Title of Each Class of
Securities Offered
|
Maximum Aggregate
Offering Price |
Amount of
Registration Fee (1) |
||
HSBC USA Inc. Trigger Return Optimization Securities Linked to a Global Fund
Basket due May 30, 2014 |
$4,359,300
|
$506.11
|
PRICING SUPPLEMENT
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-158385
Dated May 25, 2011
|
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Investment Description
|
Features
|
q
|
Enhanced Growth Potential: At maturity, the Securities enhance any positive Basket Return up to the Maximum Gain. If the Basket Return is negative, investors may be exposed to the negative Basket Return at maturity.
|
q
|
Contingent Repayment of Principal at Maturity: If the Basket Return is zero or negative and the Basket Ending Level is not less than the Trigger Level, HSBC will repay the principal amount at maturity. However, if the Basket Ending Level is less than the Trigger Level, HSBC will pay less than the full principal amount, if anything, resulting in a loss to investors that is proportionate to the negative Basket Return. The contingent repayment of principal only applies if you hold the Securities to maturity. Any payment on the Securities, including any repayment of principal, is subject to the creditworthiness of HSBC.
|
Key Dates
|
Trade Date
|
May 25, 2011
|
Settlement Date
|
May 31, 2011
|
Final Valuation Date1
|
May 23, 2014
|
Maturity Date1
|
May 30, 2014
|
1 See page 3 for additional details
|
Security Offering
|
Basket (weightings)
|
Basket
Starting Level |
Maximum
Gain |
Trigger
Level
|
CUSIP/
ISIN
|
SPDR Trust Series 1 (“SPY”) (30%), iShares® MSCI EAFE Index Fund (“EFA”) (30%) and iShares® MSCI Emerging Markets Index Fund (“EEM”) (40%)
|
100
|
37.50%
|
75 (75.00% of the
Basket Starting Level) |
40433C825 /
US40433C8257 |
Price to Public
|
Underwriting Discount
|
Proceeds to Issuer
|
|
Per Security
|
$10.00
|
$0.25
|
$9.75
|
Total
|
$4,359,300
|
$108,982.50
|
$4,250,317.50
|
UBS Financial Services Inc.
|
HSBC USA Inc.
|
Additional Information about HSBC USA Inc. and the Securities
|
|
¨
|
Underlying supplement no. 4 dated October 22, 2010:
|
|
¨
|
Prospectus supplement dated April 9, 2009:
|
|
¨
|
Prospectus dated April 2, 2009:
|
Investor Suitability
|
||
The Securities may be suitable for you if:
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate a loss of all or a substantial portion of your investment and are willing to make an investment that may have similar downside market risk as an investment in the index funds included in the Basket.
¨ You believe the Basket will appreciate over the term of the Securities and that the appreciation is unlikely to exceed an amount equal to the Maximum Gain of 37.50%.
¨ You understand and accept that your potential return is limited to the Maximum Gain and you are willing to invest in the Securities based on the Maximum Gain of 37.50%.
¨ You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Basket.
¨ You do not seek current income from your investment and are willing to forego dividends paid on the index funds included in the Basket.
¨ You are willing to hold the Securities to maturity, a term of 3 years, and accept that there may be little or no secondary market for the Securities.
¨ You are willing to assume the credit risk of HSBC, as issuer of the Securities, and understand that if HSBC defaults on its obligation you may not receive any amounts due to you including the repayment of your principal.
|
The Securities may not be suitable for you if:
¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You require an investment designed to provide a full return of principal at maturity.
¨ You cannot tolerate a loss of all or a substantial portion of your investment and are not willing to make an investment that may have similar downside market risk as an investment in the index funds included in the Basket.
¨ You believe that the level of the Basket will decline during the term of the Securities and is likely to close below the Trigger Level on the final valuation date, or you believe the Basket will appreciate over the term of the Securities by more than the Maximum Gain of 37.50%.
¨ You seek an investment that has unlimited return potential without a cap on appreciation.
¨ You are unwilling to invest in the Securities based on the Maximum Gain of 37.50%.
¨ You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside fluctuations in the level of the Basket.
¨ You seek current income from this investment or prefer to receive the dividends paid on the index funds included in the Basket.
