By Angela McDaniels
Tacoma, Wash., Aug. 24 - HSBC USA Inc. priced $15.98 million of capped index prepaid put notes, series 1, due Dec. 22, 2010 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer announced the deal in an FWP filing on Monday but did not disclose the issue size until Tuesday.
As previously reported, each note has a principal amount of $87.30.
If the final index level is 850 or greater, the payout at maturity will be the maximum payment, $93.68 per note.
If the final index level is less than 850 but greater than 750, the payout will be $93.68 minus an amount equal to $1,000 multiplied by the index change.
The index change will be a) 850 minus the final index level b) divided by the initial index level. The issuer said this means that for every 1% decline of the index (as compared to the initial index level) below 850, the payment will be reduced by $10.00.
If the final index level is less than or equal to 750, the payout will be zero and noteholders will lose their entire investments.
The initial index level - 1,067.5 - was an intraday level of the index on the pricing date and was chosen by the calculation agent.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Capped index prepaid put notes, series 1
|
| Underlying index: | S&P 500
|
| Amount: | $15,975,900
|
| Maturity: | Dec. 22, 2010
|
| Coupon: | 0%
|
| Price: | Par of $87.30
|
| Payout at maturity: | If final index level is 850 or greater, $93.68; if final index level is 750 or less, nothing; otherwise, $93.68 minus product of $1,000 multiplied by index change
|
| Index change: | a) 850 minus final index level b) divided by initial index level
|
| Initial index level: | 1,067.5
|
| Pricing date: | Aug. 20
|
| Settlement date: | Aug. 25
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | None
|
| Cusip: | 40432R658
|
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