Published on 5/31/2022 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $13.7 million trigger autocallable contingent yield notes on S&P, Russell
Chicago, May 31 – HSBC USA Inc. priced $13.7 million of trigger autocallable contingent yield notes due Nov. 17, 2026 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon at the rate of 6.17% per year for the accrual days each index closes at or above its coupon barrier, 75% of its initial level. Interest will be calculated quarterly.
The notes will be automatically called at par plus coupon if each index closes at or above its initial level on any quarterly call observation date after six months.
If the notes are not called and the final level of each index is greater than or equal to the downside threshold level, 75% of the initial level, the payout at maturity will be par plus the final coupon. Otherwise, investors will lose 1% for every 1% that the worst performer declines from its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Trigger autocallable contingent yield notes
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| Underlying indexes: | Russell 2000 index, S&P 500 index
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| Amount: | $13,698,200
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| Maturity: | Nov. 17, 2026
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| Coupon: | 6.17% annual rate, contingent based on the number of days both indexes close above their 75% accrual coupon barrier, calculated quarterly
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| Price: | Par of $10.00
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| Payout at maturity: | If each index finishes at or above downside threshold, par plus final coupon; otherwise, 1% loss for each 1% decline of laggard index from initial level
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| Call: | Automatically at par plus coupon if each index closes at or above initial level on any quarterly call observation date after six months
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| Initial levels: | 2,411.776 for Russell, 4,682.85 for S&P
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| Coupon barrier levels: | 1,808.832 for Russell, 3,512.138 for S&P; 75% of initial levels
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| Downside thresholds: | 1,808.832 for Russell, 3,512.138 for S&P; 75% of initial levels
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| Pricing date: | Nov. 12, 2021
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| Settlement date: | Nov. 17, 2021
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| Agents: | UBS Financial Services Inc. and HSBC Securities (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 40390L883
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