By Jennifer Chiou
New York, March 7 - HSBC USA Inc. priced $40,000 of 0% capped knock-out buffer notes due March 14, 2012 linked to the iShares MSCI Brazil index fund, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the exchange-traded fund's share price falls by more than the 25% buffer during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the fund return, which could be positive or negative.
If a knock-out event does not occur, investors will receive par plus the greater of the fund return and 5%.
In each case, the return will be capped at 33%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Capped knock-out buffer notes
|
| Underlying ETF: | iShares MSCI Brazil index fund
|
| Amount: | $40,000
|
| Maturity: | March 14, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If ETF's share price falls by more than 25% during life of notes, par plus fund return with exposure to losses; otherwise, par plus greater of fund return and 5%; return capped at 33% in each case
|
| Initial share price: | $73.89
|
| Pricing date: | March 3
|
| Settlement date: | March 8
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | None
|
| Cusip: | 4042K1FC2
|
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