By Angela McDaniels
Tacoma, Wash., Aug. 14 - HSBC USA Inc. priced $43.4 million of 0% callable contingent market participation notes due May 25, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
If the index closes above 110% of its initial level on any day, the notes will be called and investors will receive 110% of par.
If the notes are not called and a knock-out event occurs during the life of the notes, the payout at maturity will be par plus the index return, subject to a maximum return of 10%. A knock-out event will occur if the index closes below its initial level by more than 15%.
If the notes are not called and no knock-out event occurs, the payout at maturity will be par plus the greater of 2% and the index return.
| Issuer: | HSBC USA Inc.
|
| Issue: | Callable contingent market participation notes
|
| Underlying index: | S&P 500
|
| Amount: | $43.4 million
|
| Maturity: | May 25, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the index declines by more than 15% during the life of the notes, par plus the lesser of 10% and the index return; otherwise, par plus the greater of 2% and the index return
|
| Call option: | Automatically at 110% of par if the index closes above the call level on any day
|
| Initial index level: | 1,006.58
|
| Call level: | 1,107.23, 110% of initial level
|
| Pricing date: | Aug. 13
|
| Settlement date: | Aug. 18
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 0.75%
|
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