New Issue: HSBC sells $2.3 million 5.6% 18-month worst-of autocallables on indexes

By Susanna Moon

Chicago, Jan. 11 – HSBC USA Inc. priced $2.33 million of 5.6% worst-of autocallable fixed-rate notes due Aug. 7, 2018 linked to the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

Interest will be payable semiannually.

The notes will be called at par plus the coupon if each underlying index closes at or above its initial level on any semiannual call date after one year.

The payout at maturity will be par unless either index finishes below the 80% barrier level, in which case investors will lose 1.25% for each 1% decline of the worse performing index.

HSBC Securities (USA) Inc. is the underwriter.

Issuer:	HSBC USA Inc.
Issue:	Worst-of autocallable fixed-rate notes
Underlying indexes:	Russell 2000 index and the S&P 500 index
Amount:	$2,332,000
Maturity:	Aug. 7, 2018
Coupon:	5.6%, payable semiannually
Price:	Par
Payout at maturity:	Par unless either index falls by more than 20%, in which case 1.25% loss per 1% decline of worse performing index beyond 20%, with full exposure to any losses
Call:	At par plus coupon if each index closes at or above initial level on any semiannual date beginning Feb. 2, 2018
Initial levels:	1,357.432 for Russell and 2,280.85 for S&P
Barrier levels:	80% of initial levels
Pricing date:	Feb. 2
Settlement date:	Feb. 7
Underwriter:	HSBC Securities (USA) Inc.
Fees:	0.5%
Cusip:	40433UR24

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