By Angela McDaniels
Tacoma, Wash., July 2 - HSBC USA Inc. priced $685,000 of 0% autocallable notes due July 8, 2010 linked to a basket of three exchange-traded funds and one stock, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes equal weights of Standard & Poor's Depositary Receipts, the Powershares QQQ Trust, Series 1, the Midcap SPDR Trust and Goldman Sachs Group, Inc.
The notes will be called automatically if the worst-performing basket component closes at or above its initial price on any of eight quarterly auto redemption dates. Investors will receive par plus an annualized return of 20% to the redemption date.
The call dates are Oct. 1, Dec. 31, April 1, 2009, June 30, 2009, Oct. 1, 2009, Dec. 31, 2009, April 1, 2010 and June 30, 2010.
If the notes are not called, the payout at maturity will be par if the final price of each basket component is greater than or equal to its barrier price - 75% of its initial price. If the final price of the worst-performing component is less than its barrier price, the payout will be a number of shares of the worst-performing component equal to par divided by that component's initial price.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable notes
|
| Underlying basket: | Standard & Poor's Depositary Receipts, the Powershares QQQ Trust, Series 1, the Midcap SPDR Trust and Goldman Sachs Group, Inc., equally weighted
|
| Amount: | $685,000
|
| Maturity: | July 8, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If the final price of the worst-performing basket component is less than its barrier price, a number of shares of that component equal to its exchange ratio; otherwise, par
|
| Call: | Automatically if the worst-performing basket component closes at or above its initial price on an auto redemption date; payout will be par plus annualized return of 20% to redemption date
|
| Initial prices: | $127.98 for SPDRs; $45.17 for Powershares QQQ; $148.80 for Midcap SPDR; $174.90 for Goldman Sachs
|
| Barrier prices: | $95.985 for SPDRs; $33.878 for Powershares QQQ; $111.60 for Midcap SPDR; $131.175 for Goldman Sachs; 75% of initial price
|
| Exchange ratios: | 7.8137 for SPDRs; 22.1386 for Powershares QQQ; 6.7204 for Midcap SPDR; 5.7176 for Goldman Sachs
|
| Pricing date: | June 30
|
| Settlement date: | July 8
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 3.95%
|
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