By Marisa Wong
Los Angeles, Feb. 2 – HSBC USA Inc. priced $24.58 million of 0% autocallable market-linked step-up notes due Jan. 26, 2024 tied to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 12.67% if the index closes at or above the initial level on an annual observation date.
If the notes are not called and the index finishes above the step-up value, 130% of the initial level, the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of 30%.
Investors will be fully exposed to any index decline.
BofA Securities, Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $24,577,120
|
| Maturity: | Jan. 26, 2024
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If the index finishes above the step-up value, par plus index gain; if the index finishes at or below the step-up level but at or above the initial level, par plus 30%; full exposure to losses
|
| Call: | Automatically at par plus an annualized call premium of 12.67% if the index closes at or above the initial level on an annual observation date
|
| Initial index level: | 2,106.609
|
| Step-up level: | 2,738.592, 130% of initial level
|
| Pricing date: | Jan. 28
|
| Settlement date: | Feb. 4
|
| Agent: | BofA Securities, Inc.
|
| Fees: | 2%
|
| Cusip: | 40438Q126
|
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