By Susanna Moon
Chicago, Feb. 24 – HSBC USA Inc. priced $1.8 million of 0% leveraged contingent buffered enhanced notes due March 10, 2016 linked to the Euro Stoxx Banks index, according to a 424B2 filing with the Securities and Exchange.
The payout at maturity will be par plus 150% of any gain in the index, up to a maximum return of 26.8%.
Investors will receive par if the index falls by up to 10% and will be fully exposed to any losses if the index finishes below the 90% barrier level.
HSBC Securities (USA) Inc. is the agent with J.P. Morgan Securities LLC as the dealer.
| Issuer: | HSBC USA Inc.
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| Issue: | Leveraged contingent buffered enhanced notes
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| Underlying index: | Euro Stoxx Banks
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| Amount: | $1.8 million
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| Maturity: | March 10, 2016
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 150% of any gain in the index, capped at 26.8%; par for losses up to 10%; otherwise, full exposure to any losses
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| Initial level: | 145.64
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| Barrier level: | 90% of initial level
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| Pricing date: | Feb. 20
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| Settlement date: | Feb. 25
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| Agent: | HSBC Securities (USA) Inc. with J.P. Morgan Securities LLC as dealer
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| Fees: | 1%
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| Cusip: | 40433BB49
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