By Angela McDaniels
Tacoma, Wash., Feb. 24 - HSBC USA Inc. priced $3.14 million of 0% notes due March 10, 2010 linked to a basket of three buffered return enhanced components via J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Tokyo Stock Price index with a 20% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the indexes.
If an index finishes above its initial level, its return will be double the gain, capped at a maximum return. If an index falls by 10% or less, its return will be 0%. If an index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.
The maximum return is 23.5% for the Euro Stoxx 50, 21.5% for the FTSE 100 and 18% for the Tokyo Stock Price. Based on these caps, the maximum payout at maturity is $1,219 for each $1,000 principal amount of notes.
Investors were required to purchase a minimum of $20,000 principal amount of notes.
| Issuer: | HSBC USA Inc.
|
| Issue: | Notes linked to a basket of three buffered return enhanced components
|
| Underlying basket: | Dow Jones Euro Stoxx 50 index (55% weight), FTSE 100 index (25% weight) and Tokyo Stock Price index (20% weight)
|
| Amount: | $3,139,000
|
| Maturity: | March 10, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the three index returns
|
| Index returns: | If the index increases, two times the gain, capped at a maximum of 23.5% for Euro Stoxx, 21.5% for FTSE 100 and 18% for Tokyo Stock Price; if the index declines by 10% or less, 0%; if the index declines by more than 10%, 0% minus 1.1111% for each 1% decline beyond 10%
|
| Initial index levels: | 2,011.68 for Euro Stoxx; 3,889.06 for FTSE 100; 739.53 for Tokyo Stock Price
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending March 5, 2010
|
| Pricing date: | Feb. 20
|
| Settlement date: | Feb. 25
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
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