By Jennifer Chiou
New York, July 1 - HSBC USA Inc. priced $15.43 million of 0% buffered return enhanced notes due July 15, 2010 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA are the agents.
The basket consists of the Hang Seng China Enterprises index with a 34% weight, the MSCI Taiwan index with a 22% weight, the Korea Stock Price Index 200 with a 21% weight, the Hang Seng index with a 15% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiple its final return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, up to a maximum return of 23.6%.
Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that the basket declines beyond 10%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index and Hong Kong dollar (34% weight), MSCI Taiwan index and Taiwan dollar (22% weight), Korea Stock Price Index 200 and Korean won (21% weight), Hang Seng index and Hong Kong dollar (15% weight) and MSCI Singapore index and Singapore dollar (8% weight)
|
| Amount: | $15,433,000
|
| Maturity: | July 15, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, capped at 23.6%; par if basket falls by 10% or less; 1.1111% loss for every 1% drop beyond 10%
|
| Initial spot rates: | $0.1290 per Hong Kong dollar; $0.0785 per won; $0.0304 per Taiwan dollar; $0.6876 per Singapore dollar
|
| Initial index levels: | Hang Seng China Enterprises at 11,307.14; MSCI Taiwan at 235.43; Korea Stock Price 200 at 179.28; Hang Seng at 18,600.26; MSCI Singapore at 278.41
|
| Pricing date: | June 26
|
| Settlement date: | July 1
|
| Agents: | J.P. Morgan Securities Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1%
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