Published on 3/9/2020 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.73 million performance allocator notes linked to index baskets
By Sarah Lizee
Olympia, Wash., March 9 – HSBC USA Inc. priced $1.73 million of 0% performance allocator notes due Sept. 6, 2022 linked to three baskets of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The U.S. region basket consists of the S&P 500 index and the Russell 2000 index. The European region basket consists of the Euro Stoxx 50 index and the FTSE 100 index. The Asia Pacific region basket consists of the S&P/ASX 200 index and the Nikkei 225 index. Each index has a 50% weight in its respective basket.
The allocated return will be 50% of the return of the basket with the highest return, 30% of the return of the basket with the second-highest return and 20% of the return of the basket with the lowest return.
If the allocated return is positive, the payout at maturity will be par plus the allocated return.
If the allocated return is less than or equal to zero but greater than or equal to negative 10%, the payout will be par.
If the allocated return is less than negative 10%, investors will lose 1% for every 1% that the allocated return is less than negative 10%.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Performance allocator notes
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| Underlying baskets: | U.S. region basket (S&P 500 and Russell 2000), European region basket (Euro Stoxx 50 index and FTSE 100) and Asia Pacific region basket (S&P/ASX 200 and Nikkei 225); each index has 50% weight in its respective basket
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| Amount: | $1,729,000
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| Maturity: | Sept. 6, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If allocated return is positive, par plus allocated return; if allocated return is less than or equal to zero but greater than or equal to negative 10%, par; if allocated return is less than negative 10%, 1% loss for every 1% that allocated return is less than negative 10%
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| Allocated return: | 50% of best-performing basket’s return, 30% of second best-performing basket’s return and 20% of worst-performing basket’s return
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| Initial levels: | 2,954.22 for S&P, 1,476.431 for Russell, 3,329.49 for Euro Stoxx, 6,580.61 for FTSE 100, 6,441.21 for S&P/ASX 200 and 21,142.96 for Nikkei 225
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| Buffer level: | 90% of initial basket level
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| Pricing date: | Feb. 28
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| Settlement date: | March 4
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| Underwriter: | HSBC Securities (USA) Inc.
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| Fees: | 0.5%
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| Cusip: | 40435U4M3
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