By Jennifer Chiou
New York, June 2 - HSBC USA Inc. priced $8.96 million of 0% buffered return enhanced notes due June 17, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Composite 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 multiply 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 Composite Stock Price, 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 22.2%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises (33% weight), Korea Composite Stock Price Index 200 (24% weight), MSCI Taiwan (21% weight), Hang Seng (14% weight) and MSCI Singapore (8% weight)
|
| Amount: | $8.96 million
|
| Maturity: | June 17, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 22.2%; par if basket declines by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 11,508.49 for Hang Seng China Enterprises; 212.10 for Korea Composite Stock Price; 260.13 for MSCI Taiwan; 19,766.71 for Hang Seng; 324.96 for MSCI Singapore
|
| Initial spot rates: | 0.12842 for Hong Kong dollar; 0.000821 for Korean won; 0.031216 for Taiwan dollar; 0.7111 for Singapore dollar
|
| Pricing date: | May 28
|
| Settlement date: | June 3
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K02V6
|
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