By Tali Rackner
Norfolk, Va., Oct. 23 – HSBC USA Inc. priced $6.39 million of buffered autocallable yield notes with rebate return due April 26, 2017 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index closes at or above its initial level on any call observation date, the notes will be automatically called at par plus an annualized call premium. The call premium will be 4.5% at April 21, 2016, 9% at Oct. 21, 2016, and 13.5% at Oct. 21, 2017.
If the notes are not called and the final return of the lesser performing index is less than zero but greater than or equal to negative 15%, the payout at maturity will be par plus the rebate return of 9%.
If the final return of the lesser performing index is less than negative 15%, investors will lose 1.1765% for every 1% decline beyond the 15% buffer.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Buffered autocallable yield notes with rebate return
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $6.39 million
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| Maturity: | April 26, 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 return of lesser performing index is less than zero but greater than or equal to negative 15%, par plus rebate return of 9%; otherwise, investors will lose 1.1765% for every 1% decline beyond 15% buffer
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| Call: | Automatically at par plus an annualized call premium if each index closes at or above its initial level on any call observation date
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| Call premium: | 4.5% at April 21, 2016; 9% at Oct. 21, 2016; and 13.5% at Oct. 21, 2017
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| Initial index levels: | 2,018.84 for S&P 500 and 1,144.948 for Russell 2000
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| Pricing date: | Oct. 21
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| Settlement date: | Oct. 26
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 0.05%
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| Cusip: | 40433UBU9
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