By Jennifer Chiou
New York, Nov. 16 - HSBC USA Inc. priced $2.14 million of 0% knock-out buffer notes due Nov. 29, 2012 linked to equal weights of the Brazilian real, Mexican peso and Chilean peso relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the currency basket falls by more than 25% relative to the initial level on the final valuation date of Nov. 21, 2012.
If a knock-out event occurs, the payout at maturity will be par plus the basket return, with exposure to any losses.
Otherwise, the payout will be par plus any basket gain, with a contingent minimum return of 10.25%.
HSBC Securities (USA) Inc. is the underwriter with J.P. Morgan Securities LLC as the distributor.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying currencies: | Brazilian real, Mexican peso and Chilean peso, equally weighted relative to the dollar
|
| Amount: | $2,135,000
|
| Maturity date: | Nov. 29, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket falls by more than 25%, par plus return with exposure to losses; otherwise, par plus greater of basket return and 10.25%
|
| Initial exchange rates: | 1.7547 for real; 13.4114 for Mexican peso; 499.66 for Chilean peso
|
| Pricing date: | Nov. 14
|
| Settlement date: | Nov. 21
|
| Underwriter: | HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC as distributor
|
| Fees: | 1%
|
| Cusip: | 4042K1SP9
|
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