New Issue: HSBC prices $702,000 leveraged capped basket-linked notes on indexes

Chicago, Feb. 28 – HSBC USA Inc. priced $702,000 of leveraged capped basket-linked notes due May 15, 2024, according to a 424B2 filed with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 26% weight, the FTSE 100 index with a 17% weight, the Swiss Market index with a 12% weight and the S&P/ASX 200 index with an 9% weight.

If the basket return is positive, the payout at maturity will be par plus three times the basket return, subject to a maximum payout of par plus 48.9%.

Investors will be exposed to any decline in the basket return.

HSBC Securities (USA) LLC is the distributor.

Issuer:	HSBC USA Inc.
Issue:	Leveraged capped basket-linked notes
Basket components:	Euro Stoxx 50 (36% weight), Topix (26% weight), FTSE 100 (17% weight), Swiss Market (12% weight) and S&P/ASX 200 (9% weight)
Amount:	$702,000
Maturity:	May 15, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	If the index return is positive, par plus 300% of the basket return, capped at 48.9%; if the basket declines, full exposure to loss
Initial levels:	3,647.87 for Euro Stoxx, 1,851.15 for Topix, 7,347.66 for FTSE, 11,553.66 for Swiss Market, 7,064.682 for S&P/ASX
Pricing date:	May 11, 2022
Settlement date:	May 18, 2022
Agent:	HSBC Securities (USA) LLC
Fees:	None
Cusip:	40439J4J1

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