By Susanna Moon
Chicago, Nov. 15 – HSBC USA Inc. priced $4.56 million of contingent income autocallable securities due Nov. 16, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 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 8.4% if each index closes at or above the 75% coupon barrier level on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level any determination date beginning with the fourth date.
The payout at maturity will be par plus the final coupon unless either index finishes below the 75% downside threshold level, in which case investors will lose 1% for each 1% decline of the worse performing index.
HSBC Securities (USA) Inc. is the agent with Morgan Stanley Wealth Management handling distribution.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income auto-callable securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $4.56 million
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| Maturity: | Nov. 16, 2021
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| Coupon: | 8.4% annualized for each quarter that each index closes at or above 75% coupon barriers on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | Par if each index finishes at or above downside threshold level; otherwise, 1% loss for each 1% decline of worse performing index
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| Call: | At par plus contingent payment if each index closes at or above initial level on any determination date beginning with fourth date
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| Initial levels: | 1,282.394 for Russell and 2,164.45 for S&P
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| Downside thresholds: | 961.7955 for Russell and 1,623.338 for S&P; 75% of initial levels
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| Pricing date: | Nov. 11
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| Settlement date: | Nov. 16
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.5%
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| Cusip: | 40433UZZ2
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