Published on 10/18/2022 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $5.43 million autocallable contingent income barrier notes on indexes, ETF
By William Gullotti
Buffalo, N.Y., Oct. 18 – HSBC USA Inc. priced $5.43 million of autocallable contingent income barrier notes due June 21, 2024 linked to the least performance of the SPDR S&P Regional Banking ETF, 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 11.11% if each underlier closes at or above its coupon trigger level, 70% 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 monthly call observation date after three months.
If the notes are not called and each underlier finishes at or above its coupon trigger level, the payout at maturity will be par plus the final coupon.
If the worst performer finishes below its coupon trigger but not below its 60% 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, SPDR S&P Regional Banking ETF
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| Amount: | $5,433,000
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| Maturity: | June 21, 2024
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| Coupon: | 11.11% 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 coupon trigger, par plus final coupon; if worst performer finishes below coupon trigger but at or above barrier level, par; 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 monthly call observation date after three months
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| Initial levels: | $62.95 for ETF, 1,798.189 for Russell, 11,861.38 for Nasdaq
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| Coupon triggers: | $44.065 for ETF, 1,258.7323 for Russell, 8,302.966 for Nasdaq; 70% of initial levels
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| Barrier levels: | $37.77 for ETF, 1,078.9134 for Russell, 7,116.828 for Nasdaq; 60% of initial levels
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| Pricing date: | Sept. 16
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| Settlement date: | Sept. 21
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.875%
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| Cusip: | 40441XMR8
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