Chicago, Feb. 27 – HSBC USA Inc. priced $6 million of contingent income autocallable securities due May 8, 2025 linked to the worst performing of the stocks of Eli Lilly and Co. and Pfizer Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly 12.75% annualized coupon if each stock closes at or above its downside threshold level, 60% of its initial level, on every day for that period.
The notes will be called at par plus the coupon if each stock closes at or above its initial level on any quarterly call observation date after six months.
If the notes are not called and each stock finishes at or above its 60% downside threshold level, the payout at maturity will be par plus the final coupon. Otherwise, investors will be fully exposed to the decline of the least-performing stock from its initial level.
HSBC Securities (USA) Inc. is the agent. Morgan Stanley Wealth Management is the structurer.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying stocks: | Eli Lilly and Co. and Pfizer Inc.
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| Amount: | $6,000,000
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| Maturity: | May 8, 2025
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| Coupon: | 12.75% per year; paid quarterly contingently if both stocks close above their downside thresholds every day during the quarterly observation period
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| Price: | Par of $10.00
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| Payout at maturity: | If each stock finishes at or above barrier level, par plus final coupon; otherwise, full exposure to decline of least-performing stock from its initial level
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| Call: | At par plus coupon if each stock closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | $294.90 for Lilly, $49.66 for Pfizer
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| Downside threshold levels: | $176.94 for Lilly, $29.796 for Pfizer; 60% of initial levels
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| Pricing date: | May 4, 2022
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| Settlement date: | May 9, 2022
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| Agent: | HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management as structurer
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| Fees: | 2.5%
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| Cusip: | 40390L461
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