Published on 3/16/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.99 million autocallable buffered notes with step-up premium on indexes
By Kiku Steinfeld
Chicago, March 16 – HSBC USA Inc. priced $1.99 million of 0% autocallable buffered notes with step-up premium due March 3, 2026 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index and the according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 13.6% if each index closes at or above its call threshold on any annual observation date. The call threshold is equal to the initial index level on Feb. 28, 2022 and steps up by 2 percentage points each year.
If the notes are not called, meaning the final level of at least one of the indexes is less than 108% of its initial level, the payout will be par, unless any index has finished below its buffer level, 90% of its initial price. If any index has finished below its 90% buffer level, investors will lose 1% for each 1% decline of the least-performing index beyond 10%.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable buffered notes with step-up premium
|
| Underlying indexes: | S&P 500 index, Russell 2000 index and Nasdaq-100 index
|
| Amount: | $1,992,000
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| Maturity: | March 3, 2026
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par unless any index has finished below buffer level, in which case investors will lose 1% for each 1% decline of least-performing index beyond 10%
|
| Call: | At par plus annualized 13.6% annual call premium if each index closes at or above call threshold on any annual observation date; call threshold is 100% of initial level on Feb. 28, 2022, 102% of initial level on Feb. 29, 2023, 104% of initial level on Feb. 28, 2024, 106% of initial level on Feb. 26, 2025 and 108% of initial level on Feb. 26, 2026
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| Initial index levels: | 3,811.15 for S&P, 2,201.051 for Russell and 12,909.44 for Nasdaq
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| Buffer levels: | 3,430.035 for S&P, 1,980.9459 for Russell, 11,618.496 for Nasdaq, 90% of initial levels
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| Pricing date: | Feb. 26
|
| Settlement date: | March 3
|
| Agent: | HSBC Securities (USA) Inc.
|
| Fees: | 0.55%
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| Cusip: | 40438CY62
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