Published on 2/4/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.54 million contingent income autocallables linked to Euro Stoxx, Russell
By Angela McDaniels
Tacoma, Wash., Feb. 4 – HSBC USA Inc. priced $1.54 million of contingent income autocallable securities due Feb. 2, 2023 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 9.65% if each index closes at or above its coupon barrier level, 75% of its initial index level, on the determination date for that quarter.
The notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any of the first 27 quarterly redemption determination dates.
If each index finishes at or above its downside threshold level, 60% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.
HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Smith Barney.
| Issuer: | HSBC USA Inc.
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | Euro Stoxx 50 and Russell 2000
|
| Amount: | $1,542,330
|
| Maturity: | Feb. 2, 2023
|
| Coupon: | 9.65% per year, payable quarterly if each index closes at or above its coupon barrier level on determination date for that quarter
|
| Price: | Par of $10
|
| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of either index is less than downside threshold level, full exposure to decline of lesser-performing index
|
| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any of first 27 quarterly redemption determination dates
|
| Initial index levels: | 1,035.381 for Russell 2000 and 3,045.09 for Euro Stoxx 50
|
| Coupon barrier levels: | 776.536 for Russell 2000 and 2,283.82 for Euro Stoxx 50; 75% of initial levels
|
| Downside thresholds: | 621.229 for Russell 2000 and 1,827.05 for Euro Stoxx 50; 60% of initial index levels
|
| Pricing date: | Jan. 29
|
| Settlement date: | Feb. 3
|
| Agent: | HSBC Securities (USA) Inc.
|
| Distribution: | Morgan Stanley Smith Barney
|
| Fees: | 3.5%
|
| Cusip: | 40434N200
|
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