By Laura Lutz
Des Moines, April 16 - HSBC USA Inc. priced $1.29 million of 10.6% annualized worst of reverse convertible notes due July 17, 2008 linked to a basket of exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.
Interest will be payable monthly.
The basket consists of Standard & Poor's Depositary Receipts, iShares S&P Latin America 40 index fund and iShares MSCI Emerging Markets index fund.
The payout will be determined according to the performance of all reference assets during the life of the notes.
At maturity, investors will receive par unless any share falls below its protection price - 75% of its initial share price - during the life of the notes and the worst-performing shares finish below their initial price, in which case the payout will be a number of the worst-performing shares equal to par divided by that share's initial price.
HSBC Securities (USA) Inc. will be the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Worst of reverse convertible notes
|
| Underlying basket: | Standard & Poor's Depositary Receipts, iShares S&P Latin America 40 index fund and iShares MSCI Emerging Markets index fund
|
| Amount: | $1,286,000
|
| Maturity; | July 17, 2008
|
| Coupon: | 10.6%
|
| Price: | Par
|
| Payout at maturity: | Par unless any share falls below 75% of initial price and worst-performing shares finish below their initial price, in which case number of worst-performing shares equal to par divided by that share's initial price
|
| Initial levels: | $132.93 for S&P Depostiary receipts; $266.37 for iShares S&P Latin America 40; $139.09 for iShares MSCI Emerging Markets
|
| Pricing date: | April 14
|
| Settlement date: | April 17
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 1.6%
|
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