By Angela McDaniels
Tacoma, Wash., April 17 – HSBC USA Inc. priced $1 million of 0% dual directional leveraged market plus notes due April 12, 2022 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the lesser-performing index’s final level is less than its initial level by more than 45%.
If the lesser-performing index finishes above its initial level, the payout at maturity will be par plus 110% of the lesser-performing index’s return.
If the lesser-performing index finishes below its initial level and a knock-out event has not occurred, the payout will be par plus the absolute return of the lesser-performing index.
If the lesser-performing index finishes below its initial level and a knock-out event has occurred, investors will lose 1% for every 1% that the lesser-performing index finishes below its initial level.
HSBC Securities (USA) Inc. is the underwriter with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Dual directional leveraged market plus notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1 million
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| Maturity: | April 12, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If lesser-performing index finishes above initial level, par plus 110% of lesser-performing index’s return; if lesser-performing index finishes below initial level but does not decline by more than 45%, par plus absolute return of lesser-performing index; if lesser-performing index declines by more than 45%, 1% loss for every 1% that lesser-performing index finishes below initial level
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| Initial index levels: | 2,355.54 for S&P 500 and 1,364.563 for Russell 2000
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| Pricing date: | April 7
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| Settlement date: | April 12
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| Underwriter: | HSBC Securities (USA) Inc.
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| Placement agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 3%
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| Cusip: | 40433U3K0
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