Published on 3/9/2023 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $265,000 autocallable contingent income barrier notes on indexes, ETF
Chicago, March 9 – HSBC USA Inc. priced $265,000 of autocallable contingent income barrier notes due May 19, 2025 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 13% 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 quarterly call observation date.
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: | $265,000
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| Maturity: | May 19, 2025
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| Coupon: | 13% 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 quarterly call observation date
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| Initial levels: | $59.88 for ETF, 1,783.427 for Russell, 12,243.58 for Nasdaq
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| Coupon triggers: | $41.916 for ETF, 1,248.3989 for Russell, 8,570.506 for Nasdaq; 70% of initial levels
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| Barrier levels: | $35.928 for ETF, 1,070.0562 for Russell, 7,346.148 for Nasdaq; 60% of initial levels
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| Pricing date: | May 16, 2022
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| Settlement date: | May 19, 2022
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 0%
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| Cusip: | 40439J4P7
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