By Marisa Wong
Madison, Wis., April 9 - HSBC USA Inc. priced $2.83 million of 0% dual directional knock-out notes due April 24, 2013 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 closing index level is less than the initial index level by more than 18% on any day during the life of the notes.
If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus the lesser of 15% and the index return.
If the final index level is less than the initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.
If the final index level is less than the initial level and a knock-out event has occurred, investors will be fully exposed to the index level decline.
HSBC Securities (USA) Inc. is the agent, and J.P. Morgan Securities LLC and JPMorgan Chase Bank NA are the placement agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Dual directional knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $2.83 million
|
| Maturity: | April 24, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level is at or above initial level, par plus lesser of 15% and index return; if final level is less than initial level but knock-out event has not occurred, par plus absolute value of return; if final level is less than initial level and knock-out event has occurred, full exposure to index decline
|
| Knock-out event: | Index falls below initial level by more than 18% on any day during life of notes
|
| Initial index level: | 1,398.08
|
| Pricing date: | April 5
|
| Settlement date: | April 11
|
| Agent: | HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC and JPMorgan Chase Bank NA as placement agents
|
| Fees: | 1%
|
| Cusip: | 4042K1D67
|
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