Published on 11/29/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $9.86 million step-up notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., Nov. 29 – HSBC USA Inc. priced $9.86 million of 0% market-linked step-up notes due Nov. 26, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If the final index level is greater than the step-up value, the payout at maturity will be par of $10 plus the index return. The step-up value is 138.51% of the initial index level.
If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 38.51%.
If the final index level is less than the initial level by up to 10%, the payout will be par. Otherwise, investors will lose 1% for every 1% that the index declines beyond 10%.
BofA Merrill Lynch is the agent.
Issuer: | HSBC USA Inc.
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Issue: | Market-linked step-up notes
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Underlying index: | S&P 500
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Amount: | $9,862,100
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Maturity: | Nov. 26, 2021
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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 38.51%; if final index level is less than initial level by up to 10%, par; otherwise, 1% loss for every 1% that index declines beyond 10%
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Initial index level: | 2,202.94
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Step-up value: | 3,051.29, 138.51% of initial level
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Threshold value: | 1,982.65, 90% of initial level
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Pricing date: | Nov. 22
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Settlement date: | Nov. 30
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Agent: | BofA Merrill Lynch
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Fees: | 2.5%
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Cusip: | 40435B411
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