By Kiku Steinfeld
Chicago, April 18 – HSBC USA Inc. priced $76,000 of 0% autocallable barrier notes with step-up premium due Sept. 30, 2026 linked to the performance of the AI Powered US Equity Adjusted Total Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The index tracks the total return of a notional portfolio of shares selected by a rules-based equity strategy powered by IBM Watson, which utilizes artificial intelligence techniques to process market signals. The index is subject to an adjustment factor of 5% per annum, accrued and deducted on a daily basis, and a monthly rebalancing fee of 0.01%. The index will only increase if the portfolio’s aggregate performance exceeds 5%.
The notes will be called at par plus a 6.75% annualized call premium if the index closes at or above its initial level on any annual observation date.
If the notes are not called, the payout will be par unless the index has finished below its 70% barrier level, in which case investors will lose 1% for each 1% decline from its initial level.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with step-up premium
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| Underlying index: | AI Powered US Equity Adjusted Total Return index
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| Amount: | $76,000
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| Maturity: | Sept. 30, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par unless the index finishes below barrier level, in which case investors will lose 1% for each 1% decline of the index from its initial level
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| Call: | At par plus a 6.75% annualized call premium if the index closes at or above its initial level on any annual observation date
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| Initial index level: | 6,730.93
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| Barrier level: | 4,711.651; 70% of initial level
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| Pricing date: | Sept. 27, 2021
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| Settlement date: | Sept. 30, 2021
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.75%
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| Cusip: | 40439JLZ6
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