By Angela McDaniels
Tacoma, Wash., Jan. 28 - HSBC USA Inc. priced $15.34 million of 0% return optimization securities with contingent protection due Jan. 31, 2013 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the iShares MSCI EAFE index fund with a 70% weight and the iShares MSCI Emerging Markets index fund with a 30% weight.
If the basket return is positive, the payout at maturity will be par of $10 plus 1.5 times the gain, subject to a maximum return of 46.5%.
If the basket return is between zero and negative 40%, the payout will be par.
If the basket return is less than negative 40%, the payout will be par plus the basket return.
UBS Financial Services Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Return optimization securities with contingent protection
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Underlying ETFs: | iShares MSCI EAFE index fund (70% weight) and iShares MSCI Emerging Markets index fund (30% weight)
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Amount: | $15,337,780
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Maturity: | Jan. 31, 2013
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Coupon: | 0%
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Price: | Par of $10.00
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Payout at maturity: | Par plus 1.5 times any basket gain, up to maximum return of 46.5%; par if basket return is between zero and negative 40%; par plus basket return if basket return is less than negative 40%
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Initial share prices: | $54.22 for iShares MSCI EAFE; $39.04 for iShares MSCI Emerging Markets
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Pricing date: | Jan. 26
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Settlement date: | Jan. 29
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Agent: | UBS Financial Services Inc.
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Fees: | 2.4%
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Cusip: | 4042EP222
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