Published on 4/17/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $5.37 million of contingent income autocallables on indexes
By Devika Patel
Knoxville, Tenn., April 17 – HSBC USA Inc. priced $5.37 million of contingent income autocallable securities due April 18, 2019 linked to the worst performing of the S&P 500 index, the Russell 2000 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 5.25% if each index closes at or above the 70% coupon barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any of the quarterly determination dates from July 13, 2017 through Jan. 14, 2019.
The payout at maturity will be par plus the final coupon, if any, unless any index finishes below the 60% downside threshold level, in which case investors will lose 1% for each 1% decline of the worst performing index from its initial level.
HSBC Securities (USA) Inc. is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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| Amount: | $5.37 million
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| Maturity: | April 18, 2019
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| Coupon: | 5.25% annualized for each quarter that each index closes at or above downside threshold level on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon, if any, if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worst performing index from initial level.
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| Call: | At par plus contingent payment if each index closes at or above initial level on any of the quarterly determination dates from July 13, 2017 through Jan. 14, 2019
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| Initial levels: | 2,328.95 for S&P; 1,345.244 for Russell and 3,448.26 for Euro Stoxx
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| Coupon barrier levels: | 1,630.265 for S&P; 941.6708 for Russell and 2,413.782 for Euro Stoxx, 70% of initial levels
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| Downside thresholds: | 1,397.37 for S&P; 807.1464 for Russell and 2,068.956 for Euro Stoxx, 60% of initial levels
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| Pricing date: | April 13
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| Settlement date: | April 20
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.75%
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| Cusip: | 40433U3J3
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