Published on 1/21/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $2.53 million contingent income autocallables on indexes
By Devika Patel
Knoxville, Tenn., Jan. 21 – HSBC USA Inc. priced HSBC USA Inc. priced $2.53 million of contingent income autocallable securities due Jan. 24, 2023 linked to the worst performing of the Nikkei 225 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 11.05% if each index closes at or above the 75% coupon barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the first 27 quarterly determination dates.
The payout at maturity will be par plus the final coupon unless any index finishes below the 55% downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
HSBC Securities (USA) Inc. is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income auto-callable securities
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| Underlyings: | Nikkei 225 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $2,528,810
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| Maturity: | Jan. 24, 2023
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| Coupon: | 11.05% annualized for each quarter that each index closes at or above barrier level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus contingent coupon if each index finishes at or above downside threshold level; otherwise, full exposure to any losses of worst performing index
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of first 27 determination dates
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| Initial levels: | 17,048.37 for Nikkei; 994.869 for Russell and 2,980.49 for Euro Stoxx
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| Coupon barriers: | 12,786.28 for Nikkei; 746.152 for Russell and 2,235.37 for Euro Stoxx, 75% of initial levels
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| Downside thresholds: | 9,376.60 for Nikkei; 547.178 for Russell and 1,639.27 for Euro Stoxx, 55% of initial levels
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 22
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3%
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| Cusip: | 40434E218
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