New Issue: HSBC sells $5.65 million inverse knock-out notes tied to S&P 500

By Marisa Wong

Morgantown, W.Va., Sept. 28 – HSBC USA Inc. priced $5.65 million 0% inverse knock-out notes due Sept. 16, 2020 linked to the S&P 500 index, according to an FWP filed with the Securities and Exchange Commission.

If the final level is less than the initial level but is greater than or equal to the knock-out level, 59.5% of the initial level, the payout at maturity will be par plus the bearish return, which will be (a) the initial level minus the final level divided by (b) the initial level.

If the final level is greater than or equal to the initial level or is less than the knock-out level, investors will receive par.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Inverse knock-out notes
Underlying index:	S&P 500
Amount:	$5.65 million
Maturity:	Sept. 16, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	If the final level is less than the initial level but is greater than or equal to the knock-out level, par plus the bearish return, which will be (a) the initial level minus the final level divided by (b) the initial level; if the final level is greater than or equal to the initial level or is less than the knock-out level, par
Initial level:	2,904.98
Knock-out level:	1,728.4631, 59.5% of initial level
Final level:	Average of index closing levels on five trading days ending Sept. 11, 2020
Pricing date:	Sept. 14
Settlement date:	Sept. 19
Agent:	HSBC Securities (USA) Inc.
Fees:	1.5%
Cusip:	40435F3C9

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