¨ You are unable or unwilling to hold the Securities to maturity, a term of 3 years, or you seek an investment for which there will be an active secondary market.
¨ You are not willing or are unable to assume the credit risk associated with HSBC, as issuer of the Securities, for any payment on the Securities, including any repayment of principal.
|
Final Terms
|
Issuer
|
HSBC USA Inc.
|
Principal Amount
|
$10 per Security
|
Term
|
3 years
|
Basket
|
The Securities are linked to a weighted Basket consisting of the SPDR Trust Series 1 (“SPY”), the iShares® MSCI EAFE Index Fund (“EFA”) and the iShares® MSCI Emerging Markets Index Fund (“EEM”), each of which we refer to as an “index fund,” and together, as the “index funds.”
|
Underlying Index
|
Each index fund seeks to replicate the performance of its respective Underlying Index. Your investment is linked to a Basket that consists of the index funds and is not linked to any Underlying Index.
|
Basket Weightings
|
With respect to the SPY, 30.00%; with respect to the EFA, 30.00%; and with respect to the EEM, 40.00%.
|
Payment at Maturity (per $10 Security)
|
You will receive a cash Payment at Maturity linked to the performance of the Basket during the term of the Securities.
If the Basket Return is greater than zero, HSBC will pay you the sum of (a) the Principal Amount plus (b) the product of (i) the Principal Amount multiplied by (ii) the Basket Return multiplied by the Multiplier, up to the Maximum Gain, calculated as follows, the lesser of:
(A) $10 + [$10 × the Basket Return × the Multiplier] and
(B) $10 + [$10 × the Maximum Gain].
If the Basket Return is equal to or less than zero and the Basket Ending Level is equal to or above the Trigger Level, HSBC will pay you the Principal Amount of:
$10.
If the Basket Ending Level is below the Trigger Level, HSBC will pay you the sum of (a) the Principal Amount plus (b) the product of (i) the Principal Amount multiplied by (ii) the Basket Return:
$10 + [$10 × Basket Return].
In this scenario, you will lose 1.00% of your Principal Amount for every 1.00% of negative performance of the Basket resulting in a loss proportionate to the negative Basket Return. You will lose a significant portion or all of your Principal Amount.
|
Trigger Level
|
75, which is 75% of the Basket Starting Level.
|
Multiplier
|
2
|
Maximum Gain
|
37.50%
|
Basket Return
|
Basket Ending Level – Basket Starting Level
|
Basket Starting Level
|
|
Basket Starting Level
|
100
|
Basket Ending Level
|
On the final valuation date, the Basket Ending Level will be calculated as follows:
100 × [1 + (SPY return × 30.00%) + (EFA return × 30.00%) + (EEM return × 40.00%)]
Each of the returns set forth in the formula above refers to the final return for the relevant index fund, which reflects the performance of the relevant index fund, expressed as a percentage, from the Initial Value of that index fund on the Trade Date to the Final Value of that index fund on the final valuation date.
|
Initial Value
|
With respect to the SPY, $132.37, with respect to the EFA, $59.80, and with respect to the EEM, $46.66, each representing the Official Closing Price (as defined below) of the respective index
|
Investment Timeline
|
fund as determined by the Calculation Agent on the Trade Date. | |
Final Value
|
With respect to each index fund, the Official Closing Price (as defined below) of the respective index fund on the final valuation date, adjusted by the Calculation Agent as described under “Antidilution and Reorganization Adjustments” in the accompanying underlying supplement no. 4.
|
Official Closing Price
|
With respect to each index fund, the Official Closing Price on any scheduled trading day will be the closing price of one share of such index fund as determined by the Calculation Agent and based upon the value displayed on Bloomberg Professional® service page “SPY UP <EQUITY>” with respect to SPY, page “EFA UP <EQUITY>” with respect to EFA and page ”EEM UP <EQUITY>” with respect to EEM, or, with respect to each index fund, as displayed on any successor page on Bloomberg Professional® service or any successor service, as applicable.
|
CUSIP / ISIN
|
40433C825 / US40433C8257
|
Calculation Agent
|
HSBC USA Inc., or one of its affiliates.
