By Wendy Van Sickle
Columbus, Ohio, Dec. 30 – HSBC USA Inc. priced $106,000 of 0% dual directional buffered notes due March 29, 2021 linked to the lesser performing of the Energy Select Sector SPDR fund and the SPDR S&P Oil & Gas Exploration & Production ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The payout at maturity will be par plus any gain of the lesser performing asset, capped at par plus 20%.
If either asset falls but the lesser performer declines by no more than the 15% buffer amount then the payout at maturity will be par plus the absolute value of the return of the lesser performing asset.
If the lesser performing asset declines by more than 15% the payout will be par less the loss of that asset beyond 15%.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Dual directional buffered notes
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| Underlying assets: | Energy Select Sector SPDR fund and SPDR S&P Oil & Gas Exploration & Production ETF
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| Amount: | $106,000
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| Maturity: | March 29, 2021
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| Coupon: | 0%
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| Price: | Par of $1,000
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| Payout at maturity: | Par plus any gain of laggard asset capped at par plus 20%; if laggard asset falls by up to 15%, par plus absolute value of its return; otherwise, exposure to losses of laggard asset beyond 15%
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| Initial values: | $23.40 for energy and $61.37 for oil
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| Buffer levels: | $19.89 for energy and $52.1645 for oil, 85% of initial levels
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| Pricing date: | Dec. 19
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| Settlement date: | Dec. 27
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.5%
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| Cusip: | 40435UQ31
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