Published on 3/1/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.16 million 10% contingent income autocalls tied to indexes
By Susanna Moon
Chicago, March 1 – HSBC USA Inc. priced $1.16 million of contingent income autocallable securities due Aug. 13, 2020 linked to the least performing of the Russell 2000 index, the S&P 500 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 10% if each index closes at or above its 80% coupon barrier on the determination date that quarter.
The notes will be called at par if each index closes at or above its initial level on any call review date after six months.
The payout at maturity will be par unless any index finishes below its 60% downside threshold, in which case investors will be fully exposed to any losses of the worst performing index.
HSBC Securities (USA) Inc. is the agent with distribution through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $1,155,000
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| Maturity: | Aug. 13, 2020
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| Coupon: | 10% annualized, payable quarterly if each index closes at or above 80% coupon barrier on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly call date beginning Aug. 9, 2018
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| Initial levels: | 1,477.836 for Russell, 3,325.99 for Stoxx and 2,619.55 for S&P
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| Coupon barriers: | 1,182.2688 for Russell, 2,660.792 for Stoxx and 2,095.64 for S&P; 80% of initial levels
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| Downside thresholds: | 886.702 for Russell, 1,995.594 for Stoxx and 1,571.73 for S&P; 60% of initial levels
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| Pricing date: | Feb. 9
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| Settlement date: | Feb. 14
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| Agent: | HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management as a distributor
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| Fees: | 1.5%
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| Cusip: | 40435FTZ0
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