Published on 7/22/2023 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $642,000 autocallable barrier notes with step-up premium on three indexes
Chicago, July 24 – HSBC USA Inc. priced $642,000 of 0% autocallable barrier notes with step-up premium and digital upside return due July 21, 2028 linked to the lesser 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 be called at par plus a 10.1% annual call premium if each index closes at or above its call threshold level on any annual valuation date. The call threshold levels are 95%, 90%, 85% and 80% in the subsequent years.
If the worst performer finishes above 125% of its initial level, the payout at maturity will be par plus the return of the worst performer.
The payout will be par plus 25% if the worst performer finishes between 75% of its initial level and 125% of its initial level.
Otherwise, investors will be exposed to the losses of the worst performer.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with step-up premium and digital upside return
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| Underlying indexes: | S&P 500 index, Nasdaq-100 index, Russell 2000 index
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| Amount: | $642,000
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| Maturity: | July 21, 2028
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus return of worst performer if it finishes above 125% of initial level; par plus 25% if worst performer finishes between 75% and 125% of initial level; otherwise, full exposure to losses of worst performer
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| Call: | At par plus a 10.1% annual call premium if each index closes at or above its call threshold level on any annual valuation date; call thresholds are 95% in 2024, 90% in 2025, 85% in 2026, 80% in 2027
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| Initial index levels: | 4,554.98 for S&P, 15,841.35 for Nasdaq, 1,976.067 for Russell
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| Digital upside return: | 25%
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| Barrier level: | 75% of initial level
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| Pricing date: | July 18,
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| Settlement date: | July 21
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 0.25%
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| Cusip: | 40447AFX7
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