By Jennifer Chiou
New York, Aug. 30 - HSBC USA Inc. priced $3.19 million of 0% return optimization securities with contingent protection due Aug. 31, 2012 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.
The payout at maturity will be par of $10 plus 1.5 times any basket gain, subject to a maximum return of 39.5%.
If the basket return is between 0% and negative 30%, the payout will be par.
If the basket return is less than negative 30%, the payout will be par plus the basket return.
UBS Financial Services Inc. and HSBC USA Inc. are the underwriters.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return optimization securities with contingent protection
|
| Underlying ETFs: iShares MSCI EAFE index fund (70% weight) and iShares MSCI Emerging Markets index fund (30% weight)
|
| Amount: | $3,185,160
|
| Maturity: | Aug. 31, 2012
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 1.5 times any basket gain, up to maximum return of 39.5%; par if basket falls by 30% or less; par plus basket return if basket falls by more than 30%
|
| Initial share prices: | $49.55 for iShares MSCI EAFE and $39.62 for iShares MSCI Emerging Markets
|
| Pricing date: | Aug. 26
|
| Settlement date: | Aug. 31
|
| Underwriters: | UBS Financial Services Inc. and HSBC USA Inc.
|
| Fees: | 2%
|
| Cusip: | 40432R716
|
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