Chicago, Aug. 14 – HSBC USA Inc. priced $69,000 of 0% autocallable barrier notes with step-up premium due July 30, 2026 linked to the least performing of the S&P 500 index and Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called automatically on any annual observation date at a premium of 10% per year if each index closes at or above its call threshold level. The first call threshold is 100% of the initial levels, then 95% in the second year and 90% for the maturity date.
At maturity, the payout will be par plus 30% if both indexes close above their 90% call thresholds.
The payout will be par if the worst performing index finishes between 70% and 90% of its initial level. Investors will lose 1% for every 1% that the worst performing index declines if it finishes below the 70% barrier level.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with step-up premium
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| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $69,000
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| Maturity: | July 30, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 30% if both indexes close above 90% call thresholds; par if worst performer finishes between 70% and 90% of initial level; otherwise, full exposure to losses of worst performer
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| Call: | Automatically at par plus 10% annual premium if both indexes close above call threshold levels on any annual observation date; first call threshold is 100% of initial levels, second call threshold is 95% of initial levels; third and final maturity date level is 90% of initial levels
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| Initial levels: | 1,980.355 for Russell, 4,566.75 for S&P
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| Barrier levels: | 70% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 40447AFU3
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