By Wendy Van Sickle
Columbus, Ohio, Jan. 31 – HSBC USA Inc. priced $3.54 million of autocallable barrier notes with step-down call threshold feature due Jan. 27, 2021 linked to the least performing of the Nikkei 225 index and the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a premium of 10.6% a year if each index finishes above its call level on any annual call date. The call level will be 100% of the initial level on the first observation date and step down by 5% on each subsequent observation date.
The payout at maturity will be par plus 31.8% if each index finishes above the 90% call level, par if the lesser performing index finishes below the final call level but above the 70% trigger level or par minus the decline of the laggard index if either index finishes below the trigger.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with step-down call threshold feature
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| Underlying indexes: | Nikkei 225 index and MSCI Emerging Markets index
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| Amount: | $3.54 million
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| Maturity: | Jan. 27, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 31.7% if each index finishes above 90% final call level; par if laggard index finishes below final call level but above trigger level; otherwise, 1% loss for each 1% decline of least performing index from initial level
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| Call: | At par plus 10.6% a year if each index closes at or above call level on any annual call date; call level is 100% of initial level on first observation date and steps down by 5% a year
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| Initial index levels: | 23,940.78 for Nikkei, 1,258.75 for Emerging Markets
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| Trigger levels: | 16,758.546 for Nikkei, 881.125 for Emerging Markets; 70% of initial levels
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| Pricing date: | Jan. 24
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| Settlement date: | Jan. 29
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 40435FRX7
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