By Angela McDaniels
Tacoma, Wash., April 9 - HSBC USA Inc. priced $11.19 million of 0% notes due April 24, 2013 linked to a weighted basket of three buffered return enhanced components, 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. Their underlying currencies are the euro, the Japanese yen and the British pound sterling, respectively.
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.
The initial level of each index will be converted into dollars using the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its converted closing levels on the five trading days ending April 19, 2013.
If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of 17.5%. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be 1.1111 times the sum of its return plus 10%.
HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC and JPMorgan Chase Bank NA as dealers.
| Issuer: | HSBC USA Inc.
|
| Issue: | Notes linked to weighted basket of three buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (55% weight), Tokyo Stock Price index (23% weight) and FTSE 100 index (22% weight)
|
| Amount: | $11,188,000
|
| Maturity: | April 24, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 17.5%; zero if index's level declines by up to 10%; 1.1111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial index levels: | 2,392.54 for Euro Stoxx 50; 832.57 for Tokyo Stock Price and 5,723.67 for FTSE 100
|
| Final index levels: | Average of index's converted closing levels on five trading days ending April 19, 2013
|
| Initial exchange rates: | 1.3063 dollars per euro; 1.58305 dollars per pound; 1 dollar per 82.37 yen
|
| Pricing date: | April 5
|
| Settlement date: | April 11
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Dealers: | J.P. Morgan Securities LLC and JPMorgan Chase Bank NA
|
| Fees: | 1%
|
| Cusip: | 4042K1D75
|
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