Published on 8/12/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.65 million contingent income barrier autocalls on Delta Air Lines, indexes
By William Gullotti
Buffalo, N.Y., Aug. 12 – HSBC USA Inc. priced $1.65 million of autocallable contingent income barrier notes due June 23, 2025 linked to the least performance of Delta Air Lines, Inc., the Russell 2000 index and Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annualized rate of 13% if each underlier closes at or above its coupon trigger level, 80% of its initial level, on the observation date for that period.
The notes will be called at par plus the coupon if each underlier closes at or above its initial level on any quarterly call observation date after six months.
If the notes are not called and each underlier finishes at or above the coupon trigger level, the payout at maturity will be par plus the final coupon.
If any underlier falls below its coupon trigger level but all finish at or above the 70% barrier value, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer 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: | Russell 2000 index, Nasdaq-100 index, Delta Air Lines, Inc.
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| Amount: | $1,645,000
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| Maturity: | June 23, 2025
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| Coupon: | 13% per year, payable monthly if each underlier closes at or above coupon trigger on observation date for that period
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| Price: | Par
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| Payout at maturity: | If each underlier finishes at or above barrier level, par plus any final coupon; otherwise, full exposure to decline of worst performer from initial level
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| Call: | At par plus coupon if each underlier closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | $45.52 for Delta, 2,314.691 for Russell, 13,983.01 for Nasdaq
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| Coupon triggers: | $36.416 for Delta, 1,851.7528 for Russell, 11,186.408 for Nasdaq; 80% of initial levels
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| Barrier levels: | $31.864 for Delta, 1,620.2837 for Russell, 9,788.107 for Nasdaq; 70% of initial levels
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| Pricing date: | June 16
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| Settlement date: | June 21
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 0.75%
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| Cusip: | 40439JDL6
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