New Issue: HSBC prices $1.95 million autocallables with contingent return linked to S&P 500, oil ETF

By Angela McDaniels

Tacoma, Wash., Jan. 26 – HSBC USA Inc. priced $1.95 million of 0% autocallable notes with contingent return due Jan. 29, 2020 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 19.5% if each component closes at or above its initial level on any annual call date.

The payout at maturity will be par plus 10% unless the final return of the lesser-performing component is less than negative 30%, in which case investors will be fully exposed to the decline of the lesser-performing component.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable notes with contingent return
Underliers:	S&P 500 index and SPDR S&P Oil & Gas Exploration & Production ETF
Amount:	$1,947,000
Maturity:	Jan. 29, 2020
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 10% unless lesser-performing component finishes below trigger level, in which case full exposure to decline of lesser-performing component
Call:	Automatically at par plus annualized call premium of 19.5% if each component closes at or above initial level on Jan. 25, 2017, Jan. 24, 2018, Jan. 24, 2019 or Jan. 24, 2020
Initial levels:	1,906.90 for index and $26.47 for ETF
Trigger levels:	1,334.83 for index and $18.53 for ETF; 70% of initial levels
Pricing date:	Jan. 22
Settlement date:	Jan. 29
Agent:	HSBC Securities (USA) Inc.
Fees:	2.15%
Cusip:	40433UFG6

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