By Susanna Moon
Chicago, May 18 - HSBC USA Inc. priced $22.63 million of 0% notes due June 3, 2011 based on a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities Inc. is the agent.
The components are the Euro Stoxx 50 index with a 52% weight, the Tokyo Stock Price index with a 24% weight and the FTSE 100 index with a 24% weight.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
If an index's underlying return is positive or flat, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than zero but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The cap is 26.48% for the Euro Stoxx, 6% for the Tokyo Stock Price and 17.88% for the FTSE. Based on these caps, the maximum payout at maturity is $1,195 per $1,000 principal amount of notes.
| Issuer: | HSBC USA Inc.
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (52% weight), Tokyo Stock Price index (24% weight) and FTSE 100 index (24% weight)
|
| Amount: | $22,629,000
|
| Maturity: | June 3, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the indexes' component returns
|
| Component return: | 200% of any gain, capped at 26.48% for Euro Stoxx, 6% for Tokyo Stock Price and 17.88% for FTSE; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,633.92 for Euro Stoxx; 936.45 for Tokyo Stock Price; 5.262.85 for FTSE
|
| Pricing date: | May 14
|
| Settlement date: | May 19
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K0Z99
|
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