By Susanna Moon
Chicago, May 20 - HSBC USA Inc. priced $2.28 million 0% autocallable notes due May 24, 2010 linked to the common stocks of JPMorgan Chase & Co. and Goldman Sachs Group, Inc., according to an FWP filing with the Securities and Exchange Commission.
The notes will be called automatically if the worst-performing stock closes at or above its initial price on any of three auto redemption dates. Investors will receive par plus 25% if the notes are called on May 18, 2009, par plus 37.5% if called on Nov. 17, 2009 and par plus 50% if called on May 17, 2010.
If the notes are not called, the payout at maturity will be par if the final price of each stock is greater than or equal to its barrier price - 75% of its initial price. If the final price of the worst-performing stock is less than its barrier price, the payout will be a number of shares of the worst-performing stock equal to par divided by that stock's initial price.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable notes
|
| Underlying stocks: | JPMorgan Chase & Co. (NYSE: JPM); Goldman Sachs Group, Inc. (NYSE: GS)
|
| Amount: | $2,275,000
|
| Maturity: | May 24, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless the worst-performing stock finishes below its trigger price, in which case either 21.4915 JPMorgan shares or 5.3436 Goldman Sachs shares
|
| Call: | Automatically if worst-performing stock closes at or above its initial price on an observation date; payout will be par plus an annualized return of 25% to the redemption date
|
| Initial share prices: | $46.53 for JPMorgan; $187.14 for Goldman Sachs
|
| Trigger prices: | $34.8975 for JPMorgan; $140.355 for Goldman Sachs; 75% of initial prices
|
| Pricing date: | May 16
|
| Settlement date: | May 23
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 3.656%
|
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