By Angela McDaniels
Tacoma, Wash., Jan. 12 - HSBC USA Inc. priced $29.52 million of 0% notes due Feb. 17, 2011 linked to a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Tokyo Stock Price index with a 28% weight and the FTSE 100 index with a 23% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The cap is 17.5% for the Euro Stoxx 50, 9.5% for the Tokyo Stock Price and 14.2% for the FTSE 100. Based on these caps, the maximum payout at maturity is $1,145 per $1,000 principal amount of notes.
Issuer: | HSBC USA Inc.
|
Issue: | Notes linked to buffered return enhanced components
|
Underlying components: | Dow Jones Euro Stoxx 50 index (49% weight), Tokyo Stock Price index (28% weight) and FTSE 100 index (23% weight)
|
Amount: | $29,523,000
|
Maturity: | Feb. 17, 2011
|
Coupon: | 0%
|
Price: | Par
|
Payout at maturity: | Par plus the sum of the indexes' component returns
|
Component return: | Double any positive return, capped at 17.5% for Euro Stoxx 50, 9.5% for Tokyo Stock Price and 14.2% for FTSE 100; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
Initial index levels: | 3,017.85 for Euro Stoxx; 941.29 for Tokyo Stock Price; 5,534.24 for FTSE 100
|
Final index levels: | For each index, the average of its closing levels on the five trading days ending Feb. 14, 2011
|
Pricing date: | Jan. 8
|
Settlement date: | Jan. 13
|
Agent: | J.P. Morgan Securities Inc.
|
Fees: | 1%
|
Cusip: | 4042K0L29
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.