New Issue: HSBC prices $10.21 million Capped Leveraged Index Return Notes on EM-funds basket

By Wendy Van Sickle

Columbus, Ohio, Feb. 4 – HSBC USA Inc. priced $10.21 million of 0% Capped Leveraged Index Return Notes due July 29, 2022 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the iShares MSCI Brazil ETF, the iShares MSCI India ETF, the KraneShares CSI China Internet ETF and the Xtrackers Harvest CSI 300 China A-Shares ETF. Each fund has an initial weight of 25%.

If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return of 33.2%.

Investors will lose 1% for each 1% decline.

BofA Merrill Lynch is the agent.

Issuer:	HSBC USA Inc.
Issue:	Capped Leveraged Index Return Notes
Underlying indexes:	iShares MSCI Brazil ETF, iShares MSCI India ETF, KraneShares CSI China Internet ETF and Xtrackers Harvest CSI 300 China A-Shares ETF; each fund has 25% weight
Amount:	$10,205,000
Maturity:	July 29, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 200% of any basket gain, capped at 33.2%; otherwise, 1% loss for every 1% loss of basket
Initial index levels:	$43.76 for Brazil ETF, $34.49 for India ETF, $48.09 for China Internet ETF and $26.42 for China A-Shares ETF
Final level:	Average of basket levels on five trading days ending July 26, 2022
Pricing date:	Jan. 31
Settlement date:	Feb. 7
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	40438B178

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