By William Gullotti
Buffalo, N.Y., Oct. 5 – HSBC USA Inc. priced $3 million of 0% step down trigger autocallable notes due Oct. 3, 2024 linked to the performance of the Energy Select Sector SPDR Fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a call premium of 10.5% per year if the ETF closes at or above its initial level on either annual review date or at or above its 75% step down threshold on the final valuation date.
If the ETF finishes at or above the step down threshold, the payout at maturity will be par plus 31.5%.
Otherwise, investors will lose 1% for each 1% of ETF decline from its initial level.
UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Step down trigger autocallable notes
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| Underlying fund: | Energy Select Sector SPDR Fund
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| Amount: | $3 million
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| Maturity: | Oct. 3, 2024
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the ETF finishes at or above the step down threshold, par plus 31.5%; otherwise, lose 1% for each 1% decline from initial level
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| Call: | At par plus 10.5% annualized if the ETF closes at or above its initial level on Oct. 6, 2022 or Sept. 29, 2023 or at or above its step down threshold on final valuation date
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| Initial level: | $52.89
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| Step down threshold: | $39.6675; 75% of initial level
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| Pricing date: | Sept. 29
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| Settlement date: | Oct. 5
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| Agents: | HSBC Securities (USA) Inc. and UBS Financial Services Inc.
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| Fees: | 0.75%
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| Cusip: | 40439K136
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