Published on 2/3/2014 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $3.35 million digital return notes tied to 30-year CMS rate
By Marisa Wong
Madison, Wis., Feb. 3 - HSBC USA Inc. priced $3.35 million of 0% digital return notes due Feb. 3, 2017 linked to the 30-year Constant Maturity Swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
BofA Merrill Lynch is the underwriter.
If the final 30-year CMS rate is greater than or equal to the initial rate plus 1.52%, the payout at maturity will be par plus a digital return of 21.75%.
If the final 30-year CMS rate is less than the initial rate, the payout will be $800 per note.
In all other cases, the payout will be par.
Issuer: | HSBC USA Inc.
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Issue: | Digital return notes
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Underlying rate: | 30-year Constant Maturity Swap rate
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Amount: | $3,346,000
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Maturity: | Feb. 3, 2017
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Coupon: | 0%
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Price: | Par of $1,000
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Payout at maturity: | If final rate is greater than or equal to 5.17% (initial rate plus 1.52%), par plus a digital return of 21.75%; if final rate is less than initial rate, $800 per note; in all other cases, par
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Initial rate: | 3.65%
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Pricing date: | Jan. 30
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Settlement date: | Feb. 3
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Underwriter: | BofA Merrill Lynch
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Fees: | 1.75%
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Cusip: | 40432XS69
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