New Issue: HSBC prices $4 million contingent income autocalls on S&P, Russell, MSCI EAFE ETF

By William Gullotti

Buffalo, N.Y., July 16 – HSBC USA Inc. priced $4 million of contingent income autocallable securities due July 18, 2022 linked to the worst performing of the iShares MSCI EAFE ETF, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes pay a contingent quarterly coupon at an annual rate of 8.65% if each underlier closes at or above its coupon barrier level, 75% of its initial level, on the relevant observation date.

The notes will be automatically called at par plus coupon if each underlier closes at or above initial levels on any quarterly determination date.

If each underlier finishes at or above its 75% downside threshold level, the payout at maturity will be par plus the final contingent coupon. If the final level of any underlier is less than its downside threshold level, investors will be fully exposed to the decline of the worst performer from its initial level.

HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.

Issuer:	HSBC USA Inc.
Issue:	Contingent income autocallable securities
Underlying assets:	iShares MSCI EAFE ETF, Russell 2000 index, S&P 500 index
Amount:	$4,000,000
Maturity:	July 18, 2022
Coupon:	8.65% per year, payable quarterly if each underlier closes at or above coupon barrier on the relevant observation date
Price:	Par
Payout at maturity:	If each underlier finishes at or above downside threshold level, par plus final contingent coupon; if final level of any underlier is less than downside threshold level, full exposure to decline of the worst performer from its initial level
Call option:	Automatically at par plus coupon on any quarterly determination date if each underlier closes at or above initial levels on the relevant observation date
Initial levels:	$79.48 for ETF, 4,369.21 for S&P, 2,238.864 for Russell
Coupon barriers:	$59.61 for ETF, 3,276.908 for S&P, 1,679.148 for Russell; 75% of initial levels
Downside threshold:	$59.61 for ETF, 3,276.908 for S&P, 1,679.148 for Russell; 75% of initial levels
Pricing date:	July 13
Settlement date:	July 20
Agent:	HSBC Securities (USA) Inc.
Distribution:	Morgan Stanley Wealth Management
Fees:	None
Cusip:	40439JGD1

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