By Kiku Steinfeld
Chicago, July 23 – HSBC USA Inc. priced $6.74 million of autocallable contingent income securities due May 31, 2024 linked to the worst performing of the stocks of Delta Air Lines, Inc. and Southwest Airlines Co., 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 10.25% if each stock closes at or above its coupon barrier, 70% of its initial level, on the determination date for that period.
The notes will be called at par plus the contingent coupon if each stock closes above its initial level on any of the first 11 determination dates.
The payout at maturity will be par unless any stock finishes below its 65% downside threshold, in which case investors will be fully exposed to any losses of the worst performing stock.
HSBC Securities (USA) Inc. is the agent. Morgan Stanley Wealth Management is the distributor.
| Issuer: | HSBC USA Inc.
|
| Issue: | Contingent autocallable income securities
|
| Underlying stocks: | Delta Air Lines, Inc. and Southwest Airlines Co.
|
| Amount: | $6,737,000
|
| Maturity: | May 31, 2024
|
| Coupon: | 10.25% per year, payable each quarter if each stock closes at or above coupon barrier on determination date for that period
|
| Price: | Par of $10
|
| Payout at maturity: | If final share price of least performing stock is greater than or equal to downside threshold level, par; otherwise, full exposure to decline of worst performer
|
| Call: | Par plus the contingent coupon if each stock closes above its initial level on any of the first 11 determination dates
|
| Initial levels: | $47.68 for Delta, $61.46 for Southwest
|
| Coupon barrier levels: | $33.376 for Delta, $43.022 for Southwest; 70% of initial levels
|
| Downside thresholds: | $33.376 for Delta, $43.022 for Southwest; 70% of initial levels
|
| Pricing date: | May 28
|
| Settlement date: | June 3
|
| Agent: | HSBC Securities (USA) Inc.
|
| Distributor: | Morgan Stanley Wealth Management
|
| Fees: | 2.5%
|
| Cusip: | 40438U135
|
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