By Susanna Moon
Chicago, Jan. 12 - HSBC USA Inc. priced $10.64 million of 0% notes due Jan. 27, 2010 linked to a basket of three buffered return enhanced components via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the Dow Jones Euro Stoxx 50 index with a 55% weight, the FTSE 100 index with a 25% weight and the Tokyo Stock Price index with a 20% weight.
Payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.
If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be 0%.
If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% decline beyond 10%.
The maximum return will be 20.3% for the Euro Stoxx, 19.4% for the FTSE and 20% for the Tokyo Stock Price index.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Dow Jones Euro Stoxx 50 index (55% weight); FTSE 100 index (25% weight) and Tokyo Stock Price index (20% weight)
|
| Amount: | $10,638,000
|
| Maturity: | Jan. 27, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of basket index returns
|
| Basket index return: | If basket index finishes above initial level, return will be double the gain, capped at 20.3% for Euro Stoxx, 19.4% for FTSE and 20% for Tokyo Stock Price index; if index falls by 10% or less, return will be 0%; if index falls by more than 10%, return will be 0% minus 1.1111% for every 1% decline beyond 10%
|
| Initial index levels: | 2,486.59 for Euro Stoxx, 4,448.54 for FTSE and 855.02 for Tokyo Stock Price index
|
| Pricing date: | Jan. 9
|
| Settlement date: | Jan. 14
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
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