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HSBC to price notes linked to three buffered return enhanced indexes
By Marisa Wong
Madison, Wis., Feb. 15 - HSBC USA Inc. plans to price 0% notes due March 6, 2013 linked to a weighted basket of three buffered return enhanced components, each converted into dollars, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 55% weight, the Tokyo Stock Price index with a 23% weight and the FTSE 100 index with a 22% weight.
The initial level of each index will be converted into dollars from its underlying currency, which is the euro for the Euro Stoxx 50, the Japanese yen for the Tokyo Stock Price and the British pound sterling for the FTSE 100.
The final level of each index will be the average of its converted closing levels on the five trading days ending March 1, 2013.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
If an index's final level is greater than its initial level, its component return will be double the underlying return, subject to a maximum return of 23.4% for the Euro Stoxx 50, 6% for the Tokyo Stock Price and 21.6% for the FTSE 100. If the index's level declines by up to 10%, its component return will be zero. If the index's level declines by more than 10%, its component return will be 1.11111 times the sum of the index return plus 10%.
Due to the maximum returns, the maximum payout at maturity is $1,190 per $1,000 principal amount of notes.
HSBC Securities (USA) Inc. is the underwriter. Distribution is through J.P. Morgan Securities LLC.
The notes (Cusip: 4042K1XT5) will price on Feb. 17 and settle on Feb. 23.
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