Published on 4/13/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $173,000 performance allocator notes on U.S., Europe, Asia baskets
By Marisa Wong
Los Angeles, April 13 – HSBC USA Inc. priced $173,000 of 0% performance allocator notes due March 31, 2025 linked to three baskets of regional indexes, according to a 424B2 filed with the Securities and Exchange Commission.
The U.S. basket consists of the S&P 500 index and the Russell 2000 index. The Europe basket consists of the Euro Stoxx 50 index and the FTSE 100 index. The Asia Pacific basket consists of the S&P/ASX 200 index and the Nikkei 225 index.
Each index will have a 50% weight within its respective basket. An allocated return of the baskets will be calculated based on the performance of all three baskets, with the best performing basket to be given a 50% weight, the second best a 30% weight and the worst a 20% weight.
If the allocated return is positive, the payout at maturity will be par plus the gain. If the allocated return is zero or negative but not less than negative 15%, the payout will be par. Otherwise, investors will lose 1% for each 1% that the allocated return is less than negative 15%.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Performance allocator notes
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| Underlying baskets: | U.S. basket, consisting of S&P 500 index and Russell 2000 index, 50% weights each; Europe basket, consisting of Euro Stoxx 50 index and FTSE 100 index, 50% weights each; Asia Pacific basket, consisting of S&P/ASX 200 index and Nikkei 225 index, 50% weights each
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| Amount: | $173,000
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| Maturity: | March 31, 2025
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If allocated return is positive, par plus the gain; if allocated return is zero or negative but not less than negative 15%, par; otherwise, 1% loss for each 1% that the allocated return is less than negative 15%
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| Allocated return: | Composite return of underlying baskets, based on their performance, with 50% weight for best performing basket, 30% for second best basket, 20% for worst basket
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| Initial levels: | 2,630.07 for S&P, 1,180.319 for Russell, 2,847.78 for Euro Stoxx, 5,815.73 for FTSE, 5,113.287 for S&P/ASX and 18,664.6 for Nikkei
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| Pricing date: | March 26
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| Settlement date: | March 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.75%
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| Cusip: | 40438CAJ0
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