New Issue: HSBC prices $22.12 million airbag performance notes linked to S&P 500 Low Volatility

By Susanna Moon

Chicago, Nov. 1 - HSBC USA Inc. priced $22.12 million of 0% airbag performance securities due Jan. 31, 2018 linked to the S&P 500 Low Volatility index, according to a 424B2 filing with the Securities and Exchange Commission.

The payout at maturity will be par plus 109.5% of any gain in the index.

Investors will receive par if the index falls by up to 50% and will lose 2% for each 1% decline beyond 50%.

UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.

Issuer:	HSBC USA Inc.
Issue:	Airbag performance securities
Underlying index:	S&P 500 Low Volatility index
Amount:	$22,119,000
Maturity:	Jan. 31, 2018
Coupon:	0%
Price:	Par of $10
Payout at maturity:	Par plus 109.5% of any index gain; par for losses up to 50%; 2% loss for each 1% drop beyond 50%
Initial level:	4,497.33
Trigger level:	50% of initial level
Pricing date:	Oct. 26
Settlement date:	Oct. 31
Agents:	UBS Financial Services Inc. and HSBC Securities (USA) Inc.
Fees:	3.5%
Cusip:	40433T786

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