HSBC to price buffered AMPS linked to S&P 500 and Russell 2000 indexes

By Devika Patel

Knoxville, Tenn., April 13 – HSBC USA Inc. plans to price 3.25-year 0% buffered Accelerated Market Participation Securities linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filed with the Securities and Exchange Commission.

If the level of the least performing underlying increases by more than 3%, the payout at maturity will be 10% plus 227.08% to 243.75% of the return above 3%, subject to a maximum return of 37.25% to 39.25%. The exact participation rate and cap will be set at pricing.

If the level of the least performing underlying does not increase by more than 3% or falls by up to 10%, the payout at maturity will be 76.92% times the sum of 10% plus the return of the least performing underlying.

Investors will receive par if the least performing underlying falls by up to 15% and will have exposure to declines beyond 15%.

HSBC Securities (USA) Inc. is the agent.

The Cusip is 40433ULK0.

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