By Susanna Moon
Chicago, Jan. 16 – HSBC USA Inc. priced $4.72 million of contingent income autocallable securities due Jan. 10, 2020 linked to the worst performing of the SPDR S&P Regional Banking exchange-traded fund and the SPDR S&P Biotech ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9% if each fund closes at or above its 70% coupon threshold on observation date for that quarter.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any quarterly call review date.
The payout at maturity will be par unless either fund finishes below its 70% downside threshold, in which case investors will be fully exposed to any losses of the worse performing fund.
HSBC Securities (USA) Inc. is the agent with distribution through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying funds: | SPDR S&P Regional Banking ETF and the SPDR S&P Biotech ETF
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| Amount: | $4,715,000
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| Maturity: | Jan. 10, 2020
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| Coupon: | 9% annualized, payable quarterly if each fund closes at or above 70% coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing fund
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| Call: | At par if each index closes at or above initial level on any quarterly call date
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| Initial levels: | $59.82 for bank fund, $87.04 for biotech fund
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| Downside thresholds: | 70% of initial levels
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| Pricing date: | Jan. 5
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| Settlement date: | Jan. 10
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| Agent: | HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2.35%
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| Cusip: | 40435FRB5
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