By Jennifer Chiou
New York, June 14 - HSBC USA Inc. priced $46.26 million of 0% knock-out buffer notes due June 27, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index's closing level falls by more than 20% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, investors will receive par plus the greater of the index return and 2.35%.
In each case, the payout will be subject to a maximum return of 20%.
J.P. Morgan Securities LLC is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying index: | S&P 500
|
| Amount: | $46,258,000
|
| Maturity: | June 27, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index falls by more than 20% during life of notes, par plus index return with exposure to losses; otherwise, par plus greater of index return and 2.35%; return capped at 20% in each case
|
| Initial index level: | 1,270.98
|
| Pricing date: | June 10
|
| Settlement date: | June 15
|
| Agent: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K1JV6
|
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