By Angela McDaniels
Tacoma, Wash., Jan. 20 - HSBC USA Inc. priced $25.42 million of 0% buffered return enhanced notes due Feb. 3, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiple its final return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Korea Stock Price 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 17.8%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises (33% weight), Korea Stock Price 200 (24% weight), MSCI Taiwan (21% weight), Hang Seng (14% weight) and MSCI Singapore (8% weight)
|
| Amount: | $25,415,000
|
| Maturity: | Feb. 3, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 17.8%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 12,356.88 for Hang Seng China Enterprises; 223.21 for Korea Stock Price; 302.07 for MSCI Taiwan; 21,654.16 for Hang Seng; 348.11 for MSCI Singapore
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Jan. 31, 2011
|
| Initial exchange rates: | 0.12889 U.S. dollars per Hong Kong dollar; 0.000890472 U.S. dollars per won; 0.031451486 U.S. dollars per Taiwan dollar; 0.718700589 U.S. dollars per Singapore dollar
|
| Pricing date: | Jan. 15
|
| Settlement date: | Jan. 21
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K0L78
|
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