|
Trustee
|
Notwithstanding anything contained in the accompanying prospectus supplement to the contrary, the Securities will be issued under the senior indenture dated March 31, 2009, between HSBC USA Inc., as Issuer, and Wells Fargo Bank, National Association, as trustee. Such indenture has substantially the same terms as the indenture described in the accompanying prospectus supplement.
|
Paying Agent
|
HSBC Bank USA, N.A. will act as paying agent with respect to the Securities pursuant to a Paying Agent and Securities Registrar Agreement dated June 1, 2009, between HSBC USA Inc. and HSBC Bank USA, N.A.
|
What are the tax consequences of the Securities?
|
Key Risks
|
|
¨
|
Your Investment in the Securities May Result in a Loss of Your Initial Investment — The Securities differ from ordinary debt securities in that HSBC will not necessarily repay the full Principal Amount of the Securities at maturity. The return on the Securities at maturity is linked to the performance of the Basket and will depend on whether, and to the extent which, the Basket Return is positive or negative and if the Basket Return is negative, whether the Basket Ending Level is less than the Trigger Level on the final valuation date. If the Basket Return is negative and the Basket Ending Level is less than the Trigger Level on the final valuation date, you will be fully exposed to any negative Basket Return, and HSBC will pay you less than your Principal Amount at maturity, if anything, resulting in a loss of principal that is proportionate to the decline in the level of the Basket over the term of the Securities. Accordingly, you could lose your entire initial investment.
|
|
¨
|
Contingent Repayment of Your Principal Applies Only at Maturity — You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your initial investment even if the Basket level is above the Trigger Level.
|
|
¨
|
The Multiplier Applies Only at Maturity — You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you receive will likely not reflect the full economic value of the Multiplier or the Securities themselves, and the return you realize may be less than the Basket's return even if such return is positive and does not exceed the Maximum Gain. You can receive the full benefit of the Multiplier and earn the potential Maximum Gain from HSBC only if you hold your Securities to maturity.
|
|
¨
|
Capped Appreciation Potential — If the Basket Return is positive, you will be entitled to a Payment at Maturity from HSBC equal to your Principal Amount plus an amount equal to 2 multiplied by the Basket Return multiplied by the Principal Amount, subject to the Maximum Gain. Your return on the Securities will not exceed the Maximum Gain of 37.50%, regardless of any increase in the level of the Basket, which may be significant. Accordingly, the maximum Payment at Maturity is $13.75 per $10.00 Security. As a result, your return on the Securities may be less than a return on a direct investment in the index funds.
|
|
¨
|
No Interest Payments – HSBC will not make any interest payments in respect to the Securities.
|
|
¨
|
Certain Built-in Costs are Likely to Adversely Affect the Value of the Securities Prior to Maturity – You should be willing to hold your Securities to maturity. The Securities are not designed to be short-term trading instruments. The price at which you will be able to sell your Securities to HSBC, its affiliates or any party in the secondary market prior to maturity, if at all, may be at a substantial discount from the Principal Amount of the Securities, even in cases where the Basket has appreciated since the Trade Date.
|
|
¨
|
The Securities are Subject to the Credit Risk of the Issuer – The Securities are senior unsecured debt obligations of the issuer, HSBC, and are not, either directly or indirectly, an obligation of any third party. As further described in the accompanying prospectus supplement and prospectus, the Securities will rank on par with all of the other unsecured and unsubordinated debt obligations of HSBC, except such obligations as may be preferred by operation of law. Any payment to be made on the Securities, including any repayment of principal at maturity, depends on the ability of HSBC to satisfy its obligations as they come due. As a result, the actual and perceived creditworthiness of HSBC may affect the market value of the Securities and, in the event HSBC were to default on its obligations, you may not receive any amounts owed to you under the terms of the Securities and could lose your entire investment.
|
|
¨
|
No Dividend Payments or Voting Rights – Owning the Securities is not the same as owning the index funds or the stocks comprising each index fund’s Underlying Index. As a holder of the Securities, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of shares of the index funds or stocks held by the index funds would have.
