By Angela McDaniels
Tacoma, Wash., May 21 - HSBC USA Inc. priced $10.88 million of 0% return optimization securities with contingent protection due May 25, 2012 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
UBS Financial Services Inc. and HSBC USA Inc. are the underwriters.
The basket includes Standard & Poor's Depositary Receipts with a 40% weight, the iShares MSCI EAFE index fund with a 40% weight, the iShares MSCI Brazil index fund with a 10% weight and the iShares FTSE/Xinhua China 25 index fund with a 10% weight.
If the basket return is positive, the payout at maturity will be par plus 1.5 times the basket return. The payout will be capped at $15.28 per $10.00 note.
If the basket return is between 0% and negative 50%, the payout will be par.
If the basket return is less than negative 50%, the payout will be par plus the basket return.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return optimization securities with contingent protection
|
| Underlying ETFs: | Standard & Poor's Depositary Receipts (40% weight), iShares MSCI EAFE index fund (40% weight), iShares MSCI Brazil index fund (10% weight) and iShares FTSE/Xinhua China 25 index fund (10% weight)
|
| Amount: | $10,875,000
|
| Maturity: | May 25, 2012
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus 1.5 times any positive basket return, up to maximum return of 52.8%; par if basket return is between 0% and negative 50%; par plus basket return if basket return is less than negative 50%
|
| Initial ETF prices: | $91.12 for SPDRs, $45.83 for iShares MSCI EAFE, $51.58 for iShares MSCI Brazil and $35.80 for iShares FTSE/Xinhua China
|
| Pricing date: | May 19
|
| Settlement date: | May 26
|
| Underwriters: | UBS Financial Services Inc. and HSBC USA Inc.
|
| Fees: | 2.5%
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