Published on 11/25/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $654,000 autocallable contingent income barrier notes on indexes
By Wendy Van Sickle
Columbus, Ohio, Nov. 25 – HSBC USA Inc. priced $654,000 of autocallable contingent income barrier notes due Aug. 25, 2025 linked to the Russell 2000 index, the Nasdaq-100 index and the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 7.9% if each index closes at or above its coupon trigger level, 70% of its initial level, 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 price on any quarterly observation date beginning after one year.
If the notes are not called and each index finishes at or above its 70% coupon trigger level, the payout at maturity will be par plus the final coupon.
Investors will receive par if the least-performing index declines more than 30% but less than 40%.
Otherwise, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
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 Euro Stoxx Banks index
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| Amount: | $654,000
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| Maturity: | Aug. 25, 2025
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| Coupon: | 7.9%, payable quarterly if each index closes at or above coupon trigger level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above coupon trigger level, par plus the final coupon; if worst performer finishes below 70% of initial level but above 60% of initial level, par; otherwise, 1% loss for each 1% decline of the least-performing index from initial level
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| Call: | At par plus coupon if each index closes at or above initial price on any quarterly observation date beginning after one year
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| Initial levels: | 70.86 for Stoxx, 11,985.43 for Nasdaq and 1,784.134 for Russell
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| Coupon triggers: | 49.602 for Stoxx, 8,389.801 for Nasdaq and 1,248.8938 for Russell, 70% of initial prices
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| Barrier levels: | 42.512 for Stoxx, 7,191.258 for Nasdaq and 1,070.4804 for Russell, 60% of initial prices
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| Pricing date: | Nov. 19
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| Settlement date: | Nov. 24
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.25%
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| Cusip: | 40438CA84
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