New Issue: HSBC sells $2.7 million autocallable contingent income barrier notes on indexes, ETF

By William Gullotti

Buffalo, N.Y., April 28 – HSBC USA Inc. priced $2.7 million of autocallable contingent income barrier notes due April 28, 2025 linked to the least performance of the SPDR S&P Regional Banking ETF, the Russell 2000 index and Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 9.5% if each underlier closes at or above its coupon trigger level, 70% of its initial level, on the observation date for that period.

The notes will be called at par plus the coupon if each underlier closes at or above its initial level on any quarterly call observation date after six months.

If the notes are not called and each underlier finishes at or above its coupon trigger level, the payout at maturity will be par plus the final coupon.

If the worst performer finishes below its coupon trigger but at or above its 60% barrier value, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst performer from its initial level.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Autocallable contingent income barrier notes
Underlying assets:	Russell 2000 index, Nasdaq-100 index, SPDR S&P Regional Banking ETF
Amount:	$2.7 million
Maturity:	April 28, 2025
Coupon:	9.5% per year, payable quarterly if each underlier closes at or above coupon trigger on observation date for that period
Price:	Par
Payout at maturity:	If each underlier finishes at or above coupon trigger level, par plus final coupon; if the worst performer finishes below coupon trigger but not below barrier level, par; otherwise, full exposure to decline of worst performer from initial level
Call:	At par plus coupon if each underlier closes at or above initial level on any quarterly call observation date after six months
Initial levels:	$66.28 for ETF, 1,991.462 for Russell, 13,720.45 for Nasdaq
Coupon triggers:	$46.396 for ETF, 1,394.0234 for Russell, 9,604.315 for Nasdaq; 70% of initial levels
Barrier levels:	$39.768 for ETF, 1,194.8772 for Russell, 8,232.27 for Nasdaq; 60% of initial levels
Pricing date:	April 21
Settlement date:	April 26
Agent:	HSBC Securities (USA) Inc.
Fees:	2.5%
Cusip:	40439JW76

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