Published on 11/29/2022 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $8.91 million capped notes with absolute return buffer on index basket
By William Gullotti
Buffalo, N.Y., Nov. 29 – HSBC USA Inc. priced $8.91 million of 0% capped notes with absolute return buffer due Nov. 29, 2024 linked to a weighted index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the FTSE China 50 index with a 5% weight.
The payout at maturity will be par of $10 plus any basket gain, subject to a maximum payout of par plus 20%.
If the basket finishes flat or falls by up to 23.6%, investors will receive par plus the absolute value of the basket return. Otherwise, investors will be exposed to losses beyond 23.6%.
BofA Securities, Inc. is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Capped notes with absolute return buffer
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Underlying indexes: | Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei Stock Average index (20% weight), Swiss Market index (7.5% weight), S&P/ASX 200 index (7.5% weight), FTSE China 50 index (5% weight)
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Amount: | $8,913,860
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Maturity: | Nov. 29, 2024
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | Par plus any basket gain, capped at 20%; if basket falls by up to 23.6%, par plus absolute value of basket return; otherwise, 1% loss for every 1% decline beyond 23.6%
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Initial index levels: | 3,929.9 for Stoxx, 7,452.84 for FTSE, 28,115.74 for Nikkei, 11,074.3 for Swiss Market, 7,181.295 for S&P/ASX, 11,227.21 for FTSE China
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Threshold level: | 76.4% of initial value
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Pricing date: | Nov. 22
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Settlement date: | Nov. 30
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Agent: | BofA Securities, Inc.
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Fees: | 2%
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Cusip: | 40439N155
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