|
|
¨
|
Price Prior to Maturity – The market price of the Securities will be influenced by many factors including the price of the index funds, price volatilities, dividends, the time remaining to maturity of the Securities, interest rates, geopolitical conditions, economic, political, regulatory or judicial events, and the creditworthiness of HSBC.
|
|
¨
|
Potential HSBC Impact on Price – Trading or transactions by HSBC USA Inc. or any of its affiliates in the stocks held by the index funds or in shares of the index funds, or in futures, options, exchange-traded funds or other derivative products on the stocks held by the index funds or shares of the index funds, may adversely affect the market value of the stocks held by the index funds or shares of the index funds, and, therefore, the market value of the Securities.
|
|
¨
|
Lack of Liquidity – The Securities will not be listed on any securities exchange or quotation system. One of HSBC’s affiliates intends to offer to repurchase the Securities in the secondary market but is not required to do so and may cease any such market making activities at any time and without notice. Because other dealers are not likely to make a secondary market for the Securities, the price at which you may be able to trade your Securities is likely to depend on the price, if any, at which one of HSBC’s affiliates is willing to buy the Securities, which will exclude any fees or commissions you paid when you purchased the Securities.
|
|
¨
|
Potential Conflict of Interest – HSBC or its affiliates may engage in business with the issuers of the stocks comprising an Underlying Index, which may present a conflict between the obligations of HSBC and you, as a holder of the Securities. The Calculation Agent, which may be HSBC or any of its affiliates, will determine the Payment at Maturity based on the observed Basket Ending Level. The Calculation Agent can postpone the determination of the Basket Ending Level or the maturity date if a market disruption event occurs and is continuing on the final valuation date.
|
|
¨
|
Potentially Inconsistent Research, Opinions or Recommendations by HSBC, UBS or Their Respective Affiliates – HSBC, UBS Financial Services Inc., or their respective affiliates may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the Securities and which may be revised at any time. Any such research, opinions or recommendations could affect the price of the index funds, the level of the Underlying Indices or the price of the stocks included in the Underlying Indices, and therefore, the market value of the Securities.
|
|
¨
|
An Index Fund and its Underlying Index are Different – The performance of an index fund may not exactly replicate the performance of the respective Underlying Index, because such index fund will reflect transaction costs and fees that are not included in the calculation of the respective Underlying Index. It is also possible that an index fund may not fully replicate or may in certain circumstances diverge significantly from the performance of the respective Underlying Index due to the temporary unavailability of certain securities in the secondary market, the performance of any derivative instruments contained in such fund or due to other
|
|
|
circumstances. An index fund may use futures contracts, options, swap agreements, currency forwards and repurchase agreements in seeking performance that corresponds to the respective Underlying Index and in managing cash flows. Your investment is linked to the Basket which consists of the index funds. Any information relating to the relevant Underlying Index is only relevant to understanding the index that the relevant index fund seeks to replicate.
|
|
¨
|
Management Risk – The index funds are not managed according to traditional methods of ‘‘active’’ investment management, which involve the buying and selling of securities based on economic, financial and market analysis and investment judgment. Instead, the index funds, utilizing a ‘‘passive’’ or indexing investment approach, attempt to approximate the investment performance of their respective Underlying Index by investing in a portfolio of securities that generally replicate the respective Underlying Index. Therefore, unless a specific security is removed from the respective Underlying Index, an index fund generally would not sell a security because the security’s issuer was in financial trouble. In addition, an index fund is subject to the risk that the investment strategy of the fund’s investment advisor may not produce the intended results. Your investment is linked to the Basket which consists of the index funds. Any information relating to the relevant Underlying Index is only relevant to understanding the index that the relevant index fund seeks to replicate.
|
|
¨
|
There is Limited Anti-dilution Protection – The Calculation Agent will adjust the Final Value of an index fund, which will affect the Basket Return and, consequently, the Payment at Maturity, for certain events affecting the shares of such index fund, such as stock splits and corporate actions. The Calculation Agent is not required to make an adjustment for every corporate action which affects the shares of the index funds. If an event occurs that does not require the Calculation Agent to adjust the prices of the shares of the index funds, the market price of the Securities may be materially and adversely affected. See “Antidilution and Reorganization Adjustments” in the accompanying underlying supplement no. 4 for additional information.
