Published on 6/20/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $12.42 million trigger callable contingent yield notes on three indexes
By Devika Patel
Knoxville, Tenn., June 20 – HSBC USA Inc. priced $12.42 million of trigger callable contingent yield notes with daily coupon observation due Dec. 23, 2019 linked to the worst performing of the S&P 500 index, the Nasdaq-100 index and the Euro Stoxx 50 index, 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 9.3% if each index’s closing level is at least 70% of its initial level on each trading day for that quarter.
The notes will be callable in whole but not in part on any quarterly observation date other than the final one at par of $10 plus any coupon beginning Sept. 18, 2017.
If the notes are not called and each index finishes at or above its 70% downside threshold level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | S&P 500, Nasdaq-100 and Euro Stoxx 50
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| Amount: | $12,424,000
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| Maturity: | Dec. 23, 2019
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| Coupon: | 9.3% per year, payable quarterly if each index closes at or above its coupon barrier level on each trading day for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par plus the final coupon unless either index finishes below downside threshold level, in which case 1% loss for each 1% decline of worst performing index
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| Call option: | At par plus any coupon on any quarterly observation other than final date beginning Sept. 18, 2017
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| Initial levels: | 2,433.15 for S&P, 5,681.48 for Nasdaq, 3,543.88 for Stoxx
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| Coupon barrier levels: | 1,703.21 for S&P, 3,977.04 for Nasdaq, 2,480.72 for Stoxx; 70% of initial levels
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| Downside threshold level: | 1,703.21 for S&P, 3,977.04 for Nasdaq, 2,480.72 for Stoxx; 70% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 23
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| Agent: | UBS Financial Services Inc. and HSBC Securities (USA) Inc.
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| Fees: | 1.25%
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| Cusip: | 40435D193
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