New Issue: HSBC prices $1.02 million trigger absolute return step notes linked to S&P

By Wendy Van Sickle

Columbus, Ohio, Feb. 2 – HSBC USA Inc. priced $1.02 million of 0% trigger absolute return step securities due Jan. 31, 2022 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, the payout at maturity will be par of $10 plus the greater of the gain and the step return of 38%.

If the index falls by up to the 70% 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:	$1,023,500
Maturity:	Jan. 31, 2022
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If the final index level is greater than or equal to the initial index level, par plus the greater of 38% and the index return; if the final index level is less than the initial index level but greater than or equal to the downside threshold level, par plus the absolute value of the index return; otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level
Initial index level:	2,296.68
Downside threshold:	1,607.68, 70% of initial level
Pricing date:	Jan. 26
Settlement date:	Jan. 31
Agents:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	0.5%
Cusip:	40435C815

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