Published on 8/31/2022 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.03 million autocallable contingent income barrier notes on three indexes
By William Gullotti
Buffalo, N.Y., Aug. 31 – HSBC USA Inc. priced $1.03 million of autocallable contingent income barrier notes due Aug. 31, 2027 linked to the least performing of the S&P 500 index, the Nasdaq-100 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent monthly coupon at an annual rate of 9.37% if each index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that period.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any monthly coupon observation date after one year.
The payout at maturity will be par plus the final coupon if each index finishes at or above coupon barrier.
If the worst performer finishes below its coupon barrier but at or above its 70% trigger level, the payout will be par. Otherwise, investors will be fully exposed to the decline of the lowest performing index 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 indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $1,025,000
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| Maturity: | Aug. 31, 2027
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| Coupon: | 9.37%, payable monthly if each index closes at or above coupon barrier on determination date for that period
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above barrier level, par plus final coupon; if worst performer finishes below barrier level but not below trigger level, par; otherwise, exposure to decline of worst-performing index from its initial level
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| Call: | At par plus coupon if each index closes at or above initial level on any monthly call observation date after one year
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| Initial levels: | 4,057.66 for S&P, 1,899.83 for Russell, 12,605.17 for Nasdaq
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| Barrier levels: | 3,246.128 for S&P, 1,519.864 for Russell, 10,084.136 for Nasdaq; 80% of initial levels
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| Trigger levels: | 2,840.362 for S&P, 1,329.881 for Russell, 8,823.619 for Nasdaq; 70% of initial levels
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| Pricing date: | Aug. 26
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| Settlement date: | Aug. 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.625%
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| Cusip: | 40441XKA7
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