By Marisa Wong
Madison, Wis., Aug. 24 - HSBC USA Inc. priced $12.08 million of 0% buffered return enhanced notes due Sept. 12, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiply 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 Korea Stock Price 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar. The final return of each index or currency will be its final level divided by its initial level.
The final level of each index will equal the arithmetic average of the closing levels on the five consecutive trading days ending Sept. 7, 2011. The final exchange rates will equal the average of the rates on those five trading days.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 16%. Investors will receive par if the basket falls by 10% or less and will lose 1.11111% for every 1% that it declines beyond 10%.
J.P. Morgan Securities Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises index (33% weight), Korea Stock Price Index 200 (24% weight), MSCI Taiwan index (21% weight), Hang Seng index (14% weight) and MSCI Singapore index (8% weight)
|
| Underlying currencies: | Hong Kong dollar for Hang Seng and Hang Seng China Enterprises, Korean won for Korea Stock Price 200, Taiwan dollar for MSCI Taiwan and Singapore dollar for the MSCI Singapore
|
| Amount: | $12,075,000
|
| Maturity: | Sept. 12, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 16%; par if basket falls by up to 10%; 1.11111% loss for every 1% basket decline beyond 10%
|
| Component returns: | Final return of underlying index times final return of applicable currency relative to the U.S. dollar
|
| Initial index levels: | 11,779.67 for Hang Seng China Enterprises; 231.17 for Korea Stock Price 200; 279.17 for MSCI Taiwan; 20,981.82 for Hang Seng; and 345.47 for MSCI Singapore
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Sept. 7, 2011
|
| Initial spot rates: | 0.12860 for Hong Kong dollar; 0.0008450 for Korean won; 0.031334 for Taiwan dollar; and 0.7362 for Singapore dollar
|
| Final spot rates: | Average of spot rates on five trading days ending Sept. 7, 2011
|
| Pricing date: | Aug. 20
|
| Settlement date: | Aug. 25
|
| Agent: | J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 4042K04X0
|
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