By Susanna Moon
Chicago, Feb. 23 - HSBC USA Inc. priced $2.8 million of 8% autocallable yield notes due Feb. 24, 2012 based on the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable quarterly.
The notes are callable at par if either index is at or above its initial level on May 18, Aug. 18, Nov. 18, 2011 or Feb. 21, 2012.
The payout at maturity will be par unless either index falls to or below its knock-in level - 80% of its initial level - during the life of the notes, in which case investors will receive par plus the return of the worst performing index, up to a maximum payout of par.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable yield notes
|
| Underlying components: | S&P 500 index and the Russell 2000 index
|
| Amount: | $2.8 million
|
| Maturity: | Feb. 24, 2012
|
| Coupon: | 8%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If either index falls to or below its knock-in level during the life of the notes, par plus the return of the worse performing index, capped at par; otherwise, par
|
| Call option: | At par on any observation date if either index is at or above its initial level
|
| Initial levels: | 1,343.01 for S&P and 834.82 for Russell
|
| Knock-in levels: | 1,074.41 for S&P and 667.86 for Russell; 80% of initial levels
|
| Pricing date: | Feb. 18
|
| Settlement date: | Feb. 24
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 2.1%
|
| Cusip: | 4042K1CY7
|
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