Published on 7/11/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $43.62 million autocallable step-up notes linked to S&P 500
By Wendy Van Sickle
Columbus, Ohio, July 11 – HSBC USA Inc. priced $43.62 million of 0% autocallable market-linked step-up notes due June 24, 2022 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call premium of 6.75% per year if the index closes at or above the initial index level on any annual observation date.
If the index gains or is flat, the payout at maturity will be par plus the greater of the gain and the step-up payment of 40%.
Investors will receive par if the index falls by up to 15% and will have 1-to-1 exposure to losses beyond 15%.
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 index: | S&P 500
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Amount: | $43,624,600
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Maturity: | June 24, 2022
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Coupon: | 0%
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Price: | Par of $10
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Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 40%; if index falls by up to 15%, par; 1-to-1 exposure to losses beyond 15%
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Call: | At par plus 6.75% per year if index closes at or above initial index level on any annual observation date
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Initial index level: | 2,097.90
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Step-up value: | 2,937.06, 140% of initial level
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Pricing date: | July 7
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Settlement date: | July 13
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Agent: | BofA Merrill Lynch
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Fees: | 2%
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Cusip: | 40434V814
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