By Susanna Moon
Chicago, Feb. 8 - HSBC USA Inc. priced $3.53 million of 0% knock-out buffer notes due Aug. 11, 2011 based on the S&P 500 index, according to a 424B2 with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than the 20% buffer during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return. Investors will be exposed to any losses.
If a knock-out event does not occur, the payout will be par plus the index return, with a contingent minimum return of 9.9%.
In either case, any gain on the index will be capped at 30%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying index: | S&P 500
|
| Amount: | $3.53 million
|
| Maturity: | Aug. 11, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls below buffer during life of notes, par plus basket return; otherwise, par plus basket return, floor of 9.9%; in either case, cap of 30%
|
| Initial level: | 1,066.19
|
| Pricing date: | Feb. 5
|
| Settlement date: | Feb. 10
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K0Q24
|
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