New Issue: HSBC prices $5.2 million contingent return barrier autocallables on index, fund

By Susanna Moon

Chicago, Jan. 18 – HSBC USA Inc. priced $5.2 million of 0% autocallable barrier notes with contingent return due Jan. 20, 2021 linked to the Russell 2000 index and the SPDR S&P Bank exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 14% if each component closes at or above its initial level on any annual call date after one year.

The payout at maturity will be par plus a 10% contingent return unless either component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable barrier notes with contingent return
Underlying:	Russell 2000 index, SPDR S&P Bank ETF
Amount:	$5,197,000
Maturity:	Jan. 20, 2021
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% unless either underlying finishes below its trigger level, in which case investors will be fully exposed to any losses of the worst performing component
Call:	At par plus an annualized call premium of 14% if each component closes at or above the initial level on any annual call date beginning Jan. 17, 2018
Initial levels:	1,372.047 for Russell, $43.86 for bank fund
Trigger levels:	960.4329 for Russell, $30.702 for bank fund; 70% of initial levels
Pricing date:	Jan. 13
Settlement date:	Jan. 20
Agent:	HSBC Securities (USA) Inc.
Fees:	2.15%
Cusip:	40433UK62

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