By Jennifer Chiou
New York, Dec. 30 – HSBC USA Inc. priced $1 million of autocallable plus notes due Dec. 31, 2015 linked to the least performing of the Russell 2000 index and the iShares Nasdaq Biotechnology exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a coupon at the rate of 15% per year if each asset closes at or above its coupon trigger, 80% of its initial level, on the observation date for that quarter.
If each asset closes at or above its initial level on any quarterly observation date beginning on June 30, 2015, the notes will be automatically called at par plus the contingent coupon.
If the notes are not called and the final return of the least-performing asset is greater than or equal to negative 20%, the payout at maturity will be par plus the final coupon.
If the final return of the least-performing asset is less than negative 20%, investors will be fully exposed to the decline of the least-performing asset.
The estimated initial value of the notes on the pricing date is $976 per note, which is less than the price to public.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable plus notes
|
| Underlying assets: | Russell 2000 index and iShares Nasdaq Biotechnology exchange-traded fund
|
| Amount: | $1 million
|
| Maturity: | Dec. 31, 2015
|
| Coupon: | 15% per year, payable quarterly if each asset closes at or above coupon trigger, 80% of initial level, on observation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final return of least-performing asset is greater than or equal to negative 20%, par plus final coupon; if final return of least-performing asset is less than negative 20%, full exposure to decline of least-performing asset
|
| Call: | Automatically at par plus contingent coupon if each asset closes at or above its initial level on any coupon observation date beginning on June 30, 2015
|
| Initial levels: | 1,215.211 for index; $306.61 for ETF
|
| Trigger levels: | 972.169 for index; $245.29 for ETF, 80% of initial level
|
| Pricing date: | Dec. 26
|
| Settlement date: | Dec. 31
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | None
|
| Cusip: | 40433BWF1
|
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