By Marisa Wong
Milwaukee, June 4 - HSBC USA Inc. priced $3 million of 0% return optimization securities with partial protection due Dec. 8, 2011 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the SPDR Trust Series 1 with a 45% weight, the iShares MSCI EAFE index fund with a 30% weight and the iShares Russell 2000 index fund with a 25% weight.
The payout at maturity will be par of $10 plus double any basket gain, subject to a maximum return of 23.3%.
If the basket return is between zero and negative 10%, the payout will be par.
If the basket return is less than negative 10%, the payout will be par minus the decline beyond 10%.
UBS Financial Services Inc. and HSBC USA Inc. are the underwriters.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return optimization securities with partial protection
|
| Underlying ETFs: SPDR Trust Series 1 (45% weight), iShares MSCI EAFE index fund (30% weight) and iShares Russell 2000 index fund (25% weight)
|
| Amount: | $3 million
|
| Maturity: | Dec. 8, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 23.3%; par if basket falls by 10% or less; par minus decline beyond 10% if basket falls by more than 10%
|
| Initial share prices: | $110.28 for SPDR; $49.15 for iShares MSCI EAFE; $66.07 for iShares Russell 2000
|
| Pricing date: | June 2
|
| Settlement date: | June 7
|
| Underwriters: | UBS Financial Services Inc., HSBC USA Inc.
|
| Fees: | 1.75%
|
| Cusip: | 40432R872
|
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