By Wendy Van Sickle
Columbus, Ohio, Jan. 30 – HSBC USA Inc. priced $2 million of 0% buffered return enhanced notes due Oct. 4, 2023 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 each index finishes above its initial level, the payout at maturity will be par plus the lesser of 2.4575 times the gain of the worse performing index plus 8% and 57.15%.
If either index falls but neither by more than 20%, the payout will be par plus 0.4 times the difference between the return of the lesser performing index and 80% of the initial level.
Otherwise, investors will lose 1% for each 1% decline of the worse performing index beyond 20%.
J.P. Morgan Securities LLC is the placement agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Buffered return enhanced notes
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $2 million
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| Maturity: | Oct. 4, 2023
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index gains, par plus the lesser of 2.4575 times the gain of the worse performing index plus 8% and 57.15%; if either index falls by up to 20%, par plus 0.4 times the difference between the return of the lesser performing index and 80% of the initial level; otherwise, 1% loss for each 1% decline of worse performing index beyond 20%
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| Initial levels: | Average of closing levels on each trading day from pricing date until April 25
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| Final levels: | Average of closing levels on each trading day from July 3, 2023 through Sept. 29, 2023
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| Pricing date: | Jan. 25
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| Settlement date: | Jan. 30
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| Placement agent: | J.P. Morgan Securities LLC
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| Fees: | 0.5%
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| Cusip: | 40435UEN0
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