New Issue: HSBC prices $2.5 million buffered autocallable yield notes linked to S&P, Russell

By Wendy Van Sickle

Columbus, Ohio, May 10 – HSBC USA Inc. priced $2.5 million of 0% buffered autocallable yield notes due Nov. 4, 2020 linked to the lesser performing of 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 premium of 10% per year if each index closes at or above its initial level on any semiannual call observation date.

If the notes are not called, the payout at maturity will be par unless either index drops by more than 20%, in which case investors will lose 1.25% for each 1% that the lesser performing index declines beyond 20%.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Buffered autocallable yield notes
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$2.5 million
Maturity:	Nov. 4, 2020
Coupon:	0%
Price:	Par
Call:	At par plus call premium of 10% per year if each index closes at or above initial level on any semiannual call observation date
Payout at maturity:	Par unless either index falls by more than 20%, in which case 1.25% loss for each 1% decline of lesser-performing index beyond 20%
Initial levels:	2,917.52 for S&P 500 and 1,582.651 for Russell 2000
Buffer values:	2,334.016 for S&P 500 and 1,266.1208 for Russell 2000; 80% of initial levels
Pricing date:	May 2
Settlement date:	May 7
Underwriter:	HSBC Securities (USA) Inc.
Fees:	0.05%
Cusip:	40435UNL4

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