By Susanna Moon
Chicago, Oct. 22 – HSBC USA Inc. priced $19.54 million of autocallable market-linked step-up notes due Sept. 23, 2021 linked to a basket of indexes, according to an FWP with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with a weight of 40%, the FTSE 100 index with a weight of 20%, the Nikkei Stock Average index with a weight of 20%, the Swiss Market index with a weight of 7.5%, the S&P/ASX 200 index with a weight of 7.5% and the Hang Seng index with a weight of 5%.
The notes will be called at an annual call premium of 13.6% if the basket closes at or above its initial level on either annual call date.
If the basket finishes at or above the step-up level – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.
Otherwise, investors will lose 1% for each 1% decline.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable market-linked step-up notes
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| Underlying basket: | Euro Stoxx 50 index (40% weight), FTSE 100 index (20% weight), Nikkei Stock Average index (20% weight), Swiss Market index (7.5% weight), the S&P/ASX 200 index (7.5% weight) and the Hang Seng index (5% weight)
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| Amount: | $19,544,010
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| Maturity: | Sept. 23, 2021
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 13.6% per year if basket closes at or above initial level on an annual observation date
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| Payout at maturity: | If basket finishes above step-up level, par plus gain; if basket gains up to step-up level, par plus 30%; exposure to declines
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| Step-up level: | 130% of initial level
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| Pricing date: | Sept. 27
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| Settlement date: | Oct. 5
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 40435X330
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