By Sarah Lizee
Olympia, Wash., Aug. 13 – HSBC USA Inc. priced $1.77 million autocallable contingent income barrier notes due Feb. 9, 2021 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Nasdaq-100 index, according to an FWP filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 8% if each index closes at or above its trigger level, 70% of its initial level, on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any coupon observation date beginning Feb. 5, 2020.
A trigger event will occur if the closing level of any underlying is less than 70% of its initial level on any trading day during the life of the notes.
If a trigger event does not occur and the return of the least performing index is greater than or equal to negative 30%, the payout will be par.
If a trigger event does not occur and the return of the least performing index is less than negative 30%, the payout will be par plus the return of the least performing index with full exposure to the decline.
If a trigger event does occur and the return of the least performing index is greater than or equal to its initial level, the payout will be par.
If a trigger event does occur and the return of the least performing index is less than its initial level by up to negative 30%, investors will have full exposure to the decline of the least performing index.
HSBC Securities (USA) Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Autocallable contingent income barrier notes
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Underlying indexes: | Russell 2000 index, Nasdaq-100 index and Dow Jones industrial average
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Amount: | $1,769,000
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Maturity: | Feb. 9, 2021
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Coupon: | 8%, payable quarterly if each index closes at or above coupon barrier level on determination date for that quarter
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Price: | Par
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Payout at maturity: | If a trigger event does not occur and the return of the least performing index is greater than or equal to negative 30%, par; if a trigger event does not occur and the return of the least performing index is less than negative 30%, par plus the return of the least performing index; if a trigger event does occur and the return of the least performing index is greater than or equal to its initial level, par; otherwise, full exposure to the decline of the least performing index
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Call: | At par plus coupon if each stock closes at or above initial price on any quarterly call observation date after six months
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Initial level: | 26,029.52 for Dow, 1,502.086 for Russell, 7,521.322 for Nasdaq
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Coupon barrier: | 18,220.664 for Dow, 1,051.4602 for Russell, 5,264.9254 for Nasdaq; 70% of initial levels
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Trigger level: | 18,220.664 for Dow, 1,051.4602 for Russell, 5,264.9254 for Nasdaq; 70% of initial levels
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Pricing date: | Aug. 6
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Settlement date: | Aug. 9
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Agent: | HSBC Securities (USA) Inc.
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Fees: | 1.875%
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Cusip: | 40435UUS1
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