Published on 8/4/2015 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.6 million contingent income autocallables linked to indexes
By Angela McDaniels
Tacoma, Wash., Aug. 4 – HSBC USA Inc. priced $1.6 million of contingent income autocallable securities due Aug. 4, 2022 linked to the worst performing of the Euro Stoxx 50 index, the Nikkei 225 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% 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 determination dates.
If each index finishes at or above its downside threshold level, 55% of its initial index level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the lowest-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 autocallable securities
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| Underlying indexes: | Euro Stoxx 50, Nikkei 225 and Russell 2000
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| Amount: | $1,600,100
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| Maturity: | Aug. 4, 2022
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| Coupon: | 9% per year, payable quarterly if each index closes at or above its coupon barrier level on determination date for that quarter
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| Price: | Par of $10.00
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of lowest-performing index
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| Call: | Automatically at par plus contingent coupon if each index closes at or above initial level on any quarterly determination date other than final one
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| Initial index levels: | 3,600.69 for Euro Stoxx 50, 20,585.24 for Nikkei 225 and 1,238.680 for Russell 2000
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| Coupon barriers: | 2,700.52 for Euro Stoxx 50, 15,438.93 for Nikkei 225 and 929.01 for Russell 2000; 75% of initial index levels
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| Downside threshold: | 1,980.38 for Euro Stoxx 50, 11,321.88 for Nikkei 225 and 681.27 for Russell 2000; 55% of initial index levels
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| Pricing date: | July 31
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| Settlement date: | Aug. 5
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| Agent: | HSBC Securities (USA) Inc.
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 3.5%
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| Cusip: | 40434E713
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