New Issue: HSBC sells $6.15 million five-year barrier enhanced notes linked to indexes, funds

By Susanna Moon

Chicago, May 31 – HSBC USA Inc. priced $6.15 million of 0% barrier enhanced participation notes due April 3, 2023 linked to a basket of indexes and exchange-traded funds, according to a 414B2 filing with the Securities and Exchange Commission.

The basket consists of the S&P 500 index with a 40% weight, the Russell 2000 index with a 20% weight, the Euro Stoxx 50 index with a 20% weight and the iShares MSCI Emerging Markets ETF with a 20% weight.

If the basket finishes at or above its initial level, the payout at maturity will be par plus 1.42 times the gain.

Investors will receive par if the basket falls by no more than 40% and will be fully exposed to any losses if it finishes below its 60% barrier level.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Barrier enhanced participation notes
Underlying basket:	S&P 500 index (40% weight), Russell 2000 index (20% weight), Euro Stoxx 50 index (20% weight) and iShares MSCI Emerging Markets ETF (20% weight)
Amount:	$6,151,000
Maturity:	April 3, 2023
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.42 times any basket gain; par if basket falls by up to 40%; otherwise, full exposure to any losses
Initial level:	2,733.29 for S&P, 1,627.609 for Russell, 3,541.82 for Stoxx and $46.49 for fund
Barrier level:	60% of initial level
Pricing date:	May 23
Settlement date:	May 29
Agent:	HSBC Securities (USA) Inc.
Fees:	0.625%
Cusip:	40435FB22

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