New Issue: HSBC sells $20.43 million capped notes with absolute return buffer linked to S&P 500

By William Gullotti

Buffalo, N.Y., July 6 – HSBC USA Inc. priced $20.43 million of 0% capped notes with absolute return buffer due Aug. 25, 2023 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par of $10 plus any index gain, subject to a maximum payout of par plus 10%.

If the index finishes flat or falls by up to 14.2%, investors will receive par plus the absolute value of the index return. Otherwise, investors will be exposed to any losses beyond 14.2%.

BofA Securities, Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Capped notes with absolute return buffer
Underlying index:	S&P 500 index
Amount:	$20,428,370
Maturity:	Aug. 25, 2023
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus any index gain, capped at 10%; if index falls by up to 14.2%, par plus absolute value of index return; otherwise, 1% loss for every 1% decline beyond 14.2%
Initial value:	3,785.38
Threshold value:	3,247.86; 85.8% of initial value
Pricing date:	June 30
Settlement date:	July 8
Agent:	BofA Securities, Inc.
Fees:	1.75%
Cusip:	40441B207

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