New Issue: HSBC prices $44.4 million notes with buffer linked to S&P 500

By Sarah Lizee

Olympia, Wash., Feb. 25 – HSBC USA Inc. priced $44.4 million of 0% notes due Feb. 23, 2024 linked 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 of $10 plus 1.25 times the index return, subject to a maximum return of 53.27%.

The payout will be par plus the absolute value of the return of the index if the index declines by 20% or less.

Investors will lose 1% for every 1% that the index may decline beyond 20%.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Notes
Underlying index:	S&P 500
Amount:	$44,397,230
Maturity:	Feb. 23, 2024
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index return is positive, par plus 1.25 times the index return, subject to a maximum return of 53.27%; par plus the absolute value of the return of the index if the index declines by 20% or less; 1% loss for every 1% that the index may decline beyond 20%
Initial index level:	2,774.88
Final index level:	Average of index’s closing levels on five trading days ending Feb. 20, 2024
Pricing date:	Feb. 21
Settlement date:	Feb. 28
Underwriter:	BofA Merrill Lynch
Fees:	2.5%
Cusip:	40436A461

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