|
|
¨
|
Changes in the Value of One or More Index Funds May Offset Each Other – Price movements in the index funds may not correlate with each other. Even if the value of one of the index funds increases, the value of the other index funds may not increase as much or may even decrease. Therefore, in calculating the Basket Ending Level, increases in the value of one of the index funds may be moderated, or wholly offset, by lesser increases or declines in the value of the other index funds.
|
|
¨
|
HSBC Cannot Control Actions by the Companies Whose Stocks or Other Equity Securities are Held By the Index Funds – Our affiliate, HSBC Holdings plc, is one of the companies whose stock is held by the EFA and is one of the companies that make up its Underlying Index. HSBC is not affiliated with any of the other companies whose stock is held by the index funds. HSBC will have no ability to control the actions of HSBC Holdings plc or any of such other companies, including its affiliate, including actions that could affect the value of the stocks held by the index funds, or your Securities. None of the money you pay HSBC will go to any of the companies whose stock is held by the index funds, and none of those companies will be involved in the offering of the Securities in any way. Those companies will have no obligation to consider your interests as a holder of the Securities in taking any corporate actions that might affect the value of your Securities.
|
|
¨
|
The Securities are Subject to Risks Associated with Foreign Securities Markets – Because foreign companies or foreign equity securities held by EFA and EEM may be publicly traded in the applicable foreign countries and are denominated in currencies other than U.S. dollars, investments in the Securities involve particular risks. For example, the foreign securities markets may be more volatile than the U.S. securities markets, and market developments may affect these markets differently from the United States or other securities markets. Direct or indirect government intervention to stabilize the securities markets outside the United States, as well as cross-shareholdings in certain companies, may affect trading prices and trading volumes in those markets. Also, the public availability of information concerning the foreign issuers may vary depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the foreign issuers may be subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to United States reporting companies.
|
|
¨
|
The Securities are Subject to Emerging Markets Risk — Investments in securities linked directly or indirectly to emerging market equity securities, such as the EEM, involve many risks, including, but not limited to: economic, social, political, financial and military conditions in the emerging market; regulation by national, provincial, and local governments; less liquidity and smaller market capitalizations than exist in the case of many large U.S. companies; different accounting and disclosure standards; and political uncertainties. Stock prices of emerging market companies may be more volatile and may be affected by market developments differently than U.S. companies. Government interventions to stabilize securities markets and cross-shareholdings may affect prices and volume of trading of the securities of emerging market companies. Economic, social, political, financial and military factors could, in turn, negatively affect such companies’ value. These factors could include changes in the emerging market government’s economic and fiscal policies, possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to the emerging market companies or investments in their securities, and the possibility of fluctuations in the rate of exchange between currencies. Moreover, emerging market economies may differ favorably or unfavorably from the U.S. economy in a variety of ways, including growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. You should carefully consider the risks related to emerging markets, to which the Securities are highly susceptible, before making a decision to invest in the Securities.
|
|
¨
|
Exchange Rate Risk – Because EFA and EEM will hold stocks denominated in foreign currencies, changes in currency exchange rates may negatively impact such index funds’ returns. The values of the foreign currencies may be subject to a high degree of fluctuation due to changes in interest rates, the effects of monetary policies issued by the United States, foreign governments, central banks or supranational entities, the imposition of currency controls or other national or international political or economic developments. Therefore, exposure to exchange rate risk may result in reduced returns to EFA and EEM.
|
|
¨
|
The Securities are Not Insured by any Governmental Agency of The United States or any Other Jurisdiction – The Securities are not deposit liabilities or other obligations of a bank and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or program of the United States or any other jurisdiction. An investment in the Securities is subject to the credit risk of HSBC, and in the event that HSBC is unable to pay its obligations as they become due, you may not receive the full Payment at Maturity of the Securities.
