New Issue: HSBC prices $7.89 million barrier capped market participation notes on mixed basket

By William Gullotti

Buffalo, N.Y., Oct. 12 – HSBC USA Inc. priced $7.89 million of 0% barrier capped market participation securities due Oct. 2, 2023 linked to a weighted basket, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 40% weight, the iShares MSCI EAFE ETF with a 30% weight, the S&P MidCap 400 index with a 20% weight and the Russell 2000 index with a 10% weight.

If the basket return is positive, the payout at maturity will be par plus the basket return, capped at par plus 26%.

Investors will receive par if the basket falls by up to 20%.

Otherwise, investors will be fully exposed to the basket’s decline from its initial level.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Barrier capped market participation securities
Underlying assets:	S&P 500 index (40% weight), iShares MSCI EAFE ETF (30% weight), S&P MidCap 400 index (20% weight), Russell 2000 (10% weight)
Amount:	$7,885,000
Maturity:	Oct. 2, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	If return of the basket is positive, par plus the basket return capped at 26%; par if the basket falls by up to 20%; otherwise, full exposure to the basket’s decline from its initial level
Initial levels:	4,443.11 for S&P 500, $80.25 for ETF, 2,723.45 for S&P MidCap, 2,281.003 for Russell
Barrier levels:	80% of initial basket level
Pricing date:	Sept. 27
Settlement date:	Sept. 30
Agent:	HSBC Securities (USA) Inc.
Fees:	0.65%
Cusip:	40439JLS2

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