By Wendy Van Sickle
Columbus, Ohio, June 8 – HSBC USA Inc. priced $4.1 million of 0% dual directional contingent buffered notes due June 9, 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.
If the final level of each index is greater than its initial level, the payout at maturity will be the greater of par plus the return of the lesser-performing index and the 26.5% contingent minimum return.
If the final level of either index is equal to its initial level or is less than its initial level by up to 35%, the payout will be par plus the greater of the absolute value of the lesser-performing index’s return and the contingent minimum return.
If the final level of either index is less than its initial level by more than 35%, investors will lose 1% for every 1% that the lesser-performing index’s final level is below its initial level.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the placement agents.
| Issuer: | HSBC USA Inc.
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| Issue: | Dual directional contingent buffered notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $4.1 million
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| Maturity: | June 9, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes above its initial level, par plus greater of return of lesser-performing index and 26.5%; if either index is flat or falls by up to 35%, par plus greater of absolute value of lesser-performing index’s return and 26.5%; if either index falls by more than 35%, full exposure to decline of lesser-performing index
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| Initial index levels: | 2,429.33 for S&P 500 and 1,394.899 for Russell 2000
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| Pricing date: | June 6
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| Settlement date: | June 9
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| Placement agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
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| Fees: | 3%
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| Cusip: | 40433U7J9
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