New Issue: HSBC prices $9.3 million enhanced averaging buffered notes linked to indexes, ETF

By Sarah Lizee

Olympia, Wash., April 17 – HSBC USA Inc. priced $9.3 million of 0% enhanced averaging buffered notes due May 16, 2022 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index (69% weight), the MSCI EAFE index (15% weight), the S&P MidCap 400 index (8% weight), the iShares MSCI Emerging Markets ETF (5% weight) and the Russell 2000 index (3% weight).

If the final basket value is greater than or equal to the buffer value, 75% of the initial value, the payout at maturity will be par plus 134% of the average reference return of the basket.

If the final basket value is less than the buffer value, the payout will be par plus (a) 134% of the average reference return minus (b) 1.3333% for every 1% basket decline (the final basket level compared to the initial basket level) beyond 25%.

The average reference return will be the quotient of (a) the average basket value minus the initial basket value divided by (b) the initial basket value. The average basket value, which has a floor of zero, is the sum of the basket components’ weighted average returns. For each basket component, its average return is the change from its initial level to the average of its closing levels on the 11th of August, November, February and May, starting on May 11, 2021.

HSBC Securities (USA) Inc. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Enhanced averaging buffered notes
Underlying basket:	S&P 500 index (69% weight), the MSCI EAFE index (15% weight), the S&P MidCap 400 index (8% weight), the iShares MSCI Emerging Markets ETF (5% weight) and the Russell 2000 index (3% weight)
Amount:	$9,299,000
Maturity:	May 16, 2022
Coupon:	0%
Price:	Par
Payout at maturity:	If final basket value is greater than or equal to buffer value, par plus 134% of average reference return of basket; otherwise, par plus (a) 134% of average reference return minus (b) 1.3333% for every 1% basket decline (the final basket level compared to the initial basket level) beyond buffer
Average reference return:	Quotient of (a) average basket value minus initial basket value divided by (b) initial basket value
Average basket value:	Sum of the basket components’ weighted average returns, subject to floor of zero
Average return:	For each basket component, change from initial level to average final level, i.e., average of closing levels on 11th of August, November, February and May, starting on May 11, 2021
Initial levels:	2,727.72 for S&P, 2,059.94 for EAFE, 1,939.09 for MidCap, $47.1115 for the EM ETF and 1,606.792 for Russell
Buffer level:	75% of initial basket level
Pricing date:	April 7
Settlement date:	April 15
Underwriter:	HSBC Securities (USA) Inc.
Fees:	None
Cusip:	40435UJ96

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