By Angela McDaniels
Tacoma, Wash., April 2 - HSBC USA Inc. priced $8.01 million of 0% trigger participation notes due March 3, 2017 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the initial index level, the payout at maturity will be par of $10 plus the index return.
If the final index level is less than or equal to initial index level and greater than or equal to the trigger level, 90% of the initial index level, the payout will be par.
If the final index level is less than the trigger level and a conversion event has occurred, the payout will be par. A conversion event will occur if the index closes at or above the conversion level, 115% of the initial index level, on any day during the life of the notes.
If the final index level is less than the trigger level and a conversion event has not occurred, investors will lose 1% for every 1% that the final index level is less than the initial index level.
HSBC Securities (USA) Inc. is the agent with distribution through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
|
| Issue: | Trigger participation securities
|
| Underlying index: | S&P 500
|
| Amount: | $8,011,090
|
| Maturity: | March 3, 2017
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If index return is positive, par plus index return; if index return is between zero and negative 10%, par; if final index level is less than trigger level and conversion event has occurred, par; if final index level is less than trigger level and conversion event has not occurred, full exposure to index decline
|
| Conversion event: | Index closes at or above conversion level on any day during life of notes
|
| Initial index level: | 1,872.34
|
| Trigger level: | 1,685.11, 90% of initial level
|
| Conversion level: 2,153.19, 115% of initial level
|
| Pricing date: | March 31
|
| Settlement date: | April 3
|
| Agent: | HSBC Securities (USA) Inc.
|
| Distribution: | Morgan Stanley Wealth Management
|
| Fees: | 2.5%
|
| Cusip: | 40434C857
|
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