New Issue: HSBC prices $16.6 million step-up autocallables linked to basket

By Angela McDaniels

Tacoma, Wash., Dec. 2 – HSBC USA Inc. priced $16.6 million of 0% autocallable market-linked step-up notes due Nov. 21, 2024 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the Euro Stoxx 50 index with a 40% weight, the FTSE 100 index with a 20% weight, the Nikkei Stock Average index with a 20% weight, the Swiss Market index with a 7.5% weight, the S&P/ASX 200 index with a 7.5% weight and the Hang Seng index with a 5% weight.

The notes will be called at par of $10 plus a call premium of 7.75% per year if the basket closes at or above the initial level on any of four annual observation dates.

If the notes are not called and the basket finishes above the step-up value, 140% of the initial level, the payout at maturity will be par plus the basket gain.

If the basket finishes at or below the step-up level but at or above the initial level, the payout will be par plus 40%.

If the final basket level is less than the initial level but greater than or equal to the threshold level, 85% of the initial level, the payout will be par.

If the final basket level is less than the threshold level, investors will lose 1% for every 1% that the basket declines beyond 15%.

BofA Securities, Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable market-linked step-up notes
Underlying indexes:	Euro Stoxx 50 (40% weight), FTSE 100 (20% weight), Nikkei Stock Average (20% weight), Swiss Market (7.5% weight), S&P/ASX 200 (7.5% weight) and Hang Seng (5% weight)
Amount:	$16,603,350
Maturity:	Nov. 21, 2024
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If basket finishes above step-up value, par plus basket gain; if basket finishes at or below step-up level but at or above initial level, par plus 40%; if basket finishes below initial level but declines by no more than 15%, par; otherwise, 1% loss for every 1% decline beyond 15%
Call:	Automatically at par plus call premium of 7.75% per year if basket closes at or above initial level on Dec. 3, 2020, Nov. 11, 2021, Nov. 10, 2022 or Nov. 16, 2023
Initial levels:	3,705.55 for Euro Stoxx 50, 7,403.14 for FTSE 100, 23,373.32 for Nikkei Stock Average, 10,506.93 for Swiss Market, 6,787.530 for S&P/ASX 200 and 26,913.92 for Hang Seng
Step-up value:	140% of initial level
Pricing date:	Nov. 26
Settlement date:	Dec. 4
Agent:	BofA Securities, Inc.
Fees:	2%
Cusip:	40438B566

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