By Marisa Wong
Morgantown, W.Va., June 5 – HSBC USA Inc. priced $19.17 million of 0% autocallable market-linked step-up notes due May 27, 2022 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a call premium of 6.6% per year if the index closes at or above its initial level on any annual observation date.
If the index finishes above the step-up value – 135% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index finishes flat or gains by up to the step-up level, the payout will be par plus the step-up payment of 35%.
If the index falls by up to 15%, the payout will be par.
Investors will be exposed to any index decline beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $19,170,030
|
| Maturity: | May 27, 2022
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | If the index finishes above the step-up value, par plus the index gain; if the index finishes flat or increases up to the step-up level, par plus 35%; par if index falls by up to 15%; exposure to declines beyond 15%
|
| Call: | At par plus 6.6% per year if the index closes at or above its initial level on any annual observation date
|
| Initial level: | 1,383.388
|
| Step-up value: | 1,867.574, 135% of initial level
|
| Threshold level: | 1,175.880, 85% of initial level
|
| Pricing date: | May 25
|
| Settlement date: | June 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40435D573
|
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