By Angela McDaniels
Tacoma, Wash., July 30 - HSBC USA Inc. priced $5.75 million of 0% return optimization securities with contingent protection due July 31, 2012 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes Standard & Poor's Depositary Receipts with a 40% weight, the iShares MSCI EAFE index fund with a 40% weight and the iShares MSCI Emerging Markets index fund with a 20% weight.
If the basket return is positive, the payout at maturity will be par of $10 plus 1.5 times the basket return, subject to a maximum return of 48.4%.
If the basket return is between 0% and negative 50%, the payout will be par.
If the basket return is less than negative 50%, the payout will be par plus the basket return.
UBS Financial Services Inc. and HSBC USA Inc. are the underwriters.
| Issuer: | HSBC USA Inc.
|
| Issue: | Return optimization securities with contingent protection
|
| Underlying ETFs: | Standard & Poor's Depositary Receipts (40% weight), iShares MSCI EAFE index fund (40% weight), iShares MSCI Emerging Markets index fund (20% weight)
|
| Amount: | $5,750,790
|
| Maturity: | July 31, 2012
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus 1.5 times any positive basket return, up to maximum return of 48.4%; par if basket declines by 50% or less; par plus basket return if basket declines by more than 50%
|
| Initial share prices: | $98.11 for SPDRs; $49.10 for iShares MSCI EAFE; $35.53 for iShares MSCI Emerging Markets
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Underwriters: | UBS Financial Services Inc. and HSBC USA Inc.
|
| Fees: | 2.5%
|
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