New Issue: HSBC sells $2.12 million performance allocator notes on indexes, ETF

By Marisa Wong

Morgantown, W.Va., Feb. 26 – HSBC USA Inc. priced $2.12 million of 0% performance allocator notes due Aug. 21, 2024 linked to a basket of the S&P 500 index, the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filed with the Securities and Exchange Commission.

On the final valuation date, the basket weightings of 60%, 30% and 10% will be allocated to the best, second best and lowest performing asset, respectively.

If the basket return is positive, the payout at maturity will be par plus 1.05 times the gain.

If the basket return is at least negative 20%, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the basket beyond 20%.

HSBC Securities (USA) Inc. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Performance allocator notes
Underlying basket:	S&P 500 index, Euro Stoxx 50 index and iShares MSCI Emerging Markets ETF; weights of 60%, 30% and 10% will be allocated to best, second best and lowest performing asset, respectively, on final valuation date
Amount:	$2,115,000
Maturity:	Aug. 21, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If basket return is positive, par plus 1.05 times the gain; if basket return is at least negative 20%, par; otherwise, 1% loss for each 1% decline of the basket beyond 20%
Initial levels:	2,775.60 for S&P, 3,241.25 for Stoxx and $42.09 for EM ETF
Pricing date:	Feb. 15
Settlement date:	Feb. 21
Agent:	HSBC Securities (USA) Inc.
Fees:	2.75%
Cusip:	40435UGD0

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