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Published on 3/5/2012 in the Prospect News Structured Products Daily.

New Issue: HSBC prices $6.4 million twin participation notes on iShares MSCI Emerging Markets

By Marisa Wong

Madison, Wis., March 5 - HSBC USA Inc. priced $6.4 million of 0% twin participation notes due Sept. 6, 2013 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.

A trigger event occurs if the exchange-traded fund's shares close below 70% of the initial share price on any day during the life of the notes.

If a trigger event has not occurred and the final share price is greater than the initial share price, the payout at maturity will be par plus the ETF gain, subject to a maximum return of 26%.

If a trigger event has not occurred and the final share price is less than or equal to the initial share price, the payout at maturity will be par plus the absolute value of the ETF return.

If a trigger event has occurred, investors will receive par plus the lesser of the fund return and 26%. In this case, the payout could be less than par.

HSBC Securities (USA) Inc. is the agent.

Issuer:HSBC USA Inc.
Issue:Twin participation notes
Underlying ETF:iShares MSCI Emerging Markets index fund
Amount:$6,395,000
Maturity:Sept. 6, 2013
Coupon:0%
Price:Par
Payout at maturity:If trigger event has not occurred and final price is greater than initial price, par plus ETF gain, return capped at 26%; if trigger event has not occurred and final price is less than or equal to initial price, par plus absolute value of ETF return; if trigger event has occurred, par plus lesser of fund return and 26%, with exposure to losses
Initial price:$44.76
Trigger price:$31.33, 70% of initial price
Pricing date:March 1
Settlement date:March 6
Agent:HSBC Securities (USA) Inc.
Fees:1.5%
Cusip:4042K1YN7

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