|
|
¨
|
Uncertain Tax Treatment – There is no direct legal authority as to the proper tax treatment of the Securities, and therefore
|
|
|
significant aspects of the tax treatment of the Securities are uncertain as to both the timing and character of any inclusion in income in respect of the Securities. Under one reasonable approach, the Securities should be treated as pre-paid forward or other executory contracts with respect to the Basket. HSBC intends to treat the Securities consistent with this approach and pursuant to the terms of the Securities, you agree to treat the Securities under this approach for all U.S. federal income tax purposes. See “Certain U.S. Federal Income Tax Considerations — Certain Equity-Linked Notes — Certain Notes Treated as Forward Contracts or Executory Contracts” in the prospectus supplement for certain U.S. federal income tax considerations applicable to securities that are treated as pre-paid cash-settled forward or other executory contracts.
|
Scenario Analysis and Examples at Maturity
|
Investment term:
|
3 years
|
Basket Starting Level:
|
100.00
|
Trigger Level:
|
75.00 (75.00% of the Basket Starting Level)
|
Multiplier:
|
2
|
Maximum Gain:
|
37.50%
|
Hypothetical Basket
Ending Level |
Hypothetical Basket
Return |
Multiplier
|
Hypothetical Return
on Securities |
Hypothetical Payment
at Maturity |
200.00
|
100.00%
|
2
|
37.50%
|
$13.75
|
190.00
|
90.00%
|
2
|
37.50%
|
$13.75
|
180.00
|
80.00%
|
2
|
37.50%
|
$13.75
|
170.00
|
70.00%
|
2
|
37.50%
|
$13.75
|
160.00
|
60.00%
|
2
|
37.50%
|
$13.75
|
150.00
|
50.00%
|
2
|
37.50%
|
$13.75
|
140.00
|
40.00%
|
2
|
37.50%
|
$13.75
|
130.00
|
30.00%
|
2
|
37.50%
|
$13.75
|
120.00
|
20.00%
|
2
|
37.50%
|
$13.75
|
118.75
|
18.75%
|
2
|
37.50%
|
$13.75
|
110.00
|
10.00%
|
2
|
20.00%
|
$12.00
|
105.00
|
5.00%
|
2
|
10.00%
|
$11.00
|
100.00
|
0.00%
|
N/A
|
0.00%
|
$10.00
|
95.00
|
-5.00%
|
N/A
|
0.00%
|
$10.00
|
90.00
|
-10.00%
|
N/A
|
0.00%
|
$10.00
|
80.00
|
-20.00%
|
N/A
|
0.00%
|
$10.00
|
75.00
|
-25.00%
|
N/A
|
0.00%
|
$10.00
|
70.00
|
-30.00%
|
N/A
|
-30.00%
|
$7.00
|
60.00
|
-40.00%
|
N/A
|
-40.00%
|
$6.00
|
50.00
|
-50.00%
|
N/A
|
-50.00%
|
$5.00
|
40.00
|
-60.00%
|
N/A
|
-60.00%
|
$4.00
|
30.00
|
-70.00%
|
N/A
|
-70.00%
|
$3.00
|
20.00
|
-80.00%
|
N/A
|
-80.00%
|
$2.00
|
10.00
|
-90.00%
|
N/A
|
-90.00%
|
$1.00
|
0.00
|
-100.00%
|
N/A
|
-100.00%
|
$0.00
|
The SPDR Trust Series 1 Index Fund
|
||
Description of the SPY
The SPY’s objective is to provide investment results that, before expenses, generally correspond to the price and yield performance of the S&P 500® Index. The SPY holds stocks and cash and is not actively managed by traditional methods, which typically involve effecting changes in the holdings of stocks and cash on the basis of judgments made relating to economic, financial and market considerations.
For more information about the SPY, see “The SPDR Trust Series 1” on page US4-27 of the accompanying underlying supplement no. 4.
|
Historical Performance of the SPY
The following graph sets forth the historical performance of the SPY based on the daily historical closing prices from April 30, 2001 to May 25, 2011 as reported on Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service. The historical prices of the SPY should not be taken as an indication of future performance.
![]() Source: Bloomberg Professional® service
The closing price of SPY on May 25, 2011 was $132.37.
