The reference returns will be the index's returns on Feb. 26, 2013, Feb. 26, 2014, Feb. 26, 2015, Feb. 26, 2016, Feb. 27, 2017, Feb. 26, 2018 and Feb. 26, 2019.
The S&P 500 Low Volatility index is made up of the 100 least-volatile stocks over the previous year in the S&P 500 index. The volatilities of all S&P 500 constituents are calculated using daily standard deviation data for roughly the past year, and the weight for each index constituent is set inversely proportional to its volatility (higher weightings are assigned to the least volatile stocks). The index is rebalanced in February May, August and November of each year.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Peak return participation notes
|
| Underlying index: | S&P 500 Low Volatility index
|
| Amount: | $1,574,000
|
| Maturity: | March 1, 2019
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus greater of (a) 70% of highest reference return and (b) 7% if highest reference return if greater than zero; otherwise, par plus 7%
|
| Highest reference return: | Highest of index's returns on Feb. 26, 2013, Feb. 26, 2014, Feb. 26, 2015, Feb. 26, 2016, Feb. 27, 2017, Feb. 26, 2018 and Feb. 26, 2019
|
| Initial index level: | 4,204.07
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 29
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 4.5%
|
| Cusip: | 4042K1XF5
|
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