By Susanna Moon
Chicago, Dec. 6 – HSBC USA Inc. priced $8 million of trigger callable contingent yield notes due Dec. 1, 2020 linked to the least performing of the iShares Russell 2000 exchange-traded fund and the iShares MSCI EAFE ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 6.8% if each fund closes at or above its 70% coupon barrier on the review date for that quarter.
The notes will be called at par if each fund closes at or above its initial level on any quarterly determination date after six months.
The payout at maturity will be par plus the contingent coupon 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.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying funds: | iShares MSCI EAFE, iShares Russell 2000 ETF
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| Amount: | $8 million
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| Maturity: | Dec. 1, 2020
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| Coupon: | 6.8% annualized, payable quarterly if each fund closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, full exposure to decline of worse performing fund
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| Call: | At par if each fund closes at or above its initial level on each quarterly observation date beginning May 22, 2018
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| Initial levels: | $150.89 for Russell fund, $69.77 for EAFE fund
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| Downside thresholds: | $105.62 for Russell fund, $48.84 for EAFE fund; 70% of initial levels
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| Pricing date: | Nov. 22
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| Settlement date: | Nov. 30
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| Agents: | UBS Financial Services Inc. and HSBC Securities (USA) Inc.
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| Fees: | 2%
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| Cusip: | 40435J802
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