New Issue: HSBC sells $32.66 million market-linked step-up autocalls linked to Russell 2000

By Wendy Van Sickle

Columbus, Ohio, Aug. 31 – HSBC USA Inc. priced $32.66 million of 0% autocallable market-linked step-up notes due Aug. 30, 2024 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a 9.7% annualized premium if the index closes at or above its initial level on either annual call observation date.

If the index finishes above the step-up value, 121% of the initial level, the payout at maturity will be par plus the index gain.

If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of 21%.

Investors will be fully exposed to any index decline.

BofA Securities, Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable market-linked step-up notes
Underlying index:	Russell 2000
Amount:	$32,663,890
Maturity:	Aug. 30, 2024
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the index finishes above the step-up value, par plus the index gain; if the index finishes at or below the step-up level but at or above the initial level, par plus 21%; otherwise, lose 1% for every 1% decline of the index from its initial level
Call:	At par plus a 9.7% annualized call premium if index closes at or above initial level on Sept. 9, 2022 or Aug. 18, 2023
Initial index level:	2,213.979
Step-up value:	2,678.915; 121% of initial value
Pricing date:	Aug. 26
Settlement date:	Sept. 3
Agent:	BofA Securities, Inc.
Fees:	2%
Cusip:	40439K334

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