New Issue: HSBC prices $5.43 million buffered autocallable yield notes on S&P, Russell

Chicago, Sept. 5 – HSBC USA Inc. priced $5.43 million of buffered autocallable yield notes due Feb. 16, 2021 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are callable after six months at par plus a call premium at an annualized rate of 11.5% on a semiannual call date if the level of each index closes at or above its initial level.

Investors will receive par if both indexes finish above 80% of their initial values.

Otherwise, investors will lose 1.25% for each 1% decline beyond the 20% buffer.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Buffered autocallable yield notes
Underlying indexes:	S&P 500 index and the Russell 2000 index
Amount:	$5,434,000
Maturity:	Feb. 16, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	Par if both indexes finish above 80% of initial levels; 1.25% loss for each 1% decline beyond 20% buffer
Call:	Par plus annualized rate of 11.5% if both indexes finish above initial level on Feb. 12, 2020, Aug. 17, 2020 or Feb. 16, 2021
Initial price:	2,938.09 for S&P 500 and 1,532.132 for Russell 2000
Buffer price:	2,350.472 for S&P 500 and 1,225.7056 for Russell 2000, 80% of initial levels
Pricing date:	Aug. 8
Settlement date:	Aug. 13
Agent:	HSBC Securities (USA) Inc.
Fees:	0.05%
Cusip:	40435UVH4

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