New Issue: HSBC prices $6.09 million buffered autocallables with rebate return on two indexes

By Susanna Moon

Chicago, June 21 – HSBC USA Inc. priced $6.09 million of buffered autocallable yield notes with rebate return due Dec. 22, 2017 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 9% if each index closes at or above its initial level on any semiannual call date.

If each index finishes at or above the 80% barrier level, the payout at maturity will be par plus the rebate return of 8%.

Otherwise, investors will lose 1.25% for every 1% decline of the worse performing index beyond 20%.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Buffered autocallable yield notes with rebate return
Underlying indexes:	Russell 2000, S&P 500
Amount:	$6.09 million
Maturity:	Dec. 22, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If each index finishes at or above barrier level, par plus 8%; otherwise, 1.25% loss for each 1% decline of the worse performing index beyond 20%
Call:	At par plus annual call premium of 9% if each index closes at or above initial level on Dec. 19, 2016, June 19, 2017 or Dec. 19, 2017
Initial levels:	1,144.698 for Russell and 2,071.22 for S&P
Barrier level:	915.758 for Russell and 1,656.98 for S&P; 80% of initial levels
Pricing date:	June 17
Settlement date:	June 22
Agent:	HSBC Securities (USA) Inc.
Fees:	0.05%
Cusip:	40433UPZ3

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