New Issue: HSBC sells $8.07 million trigger absolute return step notes on S&P 500

By Marisa Wong

Morgantown, W.Va., July 6 – HSBC USA Inc. priced $8.07 million of 0% trigger absolute return step securities due June 30, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above its initial level, the payout at maturity will be par of $10 plus the greater of the gain and the step return of 17.5%.

If the index falls but finishes at or above the 70% downside threshold level, the payout will be par plus the absolute value of the return.

Otherwise, investors will be fully exposed to any losses.

UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.

Issuer:	HSBC USA Inc.
Issue:	Trigger absolute return step securities
Underlying index:	S&P 500
Amount:	$8,065,400
Maturity:	June 30, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes at or above its initial level, par plus the greater of the gain and the step return of 17.5%; if the index falls by up to 30%, par plus the absolute value of the return; otherwise, full exposure to any losses
Initial level:	2,419.38
Downside threshold:	1,693.57, 70% of initial level
Pricing date:	June 27
Settlement date:	June 30
Agents:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	3.5%
Cusip:	40435D318

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