Published on 1/5/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1 million autocallable barrier notes with step-up premium on S&P, Russell
By Wendy Van Sickle
Columbus, Ohio, Jan. 5 – HSBC USA Inc. priced $1 million of 0% autocallable barrier notes with step-up premium due Jan. 2, 2024 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 be called at par plus an annualized call premium of 9.9% if each index closes at or above its call threshold on any quarterly observation date starting after one year. The call threshold starts at 102.5% of the initial level on the first observation date and steps up by 0.625% on each subsequent observation date.
If the notes are not called, meaning the final level of at least one of the indexes is less than 107.5% of its initial level but the worst performer finishes above 60% of its initial level, the payout will be par. If any index has finished below its 60% barrier level, investors will lose 1% for each 1% decline of the least-performing index from its initial level.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable barrier notes with step-up premium
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $1 million
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| Maturity: | Jan. 2, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If not called and worst performer finishes above barrier level, par; otherwise, investors will lose 1% for each 1% decline of least-performing index from its initial level
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| Call: | Beginning Dec. 21, 2021, at par plus annualized 9.9% annual call premium if each index closes at or above call threshold on any quarterly observation date
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| Initial index levels: | 3,735.36 for S&P, 1,996.25 for Russell
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| Call levels: | 102.5% of initial levels on first observation date, stepping up by 0.625% each quarter thereafter
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| Barrier levels: | 60% of initial levels
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| Pricing date: | Dec. 28
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| Settlement date: | Dec. 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 0.45%
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| Cusip: | 40438CM40
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