Published on 7/12/2021 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $12.5 million step down trigger autocalls on S&P, Russell, Nasdaq
By William Gullotti
Buffalo, N.Y., July 12 – HSBC USA Inc. priced $12.5 million of 0% step down trigger autocallable notes due July 8, 2024 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus 8% annualized if each index closes at or above its initial level on any annual review date or at or above its 75% step down threshold on the final valuation date.
If each index finishes above its step down threshold, the payout at maturity will be par plus 24%.
If any index finishes below its step down threshold but each index finishes at or above its 65% downside threshold, the payout at maturity will be par.
Otherwise, investors will lose 1% for each 1% decline of the worst performer from its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Step down trigger autocallable notes
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| Underlying indexes: | S&P 500 index, Russell 2000 index, Nasdaq-100 index
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| Amount: | $12.5 million
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| Maturity: | July 8, 2024
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 8% annualized if each index closes at or above its initial level on any annual review date or at or above its step down threshold on final valuation date
|
| Payout at maturity: | If each index closes at or above its step down threshold, par plus 24%; if any index declines below its step down threshold but each finishes at or above its downside threshold, par; otherwise, lose 1% for each 1% decline of worst performing index from its initial level
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| Initial index levels: | 4,352.34 for S&P, 2,305.762 for Russell, 14,727.63 for Nasdaq
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| Step down thresholds: | 3,264.26 for S&P, 1,729.322 for Russell, 11,045.72 for Nasdaq; 75% of initial levels
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| Downside thresholds: | 2,829.02 for S&P, 1,498.745 for Russell, 9,572.96 for Nasdaq; 65% of initial levels
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| Pricing date: | July 7
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| Settlement date: | July 12
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| Agents: | HSBC Securities (USA) Inc. and UBS Financial Services Inc.
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| Fees: | None
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| Cusip: | 40439K722
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