New Issue: HSBC prices $13.39 million trigger absolute return step notes linked to S&P 500

By Susanna Moon

Chicago, June 6 – HSBC USA Inc. priced $13.39 million of 0% trigger absolute return step securities due May 31, 2023 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index finishes at or above its initial level, also called the step barrier, the payout at maturity will be par of $10 plus the greater of the gain and the step return of 30.65%.

If the index falls by up to the 75% downside threshold level, the payout will be par plus the absolute value of the return.

Otherwise, investors will be fully exposed to any losses.

UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.

Issuer:	HSBC USA Inc.
Issue:	Trigger absolute return step securities
Underlying index:	S&P 500
Amount:	$13,391,640
Maturity:	May 31, 2023
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If each index gains, par plus greater of 30.65% and index return; if index falls by up to 25%, par plus absolute return; otherwise, 1% loss per 1% decline
Initial index level:	2,721.33
Downside threshold:	2,041, 75% of initial level
Pricing date:	May 25
Settlement date:	May 31
Agents:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	3.5%
Cusip:	40435M383

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