By Emma Trincal
New York, Aug. 2 – HSBC USA Inc. priced $2.77 million of autocallable contingent income barrier notes due Nov. 1, 2024 linked to the least performing of the Energy Select Sector SPDR Fund and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at an annual rate of 9.4% if each fund closes at or above its coupon trigger level, 60% of its initial level, on the observation date for that period.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any monthly coupon observation date after six months.
The payout at maturity will be par unless any fund closes below its 60% barrier value, in which case investors will lose 1% for each 1% decline in the least performing fund.
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 funds: | Energy Select Sector SPDR Fund and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $2,767,000
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| Maturity: | Nov. 1, 2024
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| Coupon: | 9.4%, payable monthly if each fund closes at or above coupon trigger level on determination date for that period
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| Price: | Par
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| Payout at maturity: | Par unless any fund closes below barrier level, in which case full exposure to the losses of the least performing fund
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| Call: | At par plus coupon if each ETF closes at or above initial price on any monthly call observation date after six months
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| Initial level: | $85.59 for Energy Select, $138.14 for SPDR
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| Coupon trigger levels: | $51.354 for Energy Select, $82.884 for SPDR; 60% of initial levels
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| Barrier levels: | $51.354 for Energy Select, $82.884 for SPDR; 60% of initial levels
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| Pricing date: | July 27
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| Settlement date: | Aug. 1
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.5%
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| Cusip: | 40447AFN9
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