Published on 7/26/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $25.05 million step-down trigger autocalls on S&P, Russell
Chicago, July 26 – HSBC USA Inc. priced $25.05 million of 0% step-down trigger autocallable notes due July 23, 2026 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
After one year, the notes will be automatically called at par of $10 plus 9% per year if each asset closes at or above its initial level on any semiannual observation date, except the final one when the call threshold will be the 90% step-down threshold level.
If the notes are not subject to an automatic call, that means the final level of at least one asset will be less than its step-down threshold, 90% of its initial level.
Investors will receive par if both indexes finish above the 70% downside threshold and will be fully exposed to the losses of the worst performer if either index finishes below 70% of its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
Issuer: | HSBC USA Inc.
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Issue: | Step-down trigger autocallable notes
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Underlying indexes: | Russell 2000 index and S&P 500 index
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Amount: | $25,050,000
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Maturity: | July 23, 2026
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Coupon: | 0%
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Price: | Par of $10
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Call: | After one year, at par plus 9% per year if each index closes at or above its initial level on any semiannual observation date except the final one, when the call level will be the step-down threshold
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Payout at maturity: | If index finishes above 90% of initial level, call return; if indexes finish below step-down threshold but worst performer finishes above downside threshold, par; otherwise, full exposure to losses of worst performer
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Initial levels: | 4,258.49 for S&P 500, 2,130.680 for Russell 2000
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Step-down threshold: | 3,832.641 for S&P 500, 1,917.612 for Russell 2000, 90% of initial levels
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Downside thresholds: | 2,980.943 for S&P 500, 1,491.476 for Russell 2000, 70% of initial levels
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Pricing date: | July 19
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Settlement date: | July 23
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Agents: | UBS Financial Services Inc. and HSBC Securities (USA) Inc.
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Fees: | 0.75%
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Cusip: | 40439K656
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