New Issue: HSBC prices $36.39 million Leveraged Index Return Notes linked to S&P

By Devika Patel

Knoxville, Tenn., Dec. 22 – HSBC USA Inc. priced $36.39 million of 0% Leveraged Index Return Notes due Dec. 22, 2021 tied to the S&P 500 index, 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 116.8% 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 Dec. 17, 2021.

BofA Merrill Lynch is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Leveraged Index Return Notes
Underlying index:	S&P 500
Amount:	$36,389,130
Maturity:	Dec. 22, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	If index return is positive, par plus 116.8% of index return; par if index falls by up to 20%; 1% loss for every 1% decline beyond 20%
Initial index level:	2,270.76
Threshold level:	1,816.61, 80% of initial level
Pricing date:	Dec. 20
Settlement date:	Dec. 30
Agent:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	40435B239

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