By Susanna Moon
Chicago, March 2 - HSBC USA Inc. priced $15.68 million of 0% knock-out buffer notes due Aug. 30, 2011 based on the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the fund shares fall by more than the 30% buffer during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the fund return, up to a maximum return of 30%. Investors will be exposed to any losses.
If a knock-out event does not occur, the payout will be par plus the fund return, with a cap of 30% and a contingent minimum return of 26%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying fund: | iShares MSCI Brazil index fund
|
| Amount: | $15.68 million
|
| Maturity: | Aug. 30, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If shares fall by more than 30% during life of notes, par plus fund return with exposure to losses; otherwise, par plus fund return, floor of 26%; in either case, cap of 30%
|
| Initial level: | $68.37
|
| Pricing date: | Feb. 26
|
| Settlement date: | March 3
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
| Cusip: | 4042K0R31
|
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