New Issue: HSBC prices $1.9 million buffered autocallables with rebate return on fund, index

By Susanna Moon

Chicago, June 29 – HSBC USA Inc. priced $1.9 million of buffered autocallable yield notes with rebate return due Dec. 13, 2018 linked to the worse performing of the Russell 2000 index and the iShares MSCI EAFE 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 9% unless underlying component closes at or above its initial level on any semiannual review date beginning Dec. 8, 2017.

The payout at maturity will be par plus 7% unless either component finishes below its 80% barrier level, in which case investors will lose 1.25% for each 1% decline of the worse performing component beyond 20%.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Buffered autocallable yield notes with rebate return
Underliers:	Russell 2000, iShares MSCI EAFE ETF
Amount:	$1,903,000
Maturity:	Dec. 13, 2018
Coupon:	0%
Price:	Par
Payout at maturity:	If either component finishes at or above 80% barrier, par plus 7%; otherwise, 1.25% loss per 1% decline of worse performing component beyond 20%
Call:	At par plus annualized call premium of 9% if each underlier closes at or above initial level on Dec. 8, 2017, June 13, 2018 or Dec. 13, 2018
Initial levels:	1,415.612 for index and $66.56 for fund
Barrier level:	1,132.4896 for index and $53.248 for fund, 80% of initial levels
Pricing date:	June 8
Settlement date:	June 13
Agent:	HSBC Securities (USA) Inc.
Fees:	0.05%
Cusip:	40433U7K6

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