New Issue: HSBC prices $6.8 million autocallable market-linked step-up notes on Russell

By Sarah Lizee

Olympia, Wash., Sept. 1 – HSBC USA Inc. priced $6.8 million of 0% autocallable market-linked step-up notes due Aug. 29, 2025 linked to the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of 6.52% if the index closes at or above its initial level on any annual call date.

If the index finishes above the step-up value – 140% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index finishes flat or gains by up to the step-up level, the payout will be par plus the step-up payment of 40%.

Investors will receive par if the index declines by up to 15% and will lose 1% for every 1% decline beyond 15%.

BofA Securities, Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable market-linked step-up notes
Underlying index:	Russell 2000 index
Amount:	$6,803,580
Maturity:	Aug. 29, 2025
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes above the step-up level, par plus the index gain; if the index finishes flat or gains up to the step-up level, par plus 40%; par if the index declines by up to 15%; 1% loss for every 1% decline beyond 15%
Call:	At par plus 6.52% per year if the index closes at or above its initial level on any annual observation date
Initial level:	1,564.563
Step-up value:	2,190.388, 140% of initial level
Buffer level:	1,329.879, 85% of initial level
Pricing date:	Aug. 27
Settlement date:	Sept. 3
Underwriter:	BofA Securities, Inc.
Fees:	2%
Cusip:	40438J296

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