Published on 5/21/2008 in the Prospect News Structured Products Daily.
New Issue: HSBC USA prices $1.12 million 10% worst of reverse convertibles linked to three ETFs
By Angela McDaniels
Tacoma, Wash., May 21 - HSBC USA Inc. priced $1.12 million of worst of reverse convertible notes due Aug. 22, 2008 linked to a basket of exchange-traded funds, according to an FWP filing with the Securities and Exchange Commission.
The three-month notes will pay 2.5% for an annualized coupon of 10%. Interest is payable monthly.
The basket includes Standard & Poor's Depositary Receipts, the iShares MSCI Emerging Markets index fund and the Powershares QQQ Trust, Series 1.
The payout at maturity will be par unless any fund falls by more than 16.5% during the life of the notes and the worst-performing fund finishes below its initial price, in which case the payout will be a number of shares of the worst-performing fund equal to par divided by that fund's initial price.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Worst of reverse convertible notes
|
| Underlying ETFs: | Standard & Poor's Depositary Receipts (Symbol: SPY), iShares MSCI Emerging Markets index fund (Symbol: EEM) and Powershares QQQ Trust, Series 1 (Symbol: QQQQ)
|
| Amount: | $1,117,000
|
| Maturity: | Aug. 22, 2008
|
| Coupon: | 10%, payable monthly
|
| Price: | Par
|
| Payout at maturity: | If any fund falls below its barrier level during the life of the notes and the final price of the worst-performing fund is less than its initial price, a number of shares of that fund equal to its exchange ratio; otherwise, par
|
| Initial prices: | $143.05 for S&P Depositary Receipts, $155.10 for iShares MSCI Emerging Markets and $49.65 for Powershares
|
| Barrier levels: | $119.44675 for S&P Depositary Receipts, $129.5085 for iShares MSCI Emerging Markets and $41.45775 for Powershares; 83.5% of initial price
|
| Exchange ratios: | 6.9906 for S&P Depositary Receipts, 6.4475 for iShares MSCI Emerging Markets and 20.141 for Powershares
|
| Pricing date: | May 19
|
| Settlement date: | May 22
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 1.625%
|
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