By Angela McDaniels
Tacoma, Wash., Oct. 11 – HSBC USA Inc. priced $10 million of 0% leveraged lookback contingent barrier enhanced notes due Oct. 13, 2021 linked to the least performing of the Euro Stoxx 50 index, the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
For each index, its initial level will be its lowest closing level on any trading day during the period from the pricing date to and including April 7, 2017.
If the final level of the least-performing index is greater than its initial level, the payout at maturity will be par plus 500% of the return of the least-performing index, subject to a maximum return of 81.25%.
If the final level of the least-performing index is equal to or less than its initial level but greater than or equal to its barrier level, 70% of its initial level, the payout will be par.
If the final level of the least-performing index is less than its barrier level, investors will lose 1% for each 1% that the final level of the least-performing index declines from its initial level.
HSBC Securities (USA) Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Leveraged lookback continent barrier enhanced notes
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| Underlying indexes: | Euro Stoxx 50, Russell 2000 and S&P 500
|
| Amount: | $10 million
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| Maturity: | Oct. 13, 2021
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If final level of least-performing index is greater than its initial level, par plus 500% of return of least-performing index, subject to 81.25% maximum return; if final level of least-performing index is equal to or less than its initial level but greater than or equal to its barrier level, par; if final level of least-performing index is less than its barrier level, 1% loss for each 1% that final level of least-performing index declines from its initial level
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| Initial levels: | Lowest closing level on any trading day during the period from the pricing date to and including April 7, 2017
|
| Barrier level: | 70% of its initial level
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| Pricing date: | Oct. 7
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| Settlement date: | Oct. 13
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| Agents: | HSBC Securities (USA) Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 2%
|
| Cusip: | 40433UXR2
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