By William Gullotti
Buffalo, N.Y., Feb. 24 – HSBC USA Inc. priced $2.22 million of 0% autocallable buffered notes with step-up premium due April 28, 2026 linked to the least performing of the Utilities Select Sector SPDR fund and the Health Care Select Sector SPDR fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a 10% annualized premium if the funds close at or above the call threshold on any annual call observation date. The call threshold is 104% of the initial level of each fund.
If the notes are not called, the payout will be par plus the return of the worst-performing fund if both funds finish positive.
If the worst performer declines but finishes above 85% of its initial level, the payout will be par.
Otherwise, investors will lose 1% for every 1% decline of the lesser performing fund beyond the 15% buffer.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable buffered notes with step-up premium
|
| Underlying funds: | Utilities Select Sector SPDR fund, Health Care Select Sector SPDR fund
|
| Amount: | $2,222,000
|
| Maturity: | April 28, 2026
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | At par plus an 10% annualized premium if each fund closes at or above the call threshold on any annual call observation date; call threshold will be 104% of the initial level
|
| Payout at maturity: | If the notes are not called, par plus return of worst performer if both funds finish positive; par if either fund declines but finishes above 85% of its initial level; otherwise, investors will lose 1% for every 1% decline of the lesser performing fund beyond 15%
|
| Initial levels: | $66.58 for Utilities, $123.68 for Health
|
| Buffer levels: | $56.593 for Utilities, $105.128 for Health; 85% of initial levels
|
| Pricing date: | April 23, 2021
|
| Settlement date: | April 28, 2021
|
| Underwriter: | HSBC Securities (USA) Inc.
|
| Fees: | 3.75%
|
| Cusip: | 40438C5X5
|
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