By Susanna Moon
Chicago, Nov. 25 - HSBC USA Inc. priced $11.08 million of 0% return optimization securities with contingent protection due Nov. 30, 2012 based on a basket of two index funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of 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, up to a maximum return of 50.4%.
Investors will receive par if the basket falls by up to 40% and will be exposed to the entire loss if it falls by more than 40%.
UBS Financial Services Inc. and HSBC USA Inc. are the underwriters.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return optimization securities with contingent protection
|
| Underlying funds: | iShares MSCI EAFE index fund (70% weight) and iShares MSCI Emerging Markets index fund (30% weight)
|
| Amount: | $11,082,350
|
| Maturity: | Nov. 30, 2012
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus 150% of any basket gain, capped at 50.4%; par if basket falls by 40% or less; par minus losses if basket falls by more than 40%
|
| Initial prices: | $56.06 for MSCI EAFE, $41.25 for MSCI Emerging Markets
|
| Pricing date: | Nov. 24
|
| Settlement date: | Nov. 30
|
| Underwriters: | UBS Financial Services Inc. and HSBC USA Inc.
|
| Fees: | 2.5%
|
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