By Susanna Moon
Chicago, Aug. 3 - HSBC USA Inc. priced $3.07 million of 0% knock-out buffer notes due Feb. 3, 2011 linked to a basket of two funds, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The basket consists of the iShares MSCI Brazil index fund with a 69.5% weight and the iShares MSCI Mexico index fund with a 30.5% weight.
A knock-out event occurs if the basket closes down by more than 30% from its initial level on any day during the life of the notes.
If a knock-out event has occurred, the payout at maturity will be par plus the basket return.
Otherwise, the payout will be par plus the greater of the basket return and the contingent minimum return of 4.1%.
| Issuer: | HSBC USA Inc.
|
| Issue: | Knock-out buffer notes
|
| Underlying funds: | iShares MSCI Brazil index fund (69.5% weight) and iShares MSCI Mexico index fund (30.5% weight)
|
| Amount: | $3.07 million
|
| Maturity: | Feb. 3, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket falls by more than 30% during life of notes, par plus basket return; otherwise, par plus greater of basket return and 4.1%
|
| Initial share prices: | $57.50 for Brazil fund; $40.30 for Mexico fund
|
| Pricing date: | July 30
|
| Settlement date: | Aug. 4
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
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