By Susanna Moon
Chicago, July 24 - HSBC USA Inc. priced $501,000 of 0% callable return enhanced market participation notes with contingent protection due July 27, 2011 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus double any fund gain.
If the fund declines, investors will receive par as long as it has stayed above the barrier price during the life of the notes. The barrier is 70% of the initial price.
If the barrier price has been crossed, investors will receive par less any loss in the fund price.
The notes may be called at 114% by July 23, 2010.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Callable return enhanced market participation notes
|
| Underlying fund: | iShares MSCI Emerging Market index fund
|
| Amount: | $501,000
|
| Maturity: | July 27, 2011
|
| Coupon: | 0%
|
| Call: | At 114% by July 23, 2010
|
| Price: | Par
|
| Payout at maturity: | Par plus double any fund gain, capped at 19.7%; par if fund stays above barrier price, 70% of the initial price; exposure to losses if fund falls below barrier price during the life of the notes
|
| Initial share price: | $34.59
|
| Barrier price: | $24.21, or 70% of initial price
|
| Pricing date: | July 22
|
| Settlement date: | July 27
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 2.3%
|
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