By Emma Trincal
New York, Oct. 16 – HSBC USA Inc. priced $1 million of 0% Buffered Uncapped Market Participation Securities with lock-in floor due Jan. 16, 2024 linked to the S&P 500 index, according to a 424B2 filed with the Securities and Exchange Commission.
A lock-in event will occur if the percentage increase in the index, measured relative to the initial level, is greater than or equal to the lock-in-floor on any annual observation date. The lock-in floor is 15%.
If a lock-in event occurs, the payout at maturity will be par plus the greater of the index return and the step return.
The step return is equal to the highest percentage increase in the index on each of the annual observation dates and rounded down to the nearest sum of (i) the lock-in floor and (ii) a multiple of 10% (e.g., 0%, 10%, 20%).
If a lock-in event does not occur and the index finishes above its initial level, the payout at maturity will be par plus the index gain.
If a lock-in event does not occur, investors will receive par if the index finishes flat or falls by up to 15% and lose 1.1765% for each 1% index decline beyond the 15% buffer.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Buffered Uncapped Market Participation Securities with lock-in floor
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| Underlying index: | S&P 500
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| Amount: | $1 million
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| Maturity: | Jan. 16, 2024
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | If the index increases by 15% or more (relative to initial level) on any annual observation date, par plus the greater of the index return and the step return; otherwise, par plus any index gain, par if the index finishes flat or falls by up to 15% and 1.1765% loss for each 1% index decline beyond the 15% buffer
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| Step return: | Highest percentage increase in the index on each of the annual observation dates and rounded down to the nearest sum of (i) the 15% lock-in floor and (ii) a multiple of 10% (e.g., 0%, 10%, 20%)
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| Initial level: | 2,728.37
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| Pricing date: | Oct. 11
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| Settlement date: | Oct. 16
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | None
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| Cusip: | 40435F5J2
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