By Angela McDaniels
Tacoma, Wash., March 14 – HSBC USA Inc. priced $1 million of 0% dual directional knock-out notes due March 24, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index closes above the upside knock-out level, 119.3% of the initial index level, or below the downside knock-out level, 70% of the initial index level, on any day from and including the pricing date through but excluding March 15, 2021.
If a knock-out event has not occurred and the final index level is less than the initial index level, the payout at maturity will be par plus the absolute value of the index return, subject to a maximum return of 30%.
If a knock-out event has not occurred and the final index level is greater than or equal to the initial index level, the payout will be par plus the lesser of the index return and 19.3%.
If a knock-out event has occurred, the payout will be par.
HSBC Securities (USA) Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | HSBC USA Inc.
|
| Issue: | Dual directional knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $1 million
|
| Maturity: | March 24, 2021
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If knock-out event has not occurred and final index level is less than initial index level, par plus lesser of absolute value of index return and 30%; if knock-out event has not occurred and final index level is greater than or equal to initial index level, par plus lesser of index return and 19.3%; if knock-out event has occurred, par
|
| Knock-out event: | Index closes above upside knock-out level or below downside knock-out level on any day from and including pricing date through but excluding March 15, 2021
|
| Initial level: | 2,791.52
|
| Final level: | Average of index’s closing levels on five trading days ending March 19, 2021
|
| Upside knock-out: | 3,330.28, 119.3% of initial level
|
| Downside knock-out: | 1,954.06, 70% of initial level
|
| Pricing date: | March 12
|
| Trade date: | March 13
|
| Settlement date: | March 18
|
| Agents: | HSBC Securities (USA) Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 40435UJM7
|
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