Chicago, Aug. 20 – HSBC USA Inc. priced $1.74 million autocallable contingent income barrier notes due Aug. 14, 2020 linked to the least performing of the Nasdaq-100 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at an annual rate of 6.15% if each index closes at or above its trigger level, 70% of its initial level, on the observation date for that month.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any coupon observation date beginning Feb. 11, 2020.
A trigger event will occur if the closing level of any underlying is less than 70% of its initial level on any trading day during the life of the notes.
If a trigger event does not occur and the return of the least performing index is greater than or equal to negative 30%, the payout will be par.
If a trigger event does not occur and the return of the least performing index is less than negative 30%, the payout will be par plus the return of the least performing index with full exposure to the decline.
If a trigger event does occur and the return of the least performing index is greater than or equal to its initial level, the payout will be par.
If a trigger event does occur and the return of the least performing index is less than its initial level by up to negative 30%, investors will have full exposure to the decline of the least performing index.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable contingent income barrier notes
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| Underlying indexes: | Nasdaq-100 and S&P 500
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| Amount: | $1,738,000
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| Maturity: | Aug. 14, 2020
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| Coupon: | 6.15%, payable monthly if each index closes at or above coupon barrier level on determination date for that month
|
| Price: | Par
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| Payout at maturity: | If a trigger event does not occur and the return of the least performing index is greater than or equal to negative 30%, par plus coupon; if a trigger event does not occur and the return of the least performing index is less than negative 30%, par plus the return of the least performing index; if a trigger event does occur and the return of the least performing index is greater than or equal to its initial level, par; otherwise, full exposure to the decline of the least performing index
|
| Call: | At par plus coupon if each stock closes at or above initial price on any monthly call observation date after six months
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| Initial level: | 7,646.268 for Nasdaq, 2,918.65 for S&P
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| Coupon barrier: | 5,352.3876 for Nasdaq, 2,043.055 for S&P; 70% of initial levels
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| Trigger level: | 5,352.3876 for Nasdaq, 2,043.055 for S&P; 70% of initial levels
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| Pricing date: | Aug. 9
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| Settlement date: | Aug. 14
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.25%
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| Cusip: | 40435UUY8
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