New Issue: HSBC sells $720,000 autocallable barrier notes with step-up premium on indexes

By Kiku Steinfeld

Chicago, Sept. 11 – HSBC USA Inc. priced $720,000 of 0% autocallable barrier notes with step-up premium and step-down call threshold due Sept. 8, 2025 linked to the least performing of the S&P 500, the Russell 2000 and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium if each index closes at or above its call threshold on any annual observation date. The call threshold level will be 95% of the lowest performing index’s initial level on the first observation date, stepping down to 90% on the second observation date, to 85% on the third observation date, to 80% on the fourth observation date and to 75% on the final observation date. The annual call premium will be 6.8%, with a final call premium of 34% on the final observation date, the maturity date.

If any index finishes below its 75% call threshold but at or above its 70% barrier level on the final observation date, the notes are not called and the payout will be par. If the least performing index finishes below its barrier level, investors will be exposed to the decline of that index from its initial level.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable barrier notes with step-up premium and step-down call threshold
Underlying indexes:	S&P 500, Russell 2000 and Nasdaq-100 index
Amount:	$720,000
Maturity:	Sept. 8, 2025
Coupon:	0%
Price:	Par
Payout at maturity:	Par if any index finishes below its 75% call threshold but at or above its 70% barrier level on final observation date; if least performing index finishes below its barrier level, full exposure to decline of that index from its initial level
Call:	At par plus annual call premium if each index closes at or above its call threshold on any annual observation date; call threshold level will be 95% initially, stepping down by 5% each year until the maturity date when it will be at 75%; call premium will be 6.8% initially, stepping up to 34% on final observation date
Initial index levels:	3,580.84 for S&P, 1,592.287 for Russell and 12,420.54 for Nasdaq
Barrier levels:	70% of initial levels
Pricing date:	Sept. 2
Settlement date:	Sept. 8
Agent:	HSBC Securities (USA) Inc.
Fees:	3%
Cusip:	40438CVW8

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