By Angela McDaniels
Tacoma, Wash., April 19 - HSBC USA Inc. priced $37 million of 0% return enhanced notes due Oct. 19, 2011 linked to the U.S. dollar-adjusted return of the Hang Seng China Enterprises index, according to a 424B2 filing with the Securities and Exchange Commission.
On each of the five trading days ending Oct. 14, 2011, the calculation agent will multiply the index's closing level by the currency multiplier, which is the number of U.S. dollars per Hong Kong dollar on that day divided by the initial spot rate. The average of these five numbers will be the final index level.
The payout at maturity will be par plus 300% of any increase in the index, subject to a maximum return of 19.5%. Investors will be exposed to any decline in the index.
J.P. Morgan Securities LLC and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return enhanced notes
|
| Underlying index: | Hang Seng China Enterprises index
|
| Amount: | $37 million
|
| Maturity: | Oct. 19, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus triple any index gain, up to a maximum return of 19.5%; exposure to any index decline
|
| Initial index level: | 13,533.6
|
| Final index level: | The average of (a) the closing index level multiplied by (b) the spot rate divided by the initial spot rate on each of the five trading days ending Oct. 14, 2011
|
| Initial spot rate: | 0.1286 U.S. dollars per Hong Kong dollar
|
| Pricing date: | April 15
|
| Settlement date: | April 20
|
| Agents: | J.P. Morgan Securities LLC and HSBC Securities (USA) Inc.
|
| Fees: | None
|
| Cusip: | 4042K1GL1
|
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