By Susanna Moon
Chicago, Oct. 12 - HSBC USA Inc. priced $40.25 million of 0% knock-out buffer notes due Oct. 21, 2011 based on the price of gold, according to a 424B2 with the Securities and Exchange Commission.
A knock-out event occurs if the price of gold falls by more than the buffer amount of 20% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the return on gold, with exposure to any losses.
If a knock-out event does not occur, investors will receive par plus any gain, with a contingent minimum return of 5%.
The maximum payout at maturity will be 17.5%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying commodity: | Gold
|
| Amount: | $40,253,000
|
| Maturity: | Oct. 21, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If gold falls below 80% of initial level during life of notes, par plus the return; otherwise, par plus gain, floor of 5%; cap of 17.5% in any case
|
| Initial level: | $1,341.50
|
| Pricing date: | Oct. 8
|
| Settlement date: | Oct. 15
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K06X8
|
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