By Angela McDaniels
Tacoma, Wash., June 9 - HSBC USA Inc. priced $25.14 million of 0% knock-out buffer notes due Dec. 9, 2010 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The basket includes the iShares MSCI Brazil index fund with a 69.5% weight and the iShares MSCI Mexico index fund with a 30.5% weight.
A knock-out event will occur if the basket's closing level has declined by more than 30% from the initial level on any day during the life of the notes.
If a knock-out event has occurred, the payout at maturity will be par plus the basket return. Otherwise, the payout will be par plus the greater of the basket return and 15%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying ETFs: | iShares MSCI Brazil index fund (69.5% weight) and iShares MSCI Mexico index fund (30.5% weight)
|
| Amount: | $25,141,000
|
| Maturity: | Dec. 9, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket's closing level falls by more than 30% during life of notes, par plus basket return; otherwise, par plus greater of basket return and 15%
|
| Initial share prices: | $55.88 for Brazil fund; $37.37 for Mexico fund
|
| Pricing date: | June 5
|
| Settlement date: | June 10
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
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