Published on 8/6/2015 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $5.6 million dual directional worst-of autocallables linked to Russell, EAFE ETF
By Angela McDaniels
Tacoma, Wash., Aug. 6 – HSBC USA Inc. priced $5.6 million of 0% worst-of autocallable notes with dual directional feature due Feb. 6, 2017 linked to the Russell 2000 index and the iShares MSCI EAFE exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus 9.5% per year if each underlying component closes at or above its initial level on Feb. 3, 2016, Aug. 3, 2016 or Feb. 1, 2017.
If the notes are not called and the final return of the lesser-performing underlying component is less than zero but greater than or equal to negative 15%, the payout at maturity will be par plus the absolute value of the return of the lesser-performing underlying component. Otherwise, investors will lose 1.17647% for every 1% that the lesser-performing underlying component declines beyond 15%.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Worst-of autocallable notes with dual directional feature
|
| Underlying components: | Russell 2000 index and the iShares MSCI EAFE ETF
|
| Amount: | $5.6 million
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| Maturity: | Feb. 6, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If notes are not called and final return of lesser-performing underlying component is less than zero but greater than or equal to negative 15%, par plus absolute value of return of lesser-performing underlying component; otherwise, 1.17647% loss for every 1% that lesser-performing underlying component declines beyond 15%.
|
| Call: | Automatically at par plus 9.5% per year if each underlying component closes at or above its initial level on Feb. 3, 2016, Aug. 3, 2016 or Feb. 1, 2017
|
| Initial levels: | 1,231.790 for index and $64.61 for EFT
|
| Pricing date: | Aug. 3
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| Settlement date: | Aug. 6
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| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 0.15%
|
| Cusip: | 40433B5V6
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