Published on 3/4/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $12.23 million autocallable contingent income barrier notes on indexes, ETF
By Wendy Van Sickle
Columbus, Ohio, March 4 – HSBC USA Inc. priced $12.23 million of autocallable contingent income barrier notes due March 2, 2023 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the S&P Midcap 400 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annualized rate of 10.4% if each asset closes at or above the coupon trigger level, 75% of the initial level, on the observation date for that quarter.
The notes will be called at par plus the coupon if each asset closes at or above the initial price on any quarterly observation date after six months.
If the notes are not called and each asset finishes at or above the 75% barrier level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for each 1% decline of the least-performing asset from its initial level.
HSBC Securities (USA) Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Autocallable contingent income barrier notes
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Underlying assets: | S&P 500 index, Nasdaq-100 index and S&P Midcap 400 ETF trust
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Amount: | $12,226,000
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Maturity: | March 2, 2023
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Coupon: | 10.4%, payable quarterly if each asset closes at or above coupon trigger level on observation date for that quarter
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Price: | Par
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Payout at maturity: | If each asset finishes at or above barrier level, par plus the final coupon; otherwise, 1% loss for each 1% decline of the least-performing asset from initial level
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Call: | At par plus coupon if each asset closes at or above initial price on any quarterly observation date after six months
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Initial levels: | 3,811.15 for S&P, 12,909.44 for Nasdaq and $454.85 for S&P Midcap 400
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Coupon trigger/barrier prices: | 2,858.3625 for S&P, 9,682.08 for Nasdaq and $341.1375 for S&P Midcap 400, 75% of initial prices
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Pricing date: | Feb. 26
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Settlement date: | March 4
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Agent: | HSBC Securities (USA) Inc.
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Fees: | 1.75%
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Cusip: | 40438CY88
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