New Issue: HSBC prices $257,000 autocallable buffered notes on Russell, S&P

Chicago, May 18 – HSBC USA Inc. priced $257,000 of 0% autocallable buffered notes with step-up premium due June 30, 2027 linked to the least performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If both indexes close above their initial levels on any of the annual call observation dates, the notes will be called at par plus an 8% annualized call premium.

If the notes have not been called because at least one index has closed below its initial level but both indexes finish above their 85% buffer levels, the payout at maturity will be par.

Otherwise, investors will be exposed to any losses of the least performing index beyond the 15% buffer.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable buffered notes with step-up premium
Underlying indexes:	Russell 2000 index, S&P 500 index
Amount:	$257,000
Maturity:	June 30, 2027
Coupon:	0%
Price:	Par
Payout at maturity:	If not called, par if at least one index has declined but both finish above buffer levels; otherwise, 1% loss for each 1% decline of worst performer beyond 15% buffer
Call:	Automatically at par plus 8% annualized call premium if both indexes close above initial levels on any annual observation date
Initial levels:	3,900.11 for S&P, 1,771.742 for Russell
Buffer levels:	85% of initial levels
Pricing date:	June 27, 2022
Settlement date:	June 30, 2022
Agent:	HSBC Securities (USA) Inc.
Fees:	3.75%
Cusip:	40439J7E9

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