By Marisa Wong
Madison, Wis., March 21 - HSBC USA Inc. priced $19.64 million of 0% buffered return enhanced notes due April 4, 2012 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 Kospi 200 index 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.
The related currencies are 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.
The basket return will equal the sum of the weighted component returns for the basket indexes.
The component return for each basket index will be the product of (a) its final level divided by its initial level multiplied by (b) the final spot rate of its related currency relative to the U.S. dollar divided by its initial spot rate, in each case averaged over the five trading days ending March 30, 2012.
If the basket return is positive, the payout at maturity will be par plus 150% of the basket return, subject to a maximum return of 14.25%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.11111% for every 1% that it is less than negative 10%.
J.P. Morgan Securities LLC is the agent with HSBC Securities (USA) Inc. as co-agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises (33% weight), Kospi 200 (25% weight), MSCI Taiwan (19% weight), Hang Seng (14% weight) and MSCI Singapore (9% weight) and their related currencies
|
| Amount: | $19,642,000
|
| Maturity: | April 4, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 150% of any basket gain, up to maximum return of 14.25%; par if basket falls by 10% or less; 1.11111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 12,427.92 for Hang Seng Enterprises; 262.39 for Kospi 200; 262.39 for MSCI Taiwan; 22,300.23 for Hang Seng; 346.09 for MSCI Singapore
|
| Initial exchange rates: | 0.128203 for Hong Kong dollar; 0.000888 for Korean won; 0.033790 for Taiwan dollar; 0.784529 for Singapore dollar
|
| Pricing date: | March 18
|
| Settlement date: | March 23
|
| Agents: | J.P. Morgan Securities LLC (agent) and HSBC Securities (USA) Inc. (co-agent)
|
| Fees: | 1%
|
| Cusip: | 4042K1FH1
|
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