By Susanna Moon
Chicago, Dec. 28 - HSBC USA Inc. priced $10.24 million of contingent income autocallable securities due Dec. 28, 2012 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 with the Securities and Exchange Commission.
If fund closes at or above the downside threshold level - 75% of the initial share price - on a quarterly determination date, investors will receive a contingent quarterly payment of $0.358 for each $10.00 note.
If the fund closes above the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.
If the notes are not called and the fund finishes at or above the downside threshold level, the payout at maturity will be par plus the contingent payment.
Otherwise, the payout will be a number of shares equal to the principal amount of notes divided by the initial share price or, at issuer's option, the cash equivalent.
HSBC Securities (USA) Inc. is the agent, and Morgan Stanley Smith Barney LLC is handling distribution.
Issuer: | HSBC USA Inc.
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Issue: | Contingent income autocallable securities
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Underlying fund: | iShares MSCI Emerging Markets index fund
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Amount: | $10,238,660
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Maturity: | Dec. 28, 2012
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Coupon: | 3.58% quarterly payment if closing price is at least 75% of initial price on quarterly determination date; otherwise, none
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Price: | Par
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Payout at maturity: | If final fund price is at least 75% of initial price, par plus contingent quarterly payment; otherwise, number of shares equal to principal amount of notes divided by initial share price or cash equivalent
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Initial price: | $38.35
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Threshold level: | $28.77, 75% of initial share price
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Call option: | Par plus contingent payment if closing share price greater than initial share price on first three quarterly determination dates
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Pricing date: | Dec. 22
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Settlement date: | Dec. 28
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Agent: | HSBC Securities (USA) Inc.
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Fees: | 1.5%
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Cusip: | 40433K884
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