New Issue: HSBC prices $5 million step down trigger autocalls on S&P, Russell, Dow

By Kiku Steinfeld

Chicago, April 1 – HSBC USA Inc. priced $5 million of 0% step down trigger autocallable notes due March 13, 2024 linked to the lesser performing of the S&P 500 index, the Russell 2000 index and the Dow Jones industrial average, according to a 424B2 filing with the Securities and Exchange Commission.

After one year, the notes will be called at par $10 plus 9.57% annualized if each index closes at or above its initial level on any quarterly review date or at or above its 70% downside threshold on the final valuation date.

Otherwise, the payout will be par plus the return of the worst performing index with full exposure to any losses.

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

Issuer:	HSBC USA Inc.
Issue:	Step down trigger autocallable notes
Underlying indexes:	S&P 500, Russell 2000 and Dow Jones industrial average
Amount:	$5 million
Maturity:	March 13, 2024
Coupon:	0%
Price:	Par of $10
Call:	After one year, at par plus 9.57% annualized if each index closes at or above its initial level on any quarterly review date or at or above its downside threshold on final valuation date
Payout at maturity:	1% for each 1% decline of worst performing index
Initial index levels:	3,821.35 for S&P, 2,202.985 for Russell and 31,802.44 for Dow
Downside thresholds:	2,674.945 for S&P 1,542.0895 for Russell and 22,261.708 for Dow; 70% of initial levels
Pricing date:	March 8
Settlement date:	March 11
Agents:	HSBC Securities (USA) Inc. and UBS Financial Services Inc.
Fees:	0.5%
Cusip:	40438U655

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