Published on 3/12/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $664,000 callable contingent income barrier notes on Russell, S&P, biotech ETF
By Wendy Van Sickle
Columbus, Ohio, March 12 – HSBC USA Inc. priced $664,000 of callable contingent income barrier notes due March 11, 2024 linked to the SPDR S&P Biotech ETF, 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 monthly coupon at an annualized rate of 7.72% if each underlying closes at or above the coupon trigger level, 60% of the initial level, on the observation date for that month.
The notes will be callable at par plus any coupon due on any quarterly call observation date after one year.
If the notes are not called and each underlying finishes at or above the 60% barrier level, the payout at maturity will be par plus the final coupon, if any. Otherwise, investors will lose 1% for each 1% decline of the least-performing underlying from its initial level.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Callable contingent income barrier notes
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| Underlying assets: | Russell 2000, S&P 500, SPDR S&P Biotech ETF
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| Amount: | $664,000
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| Maturity: | March 11, 2024
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| Coupon: | 7.72%, payable monthly if each underlying closes at or above coupon trigger level on observation date for that month
|
| Price: | Par
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| Payout at maturity: | If each underlying finishes at or above 60% barrier level, par plus any final coupon; otherwise, 1% loss for each 1% decline of the least-performing underlying from initial level
|
| Call option: | At par plus any coupon on any quarterly call observation date after one year
|
| Initial levels: | $90.10 for ETF, 1,449.221 for Russell and 2,972.27 for S&P
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| Coupon trigger: | $54.06 for ETF, 869.5326 for Russell and 1,783.422 for S&P, 60% of initial prices
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| barrier levels: | $54.06 for ETF, 869.5326 for Russell and 1,783.422 for S&P, 60% of initial prices
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| Pricing date: | March 6
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| Settlement date: | March 10
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| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 3.5%
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| Cusip: | 40438CBK6
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