By Wendy Van Sickle
Columbus, Ohio, March 2 – HSBC USA Inc. priced $19 million of trigger callable contingent yield notes due March 1, 2027 linked to the worst performing of the iShares MSCI EAFE ETF, the iShares Russell 2000 ETF and the SPDR S&P 500 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10.25% if each ETF’s closing level is at least 70% of its initial level on the relevant observation date.
The notes will be callable at par plus any coupon due on any quarterly observation date.
If the notes are not called and each ETF finishes at or above its 70% coupon barrier, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon barrier but at or above its 65% trigger level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the worst performer’s final level is below its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
Issuer: | HSBC USA Inc.
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Issue: | Trigger callable contingent yield notes
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Underlying funds: | iShares MSCI EAFE ETF, iShares Russell 2000 ETF, SPDR S&P 500 ETF Trust
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Amount: | $19 million
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Maturity: | March 1, 2027
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Coupon: | 10.25% per year, payable quarterly if each ETF closes at or above its coupon barrier level on the corresponding observation date
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Price: | Par of $10
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Payout at maturity: | Par plus final coupon if each ETF finishes at or above coupon barrier; if worst performer finishes below coupon barrier but at or above trigger level, par; otherwise, full exposure to the decline of the worst performing ETF from its initial level
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Call option: | At par plus any coupon due on any quarterly observation date
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Initial levels: | $72.82 for EAFE, $198.04 for Russell, $428.30 for S&P
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Coupon barrier levels: | $50.97 for EAFE, $138.63 for Russell, $299.81 for S&P; 70% of initial levels
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Trigger levels: | $47.33 for EAFE, $128.73 for Russell, $278.40 for S&P; 65% of initial levels
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Strike date: | Feb. 24
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Pricing date: | Feb. 25
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Settlement date: | March 2
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Agents: | UBS Financiall Services Inc. and HSBC Securities (USA) Inc.
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Fees: | 1.5%
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Cusip: | 40390L677
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