New Issue: HSBC sells $31.52 million Leveraged Index Return Notes tied to the Dow

By Devika Patel

Knoxville, Tenn., Feb. 29 – HSBC USA Inc. priced $31.52 million of 0% Leveraged Index Return Notes due Feb. 26, 2021 tied to the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

If the index return is positive, the payout at maturity will be par plus 121.9% of the index return. Investors will receive par if the index falls by up to 20% and will lose 1% for every 1% decline in the index beyond 20%.

The final index level will be the average of the closing index levels on the five trading days ending Feb. 23, 2021.

Merrill Lynch & Co. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Leveraged Index Return Notes
Underlying index:	Dow Jones industrial average
Amount:	$31,521,590
Maturity:	Feb. 26, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is positive, par plus 121.9% of index return; par if index falls by up to 20%; 1% loss for every 1% decline beyond 20%
Initial index level:	16,697.29
Threshold level:	13,357.83, 80% of initial level
Pricing date:	Feb. 25
Settlement date:	March 3
Agent:	Merrill Lynch & Co.
Fees:	2.5%
Cusip:	40434N887

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