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HSBC to price autocallable contingent income barrier notes on indexes
By Devika Patel
Knoxville, Tenn., Sept. 30 – HSBC USA Inc. plans to offer autocallable contingent income barrier notes due April 12, 2021linked to the lesser 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 if each index closes at or above its coupon trigger level, 70% of its initial level, on the observation date for that quarter. The contingent coupon rate is expected to fall between 8.4% and 10% per year and will be set at pricing.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly call observation date beginning on April 7, 2020.
A trigger event will occur if any index closes below its 70% barrier level during the life of the notes.
If a trigger event does not occur and each index finishes at or above the barrier level, the payout at maturity will be par plus the final coupon. If a trigger event does not occur, and any index finishes below the barrier level, the payout will be par plus the return of the worst performing index.
If a trigger event occurs and each index finishes at or above its initial level, the payout will be par plus the final coupon. If a trigger event occurs and any index falls but finishes above its barrier level, the payout will be par plus the coupon plus the return of the worst performing index. If a trigger event occurs and any index finishes below its barrier level, investors will lose 1% for each 1% decline of the worst-performing index from its initial level.
HSBC Securities (USA) Inc. is the agent.
The notes (Cusip: 40435UYS7) will price on Oct. 8 and settle on Oct. 11.
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