By Jennifer Chiou
New York, Nov. 23 - HSBC USA Inc. priced $23.24 million of 0% buffered return enhanced notes due Dec. 7, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Korea Composite Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight.
To determine the return for each component, the issuer will multiply the index return by the return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 15.5%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
HSBC Securities (USA) Inc. and J.P. Morgan Securities LLC are the agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (33% weight), Korea Composite Stock Price Index 200 (25% weight), MSCI Taiwan index (19% weight), Hang Seng index (14% weight) and MSCI Singapore index (9% weight) and their related currencies
|
| Amount: | $23,244,000
|
| Maturity: | Dec. 7, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 15.5%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Pricing date: | Nov. 18
|
| Settlement date: | Nov. 24
|
| Agents: | HSBC Securities (USA) Inc. and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 4042K1AP8
|
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