New Issue: HSBC prices $51.25 million step-down trigger autocalls on S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, May 17 – HSBC USA Inc. priced $51.25 million of 0% step-down trigger autocallable notes due May 17, 2027 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

After one year, the notes will be automatically called at par of $10 plus 10.56% per year if each asset closes at or above its initial level on any quarterly observation date, except the final one when the call threshold will be the 75% downside threshold level.

Investors will be fully exposed to the losses of the worst performer if either index finishes below 75% of its initial level.

UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.

Issuer:	HSBC USA Inc.
Issue:	Step-down trigger autocallable notes
Underlying indexes:	Russell 2000 index and S&P 500 index
Amount:	$51.25 million
Maturity:	May 17, 2027
Coupon:	0%
Price:	Par of $10
Call:	After one year, at par plus 10.56% per year if each index closes at or above its initial level on any quarterly observation date except the final one, when the call level will be the step-down threshold
Payout at maturity:	If index finishes above 75% of initial level, 52.8% final call return; otherwise, full exposure to losses of worst performer
Initial levels:	3,930.08 for S&P 500, 1,739.382 for Russell 2000
Downside thresholds:	2,947.56 for S&P 500, 1,304.537 for Russell 2000, 70% of initial levels
Pricing date:	May 12
Settlement date:	May 17
Agents:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	1%
Cusip:	40390L453

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