By Angela McDaniels
Tacoma, Wash., Oct. 19 - HSBC USA Inc. priced $21.06 million of 0% knock-out buffer notes due April 27, 2012 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's closing level falls by more than 25% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, investors will receive par plus the greater of the index return and 10.6%.
In each case, the payout will be subject to a maximum return of 30%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying index: | S&P 500
|
| Amount: | $21,063,000
|
| Maturity: | April 27, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 25% during life of notes, par plus index return with exposure to losses; otherwise, par plus greater of index return and 10.6%; return capped at 30% in each case
|
| Initial index level: | 1,176.19
|
| Pricing date: | Oct. 15
|
| Settlement date: | Oct. 20
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1.25%
|
| Cusip: | 4042K07A7
|
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