Published on 2/16/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $6.8 million step-down trigger autocallables on Russell 2000, S&P 500
By Wendy Van Sickle
Columbus, Ohio, Feb. 16 – HSBC USA Inc. priced $6.8 million of 0% step-down trigger autocallable notes due Jan. 30, 2026 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus 9% per year if each index closes at or above its call threshold level on any annual observation date. For each index, the call threshold level will be equal to the initial index level for the first 16 observation dates and 60% of the initial level for the final observation date.
If the notes are not called, then the final level of at least one index will be less than its 60% downside threshold level, and investors will be exposed to the decline of the lesser-performing index from its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the underwriters.
| Issuer: | HSBC USA Inc.
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| Issue: | Step-down trigger autocallable notes
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $6.8 million
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| Maturity: | Jan. 30, 2026
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | Full exposure to decline of lesser-performing index from initial level if either index finishes below downside threshold level
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| Call: | Automatically at par plus 9% per year if each index closes at or above call threshold level on any annual observation date; call threshold equals initial index level for first 16 observation dates and downside threshold for final observation date
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| Initial levels: | 2,108.696 for Russell, 3,750.77 for S&P
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| Downside thresholds: | 1,265.218 for Russell, 2,250.46 for S&P; 60% of initial levels
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| Pricing date: | Jan. 27
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| Settlement date: | Feb. 1
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| Underwriters: | UBS Financial Services Inc. and HSBC Securities (USA) Inc.
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| Fees: | 0%
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| Cusip: | 40438U705
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