New Issue: HSBC sells $24.6 million capped notes with absolute return buffer linked to S&P 500

By William Gullotti

Buffalo, N.Y., Nov. 29 – HSBC USA Inc. priced $24.6 million of 0% capped notes with absolute return buffer due Jan. 26, 2024 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 17.1%, investors will receive par plus the absolute value of the index return. Otherwise, investors will be exposed to any losses beyond 17.1%.

BofA Securities, Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Capped notes with absolute return buffer
Underlying index:	S&P 500 index
Amount:	$24,597,610
Maturity:	Jan. 26, 2024
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus any index gain, capped at 10%; if index falls by up to 17.1%, par plus absolute value of index return; otherwise, 1% loss for every 1% decline beyond 17.1%
Initial value:	4,003.58
Threshold value:	3,318.968; 82.9% of initial value
Pricing date:	Nov. 22
Settlement date:	Nov. 30
Agent:	BofA Securities, Inc.
Fees:	1.75%
Cusip:	40439N247

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