Published on 3/5/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $14.98 million leveraged market-linked step-up notes on index basket
By Marisa Wong
Los Angeles, March 5 – HSBC USA Inc. priced $14.98 million of 0% leveraged market-linked step-up notes due Feb. 25, 2022 tied to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index and the Nikkei Stock Average index each with an initial weight of 20%, the Swiss Market index and the S&P/ASX 200 index each with an initial weight of 7.5% and the Hang Seng index with an initial weight of 5%.
If the basket finishes at or above 120% of the starting value, investors will receive par plus 146.05% of the basket gain.
If the basket return is positive but less than 20%, investors will receive par plus the step-payment of 20%.
If the basket falls, investors will be fully exposed to any losses.
BofA Securities, Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
|
| Issue: | Leveraged market-linked step-up notes
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| Underlying indexes: | Euro Stoxx 50 (40% weight), FTSE 100 and Nikkei Stock (20% weight each), Swiss Market and S&P/ASX 200 (7.5% weight each) and Hang Seng (5% weight)
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| Amount: | $14,976,490
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| Maturity: | Feb. 25, 2022
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above step-up value, par plus 146.05% of basket return; if basket finishes flat or gains but finishes at or below step-up value, par plus 20%; investors will be fully exposed to any losses
|
| Initial index levels: | 3,455.92 for Stoxx, 6,796.40 for FTSE, 21,948.23 for Nikkei, 10,205.46 for Swiss, 6,657.852 for S&P/ASX, 26,778.62 for Hang Seng
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| Step-up value: | 120% of initial value
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| Pricing date: | Feb. 27
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| Settlement date: | March 5
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| Underwriter: | BofA Securities, Inc.
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| Fees: | 2%
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| Cusip: | 40438G607
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