Published on 4/24/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $27.69 million enhanced step-up notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., April 24 – HSBC USA Inc. priced $27.69 million of 0% enhanced market-linked step-up notes with buffer due April 29, 2022 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, 128.45% of the initial index level, the payout at maturity will be par plus the index return.
If the final index level is greater than or equal to the threshold level, 90% of the initial index level, but less than or equal to the step-up value, the payout will be par plus the step-up payment, 28.45%.
If the final index level is less than the threshold level, 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: | Enhanced market-linked step-up notes with buffer
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Underlying index: | S&P 500
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Amount: | $27,688,140
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Maturity: | April 29, 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 threshold level but less than or equal to step-up value, par plus 28.45%; if final index level is less than threshold level, 1% loss for every 1% that index declines beyond 10%
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Initial index level: | 2,355.84
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Step-up value: | 3,026.08, 128.45% of initial level
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Threshold level: | 2,120.26, 90% of initial level
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Pricing date: | April 20
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Settlement date: | April 27
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Agent: | BofA Merrill Lynch
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Fees: | 2.5%
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Cusip: | 40435D821
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