By Jennifer Chiou
New York, March 12 - HSBC USA Inc. priced $7,368,000 of variable-coupon callable yield notes due June 14, 2013 linked to the Russell 2000 index and the Market Vectors Gold Miners exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
A coupon step-down event occurs if the closing value of either underlying component is below its trigger value - 60% of its initial value - on either of two coupon observation dates. The coupon observation dates are March 11, 2013 and June 11, 2013.
If a coupon step-down event does not occur on the first coupon observation date, the interest rate will be 14%.
If a coupon step-down event does not occur on the second and final coupon observation date, the coupon will be 3.5%.
On either observation date, if a coupon step-down event occurs, the interest rate will be zero for that interest period.
The notes are callable at par on either coupon observation date.
The payout at maturity will be par unless either underlying component falls below the 60% trigger level on any day during the life of the notes and the final return of the least-performing component is zero or negative, in which case investors will receive par plus the return of the least-performing component.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Variable-coupon callable yield notes
|
| Underlying assets: | Russell 2000 index and Market Vectors Gold Miners exchange-traded fund
|
| Amount: | $7,368,000
|
| Maturity: | June 14, 2013
|
| Coupon: | 14% per year if coupon step-down event does not occur on the first coupon observation date; 3.5% per year if coupon step-down event does not occur on the second and final coupon observation date; zero if a coupon step-down event occurs; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless either index closes below trigger level during life of notes, in which case par plus return of worst-performing index, subject to maximum payout of par
|
| Call option: | At par on any interest payment date
|
| Initial levels: | 806.34 for Russell 2000 and $53.31 for fund
|
| Trigger levels: | 483.80 for Russell 2000 and $31.99 for fund; 60% of initial levels
|
| Pricing date: | March 8
|
| Settlement date: | March 13
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 0.75%
|
| Cusip: | 4042K1ZR7
|
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