New Issue: HSBC prices $7.27 million airbag return optimization notes on basket of two indexes

By Toni Weeks

San Luis Obispo, Calif., Dec. 31 - HSBC USA Inc. priced $7.27 million of 0% airbag return optimization securities due Dec. 31, 2019 linked to an equally weighted basket consisting of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 150% of the return, subject to a maximum return of 75.65%.

If the basket return is zero or negative but greater than or equal to negative 40%, the payout will be par. Investors will share in losses at a rate of 1.667% per 1% decline beyond 40%.

HSBC Securities (USA) Inc. is the underwriter with UBS Financial Services Inc. as agent.

Issuer:	HSBC USA Inc.
Issue:	Airbag return optimization notes
Underlying basket:	S&P 500 index and Euro Stoxx 50 index, each weighted 50%
Amount:	$7, 271,000
Maturity:	Dec. 31, 2019
Coupon:	0%
Price:	Par
Payout at maturity:	If basket gains, par plus 1.5 times basket return, subject to maximum return of 75.65%; if basket return is zero or negative but equal to or greater than threshold percentage, par; 1.667% loss for every 1% basket decline beyond 40%
Initial index levels:	1,841.4 for S&P 500, 3,111.37 for Euro Stoxx 50
Initial basket level:	100
Threshold percentage:	40%
Pricing date:	Dec. 27
Settlement date:	Dec. 31
Underwriter:	HSBC Securities (USA) Inc.
Agent:	UBS Financial Services Inc.
Fees:	3.5%
Cusip:	40434B644

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