By Marisa Wong
Los Angeles, July 24 – HSBC USA Inc. priced $4.98 million of 0% buffered autocallable notes with step-up premium due July 24, 2026 linked to the Health Care Select Sector SPDR fund and the Consumer Staples 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 each fund closes at or above the call threshold on any annual call observation date. The call threshold will be 101.6% of the initial price on the first call observation date, stepping up by 160 basis points on each subsequent call observation date to 109.6% of the initial price for the sixth and final observation date.
If the notes are not called, the payout at maturity will be par plus any gain in the lesser performing fund. Investors will receive par if the lesser performing fund falls by up to 20% and will lose 1% for each 1% that the lesser performing fund declines beyond 20%.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Buffered autocallable notes with step-up premium
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| Underlying ETFs: | Health Care Select Sector SPDR fund and Consumer Staples Select Sector SPDR fund
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| Amount: | $4,978,000
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| Maturity: | July 24, 2026
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| Coupon: | 0%
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| Price: | Par
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| Call: | At par plus a 10% annualized premium if each fund closes at or above the call threshold on any annual call observation date; call threshold will be 101.6% of the initial price on the first call observation date, stepping up by 160 bps on each subsequent call observation date to 109.6% of the initial price for the sixth and final observation date
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| Payout at maturity: | Par plus any gain in the lesser performing fund; par if the lesser performing fund falls by up to 20%; 1% loss for each 1% that the lesser performing fund declines beyond 20%
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| Initial prices: | $91.76 for health ETF and $59.94 for staples ETF
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| Pricing date: | July 19
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| Settlement date: | July 24
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| Underwriter: | HSBC Securities (USA) Inc.
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| Fees: | 4.3%
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| Cusip: | 40435USV7
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