New Issue: HSBC prices $4.7 million step-down trigger autocallables tied to S&P 500, Russell

By Susanna Moon

Chicago, March 8 – HSBC USA Inc. priced $4.7 million of 0% step-down trigger autocallable notes due Feb. 28, 2022 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a call return of 7.25% if each index closes at or above its initial level on an annual observation date or at or above its 60% trigger level on the final valuation date.

The payout at maturity will be par plus the return with full exposure to any losses of the worse performing index.

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, S&P 500
Amount:	$4.7 million
Maturity:	Feb. 28, 2022
Coupon:	0%
Price:	Par of $10
Call:	At par plus 7.25% annualized if each index closes at or above its call threshold level on any call observation date; call threshold is equal to initial index levels for every call observation date except for final date, when threshold will be 60% of initial levels
Payout at maturity:	If notes are not called, full exposure to the decline of the worse performing index
Initial levels:	1,394.623 for Russell and 2,363.81 for S&P
Trigger levels:	836.774 for Russell, 1,418.2 for S&P; 60% of initial levels
Strike date:	Feb. 23
Pricing date:	Feb. 24
Settlement date:	Feb. 28
Underwriters:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	2.4%
Cusip:	40435H848

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