By Toni Weeks
San Diego, Dec. 21 - HSBC USA Inc. priced $3.7 million of 8% annualized autocallable yield notes due June 22, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Interest is payable monthly.
The notes will be called automatically at par plus accrued interest if the indexes close above their initial levels on any bi-monthly observation date.
A trigger event will occur if either index falls below the trigger level, 65% of the initial level, on any trading day.
If a trigger event does not occur, investors will receive par at maturity. If a trigger event occurs and the return of the least-performing index is zero or positive, investors will receive par.
If a trigger event occurs and the return of the least-performing index is negative, investors will share in those losses.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $3,699,000
|
| Maturity: | June 22, 2012
|
| Coupon: | 8%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par, if a knock-in event does not occur or if it does occur but the return of the worst-performing index is at least zero; full exposure to losses if a knock-in event occurs and the return of the worst-performing index is negative
|
| Call: | At par if both underlying indexes close at or above initial levels on bi-monthly observation date beginning Feb. 16
|
| Initial levels: | 1,205.35 for S&P, 708.56 for Russell
|
| Trigger levels: | 783.48 for S&P, 460.56 for Russell; 65% of initial levels
|
| Pricing date: | Dec. 19
|
| Settlement date: | Dec. 22
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 2.25%
|
| Cusip: | 4042K1UE1
|
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