New Issue: HSBC prices $1 million contingent coupon autocallables tied to S&P 500

By Susanna Moon

Chicago, May 8 – HSBC USA Inc. priced $1 million of autocallable contingent coupon buffered securities with trigger upside and downside participation due May 4, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annual rate of 6% if the index closes at or above the 90% threshold on the observation date for that month.

The notes will be called at par if the index closes at or above its initial level on any review date.

The payout at maturity will be par unless the index falls by more than 10%, in which case investors will be fully exposed to any losses.

Issuer:	HSBC USA Inc.
Issue:	Autocallable contingent coupon buffered securities with trigger upside and downside participation
Underlying index:	S&P 500
Amount:	$1 million
Maturity:	May 4, 2022
Coupon:	6% annualized, payable monthly if index closes at or above 90% threshold on observation date for that month
Price:	Par
Payout at maturity:	Par unless any index falls by more than 10%, in which case 1.111% loss per 1% decline
Call:	At par if each index closes at or above 90% call level on any review date
Initial index level:	2,388.33
Threshold level:	2,149.497, 90% of initial level
Pricing date:	May 1
Settlement date:	May 4
Underwriter:	HSBC Securities (USA) Inc.
Fees:	None
Cusip:	40433U4V5

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