New Issue: HSBC prices $3.63 million contingent return autocallables on S&P, fund

By Susanna Moon

Chicago, March 22 – HSBC USA Inc. priced $3.63 million of 0% autocallable notes with contingent return due March 30, 2020 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 18% if each component closes at or above its initial level on any annual call date.

The payout at maturity will be par plus a 10% contingent return payment unless either component finishes below its 60% trigger 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:	Autocallable notes with contingent return
Underlying:	S&P 500 index, SPDR S&P Oil & Gas Exploration and Production ETF
Amount:	$3,363,000
Maturity:	March 30, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% unless either underlying finishes below its trigger level, in which case investors will be fully exposed to any losses of the worst performing component
Call:	At par plus an annualized call premium of 18% if each component closes at or above the initial level on any annual call date
Initial levels:	2,049.58 for S&P, $30.95 for oil fund
Trigger levels:	1,229.75 for S&P, $18.57 for oil fund; 60% of initial levels
Pricing date:	March 18
Settlement date:	March 28
Agent:	HSBC Securities (USA) Inc.
Fees:	2.15%
Cusip:	40433UHU3

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