New Issue: HSBC prices $918,000 contingent return callable notes on S&P, Russell

By Susanna Moon

Chicago, April 12 – HSBC USA Inc. priced $918,000 of callable notes with contingent return due April 13, 2021 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 pay a contingent monthly coupon at an annual rate of 7% if each index closes at or above its 65% coupon trigger level on the observation date for that month.

The notes are callable on any quarterly review date after one year.

The payout at maturity will be par plus the contingent coupon unless either index finishes below its 65% barrier 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:	Callable notes with contingent return
Underlying indexes:	S&P 500 and Russell 2000
Amount:	$918,000
Maturity:	April 13, 2021
Coupon:	7%, payable monthly if each index closes at or above its 65% coupon trigger level on the observation date for that month
Price:	Par
Payout at maturity:	Par plus contingent coupon unless either index finishes below its barrier level, in which case full exposure to any losses of worse performing index
Call option:	At par on any quarterly call date beginning April 13, 2017
Initial levels:	2,047.60 for S&P and 1,097.314 for Russell
Barrier levels:	1,330.94 for S&P and 713.254 for Russell; 65% of initial levels
Pricing date:	April 8
Settlement date:	April 13
Agent:	HSBC Securities (USA) Inc.
Fees:	3.625%
Cusip:	40433ULJ3

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