Published on 7/13/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $410,000 contingent market-linked autocalls on Russell, S&P, Stoxx
By Kiku Steinfeld
Chicago, July 13 – HSBC USA Inc. priced $410,000 of market-linked securities – autocallable with contingent coupon and contingent downside due July 1, 2024 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 12% if each index closes at or above its 75% coupon threshold on the observation date for that quarter.
The notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly observation date after six months other than the final one.
If the notes are not called, the payout at maturity will be par plus the final coupon unless any index finishes below its 75% downside threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
HSBC Securities (USA) Inc. and Wells Fargo Securities LLC are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Market linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $410,000
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| Maturity: | July 1, 2024
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| Coupon: | 12% annualized, payable quarterly if each index closes at or above 75% coupon threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus coupon unless any index falls by more than 25%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par plus coupon if each index closes at or above its initial level on any interest payment date beginning after six months other than final one
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| Initial levels: | 3,234.07 for Stoxx, 1,441.365 for Russell 2000 and 3,100.29 for S&P 500
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| Downside thresholds: | 2,425.5525 for Stoxx, 1,081.02375 for Russell 2000 and 2,325.2175 for S&P 500; 75% of initial levels
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| Pricing date: | June 30
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| Settlement date: | July 6
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| Agent: | HSBC Securities (USA) Inc. and Wells Fargo Securities LLC
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| Fees: | 2.175%
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| Cusip: | 40438CMQ1
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