By Toni Weeks
San Luis Obispo, Calif., April 9 – HSBC USA Inc. priced $2 million of contingent income autocallable securities due April 11, 2016 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 15.35% if the fund closes at or above the downside threshold level, 80% of the initial fund level, on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if the fund closes at or above the initial fund level on any of the first three quarterly determination dates.
If the final price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final price is less than the initial price.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Contingent income autocallable securities
|
| Underlying fund: | SPDR S&P Oil & Gas Exploration & Production ETF
|
| Amount: | $2 million
|
| Maturity: | April 11, 2016
|
| Coupon: | 15.35% per year, payable quarterly if fund closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final price is greater than or equal to downside threshold level, par plus final contingent coupon; otherwise, 1% loss for every 1% that final price is less than initial price
|
| Call: | At par plus contingent coupon if fund closes at or above initial level on July 8, Oct. 8 or Jan 6, 2016
|
| Initial price: | $52.78
|
| Downside threshold: | $42.22, 80% of initial fund level
|
| Pricing date: | April 7
|
| Settlement date: | April 10
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 1.5%
|
| Cusip: | 40434G585
|
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