Published on 3/15/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $2.35 million autocallable contingent income barrier notes on index, funds
Chicago, March 16 – HSBC USA Inc. priced $2.35 million of autocallable contingent income barrier notes due March 5, 2021 linked to the S&P 500 index, the Health Care Select Sector SPDR fund and the Consumer Discretionary Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
If each asset closes at or above its coupon barrier, 65% of its initial level, on a quarterly observation date, the notes will pay a contingent coupon that quarter at an annual rate of 7.5%.
The notes will be called at par plus the contingent coupon if each asset closes at or above its initial level on any quarterly observation date on or after June 2, 2020.
The payout at maturity will be par plus the contingent coupon unless any asset finishes below the 65% trigger level, in which case investors will lose 1% for each 1% decline of the worst performing asset from its initial level.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable contingent income barrier notes
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| Underlying indexes: | S&P 500 index, the Health Care Select Sector SPDR fund and the Consumer Discretionary Select Sector SPDR fund
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| Amount: | $2,350,000
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| Maturity: | March 5, 2021
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| Coupon: | 7.5% annualized, payable each quarter that each asset closes at or above its coupon trigger on the observation date for that quarter
|
| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any asset finishes below trigger level, in which case 1% loss for each 1% decline of least performing asset from initial level
|
| Call: | At par if each asset closes at or above initial level on any quarterly observation date on or after June 2, 2020
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| Initial levels: | 3,090.23 for index, $96.95 for Health Care and $119.81 for Consumer
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| Coupon triggers: | 2,008.6495 for index, $63.0175 for Health Care and $77.8765 for Consumer; 65% of initial levels
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| Barrier levels: | 2,008.6495 for index, $63.0175 for Health Care and $77.8765 for Consumer; 65% of initial levels
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| Pricing date: | March 2
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| Settlement date: | March 5
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 1%
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| Cusip: | 40438CBL4
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