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$131.47
|
$124.40
|
$129.84
|
4/3/2006
|
6/30/2006
|
$132.77
|
$122.34
|
$127.25
|
7/3/2006
|
9/29/2006
|
$133.98
|
$122.49
|
$133.57
|
10/2/2006
|
12/29/2006
|
$143.24
|
$132.66
|
$141.66
|
1/3/2007
|
3/30/2007
|
$146.39
|
$136.75
|
$142.07
|
4/2/2007
|
6/29/2007
|
$154.40
|
$140.89
|
$150.38
|
7/2/2007
|
9/28/2007
|
$156.00
|
$137.00
|
$152.67
|
10/1/2007
|
12/31/2007
|
$157.52
|
$140.66
|
$146.39
|
1/2/2008
|
3/31/2008
|
$146.99
|
$126.00
|
$131.89
|
4/1/2008
|
6/30/2008
|
$144.30
|
$127.04
|
$128.04
|
7/1/2008
|
9/30/2008
|
$131.50
|
$110.97
|
$116.54
|
10/1/2008
|
12/31/2008
|
$116.69
|
$74.35
|
$90.33
|
1/2/2009
|
3/31/2009
|
$94.45
|
$67.10
|
$79.44
|
4/1/2009
|
6/30/2009
|
$96.11
|
$78.33
|
$91.92
|
7/1/2009
|
9/30/2009
|
$108.06
|
$87.01
|
$105.56
|
10/1/2009
|
12/31/2009
|
$113.03
|
$101.99
|
$111.44
|
1/4/2010
|
3/31/2010
|
$118.10
|
$104.58
|
$116.99
|
4/1/2010
|
6/30/2010
|
$122.12
|
$102.88
|
$103.22
|
7/1/2010
|
9/30/2010
|
$115.79
|
$101.13
|
$114.12
|
10/1/2010
|
12/31/2010
|
$126.20
|
$106.46
|
$125.78
|
1/3/2011
|
3/31/2011
|
$134.69
|
$125.28
|
$132.51
|
4/1/2011*
|
5/25/2011*
|
$137.17
|
$129.51
|
$132.37
|
The iShares® MSCI EAFE Index Fund
|
||
Description of the EFA
The EFA seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian, and Far Eastern markets, as measured by the MSCI EAFE® Index, which is the Underlying Index of the EFA. As of May 25, 2011, the MSCI EAFEÒ Index consisted of the following 22 component country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. MSCI is no longer affiliated with Morgan Stanley.
For more information about the EFA, see “The iSharesÒ MSCI EAFE Index Fund” on page US4-25 of the accompanying underlying supplement no. 4.
|
Historical Performance of the EFA
The following graph sets forth the historical performance of the EFA based on the daily historical closing prices from August 16, 2002 to May 25, 2011 as reported on Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service. The historical prices of the EFA should not be taken as an indication of future performance. The historical prices set forth in the graph and table below have been adjusted for a 3-for-1 stock split that went effective on June 9, 2005.
![]() Source: Bloomberg Professional® service
The closing price of EFA on May 25, 2011 was $59.80.
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$65.52
|
$60.25
|
$64.99
|
4/3/2006
|
6/30/2006
|
$70.65
|
$59.40
|
$65.35
|
7/3/2006
|
9/29/2006
|
$68.52
|
$60.94
|
$67.78
|
10/2/2006
|
12/29/2006
|
$74.66
|
$67.61
|
$73.26
|
1/3/2007
|
3/30/2007
|
$77.18
|
$70.95
|
$76.27
|
4/2/2007
|
6/29/2007
|
$81.79
|
$76.05
|
$80.63
|
7/2/2007
|
9/28/2007
|
$85.50
|
$67.99
|
$82.56
|
10/1/2007
|
12/31/2007
|
$86.49
|
$78.00
|
$78.50
|
1/2/2008
|
3/31/2008
|
$79.22
|
$65.63
|
$71.90
|
4/1/2008
|
6/30/2008
|
$78.76
|
$68.06
|
$68.70
|
7/1/2008
|
9/30/2008
|
$68.39
|
$52.36
|
$56.30
|
10/1/2008
|
12/31/2008
|
$56.42
|
$35.53
|
$44.87
|
1/2/2009
|
3/31/2009
|
$45.61
|
$31.56
|
$37.59
|
4/1/2009
|
6/30/2009
|
$49.18
|
$37.28
|
$45.81
|
7/1/2009
|
9/30/2009
|
$56.31
|
$43.49
|
$54.70
|
10/1/2009
|
12/31/2009
|
$57.66
|
$52.42
|
$55.30
|
1/4/2010
|
3/31/2010
|
$58.00
|
$49.94
|
$56.00
|
4/1/2010
|
6/30/2010
|
$58.08
|
$45.86
|
$46.51
|
7/1/2010
|
9/30/2010
|
$55.81
|
$46.45
|
$54.92
|
10/1/2010
|
12/31/2010
|
$59.50
|
$53.85
|
$58.23
|
1/3/2011
|
3/31/2011
|
$61.98
|
$54.69
|
$60.09
|
4/1/2011*
|
5/25/2011*
|
$64.35
|
$58.83
|
$59.80
|
The iShares® MSCI Emerging Markets Index Fund
|
||
Description of the EEM
The EEM seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index. The Emerging Markets Index is intended to measure the performance of equity markets in the global emerging markets. As of May 25, 2011, the MSCI Emerging Markets Index consisted of the following 21 component country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey. MSCI is no longer affiliated with Morgan Stanley.
