Published on 3/30/2022 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $3.92 million contingent income autocalls on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., March 30 – HSBC USA Inc. priced $3.92 million of contingent income autocallable securities due March 28, 2025 linked to the worst performing of the Nasdaq-100 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes pay a contingent quarterly coupon at an annual rate of 8.35% if each index closes at or above its coupon barrier level, 70% of its initial level, on the relevant observation date.
The notes will be automatically called at par plus coupon if each index closes at or above initial levels on any quarterly determination date.
If each index finishes at or above its 70% downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any index is less than its downside threshold level, investors will be fully exposed to the decline of the worst performer from its initial level.
HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | Nasdaq-100 index, Russell 2000 index, S&P 500 index
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| Amount: | $3,916,000
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| Maturity: | March 28, 2025
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| Coupon: | 8.35% per year, payable quarterly if each index closes at or above coupon barrier on the relevant observation date
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above downside threshold level, par plus final contingent coupon; if final level of any index is less than downside threshold level, full exposure to decline of the worst performer from its initial level
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| Call option: | Automatically at par plus coupon on any quarterly determination date if each index closes at or above initial levels on the relevant observation date
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| Initial levels: | 14,754.31 for Nasdaq, 4,543.06 for S&P, 2,077.983 for Russell
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| Coupon barriers: | 10,328.017 for Nasdaq, 3,180.142 for S&P, 1,454.5881 for Russell; 70% of initial levels
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| Downside threshold: | 10,328.017 for Nasdaq, 3,180.142 for S&P, 1,454.5881 for Russell; 70% of initial levels
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| Pricing date: | March 25
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| Settlement date: | March 30
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| Agent: | HSBC Securities (USA) Inc.
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 2.5%
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| Cusip: | 40439JK46
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