New Issue: HSBC prices $10.64 million contingent return barrier autocallables on S&P, fund

By Susanna Moon

Chicago, Dec. 28 – HSBC USA Inc. priced $10.64 million of 0% autocallable barrier notes with contingent return due Jan. 4, 2021 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 14% if each component closes at or above its initial level on any annual call date after one year.

The payout at maturity will be par plus a 10% contingent return unless either component finishes below its 50% 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 barrier notes with contingent return
Underlying:	S&P 500 index, SPDR S&P Oil & Gas Exploration and Production ETF
Amount:	$10,641,000
Maturity:	Jan. 4, 2021
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 14% if each component closes at or above the initial level on any annual call date beginning Dec. 29, 2017
Initial levels:	2,263.79 for S&P, $42.23 for oil fund
Trigger levels:	1,131.895 for S&P, $21.115 for oil fund; 50% of initial levels
Pricing date:	Dec. 23
Settlement date:	Dec. 30
Agent:	HSBC Securities (USA) Inc.
Fees:	2.15%
Cusip:	40433UB21

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