For more information about the EEM, see “The iSharesÒ MSCI Emerging Markets Index Fund” on page US4-22 of the accompanying underlying supplement no. 4.
|
Historical Performance of the EEM
The following graph sets forth the historical performance of the EEM based on the daily historical closing prices from August 27, 2003 to May 25, 2011 as reported on Bloomberg Professional® service. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Professional® service. The historical prices of the EEM should not be taken as an indication of future performance. The historical prices set forth in the graph and table below have been adjusted for 3-for-1 stock splits that went effective on June 9, 2005 and July 24, 2008.
![]() Source: Bloomberg Professional® service
The closing price of EEM on May 25, 2011 was $46.66.
|
Quarter Begin
|
Quarter End
|
Quarterly High
|
Quarterly Low
|
Quarterly Close
|
1/3/2006
|
3/31/2006
|
$33.78
|
$29.99
|
$33.01
|
4/3/2006
|
6/30/2006
|
$37.07
|
$27.11
|
$31.22
|
7/3/2006
|
9/29/2006
|
$33.32
|
$29.02
|
$32.28
|
10/2/2006
|
12/29/2006
|
$38.25
|
$31.62
|
$38.09
|
1/3/2007
|
3/30/2007
|
$39.84
|
$34.51
|
$38.74
|
4/2/2007
|
6/29/2007
|
$44.60
|
$38.73
|
$43.81
|
7/2/2007
|
9/28/2007
|
$50.48
|
$37.14
|
$49.77
|
10/1/2007
|
12/31/2007
|
$55.81
|
$47.21
|
$50.09
|
1/2/2008
|
3/31/2008
|
$50.74
|
$40.67
|
$44.78
|
4/1/2008
|
6/30/2008
|
$52.47
|
$44.42
|
$45.18
|
7/1/2008
|
9/30/2008
|
$44.75
|
$30.87
|
$34.52
|
10/1/2008
|
12/31/2008
|
$34.28
|
$18.21
|
$24.96
|
1/2/2009
|
3/31/2009
|
$27.27
|
$19.86
|
$24.80
|
4/1/2009
|
6/30/2009
|
$34.87
|
$24.71
|
$32.22
|
7/1/2009
|
9/30/2009
|
$39.50
|
$30.24
|
$38.90
|
10/1/2009
|
12/31/2009
|
$42.51
|
$37.29
|
$41.50
|
1/4/2010
|
3/31/2010
|
$43.47
|
$36.19
|
$42.12
|
4/1/2010
|
6/30/2010
|
$44.02
|
$35.21
|
$37.32
|
7/1/2010
|
9/30/2010
|
$44.99
|
$36.76
|
$44.77
|
10/1/2010
|
12/31/2010
|
$48.62
|
$44.51
|
$47.62
|
1/3/2011
|
3/31/2011
|
$48.75
|
$44.25
|
$48.69
|
4/1/2011*
|
5/25/2011*
|
$50.43
|
$45.78
|
$46.66
|
Events of Default and Acceleration
|
Supplemental Plan of Distribution (Conflicts of Interest)
|
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