Published on 6/22/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $6.36 million contingent income callable notes on three indexes
By Wendy Van Sickle
Columbus, Ohio, June 22 – HSBC USA Inc. priced $6.36 million of contingent income callable securities due June 20, 2019 linked to the worst performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon at an annual rate of 9.5% if each index closes at or above its coupon barrier level, 75% of its initial index level, on each day during that quarter.
The notes are callable at par on any quarterly determination date.
If each index finishes at or above its 70% downside threshold level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the least-performing index.
HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income callable securities
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
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| Amount: | $6.36 million
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| Maturity: | June 20, 2019
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| Coupon: | 9.5% per year, payable quarterly if each index closes at or above 75% coupon barrier on each day during that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon, if any; if final level of any index is less than 75% downside threshold level, full exposure to decline of lowest-performing index
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| Call option: | At par on any quarterly determination date
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| Initial levels: | 3,543.88 for Euro Stoxx, 2,433.15 for S&P, 1,406.728 for Russell
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| Coupon barriers: | 2,657.91 for Euro Stoxx, 1,824.8625 for S&P, 1,055.046 for Russell; 75% of initial levels
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| Downside thresholds: | 2,480.716 for Euro Stoxx, 1,703.205 for S&P, 984.7096 for Russell; 70% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 21
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| Agent: | HSBC Securities (USA) Inc.
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2%
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| Cusip: | 40435FAE7
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