Published on 11/25/2015 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $2.18 million contingent return autocallable notes tied to oil ETF, S&P 500
New York, Nov. 25 – HSBC USA Inc. priced $2.18 million of 0% autocallable notes with contingent return due Dec. 2, 2019 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration and Production exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at par plus 19.5% per year if each underlier closes at or above its initial level on Nov. 25, 2016, Nov. 27, 2017, Nov. 26, 2018 and Nov. 26, 2019.
If the notes are not called and the final return of the lesser-performing underlier is less than zero but greater than or equal to negative 30%, the payout at maturity will be par plus 10%. If the final return of the lesser-performing underlier is less than negative 30%, investors will be fully exposed to that underlier’s decline.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable notes with contingent return
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| Underlyings: | S&P 500 index, SPDR S&P Oil & Gas Exploration and Production ETF
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| Amount: | $2,183,000
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| Maturity: | Dec. 2, 2019
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus a 10% contingent return payment unless either underlier finishes below its trigger level, in which case investors will be fully exposed to any losses of the worst performing component
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| Call: | At par plus an annualized call premium of 19.5% if each component closes at or above the initial level on any annual call observation date
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| Observation dates: | Nov. 25, 2016, Nov. 27, 2017, Nov. 26, 2018 and Nov. 26, 2019
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| Initial levels: | 2,089.17 for index and $36.35 for ETF
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| Trigger levels: | 1,462.42 for index and $25.45 for ETF; 70% of initial levels
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| Pricing date: | Nov. 20
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| Settlement date: | Nov. 30
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.15%
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| Cusip: | 40433UCD9
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