By Susanna Moon
Chicago, March 8 – HSBC USA Inc. priced $4.55 million of 0% autocallable market-linked step-up notes due Feb. 26, 2021 linked to the MSCI Emerging Markets index, according to a 424B2 filing with the Securities and Exchange.
The notes will be called at par plus an annual call premium of 11.6% if the index closes at or above its initial level on any annual observation date.
If the index finishes above the step-up level – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.
Investors will be exposed to any losses.
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: | MSCI Emerging Markets
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| Amount: | $17,685,930
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| Maturity: | Feb. 26, 2021
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| Coupon: | 0%
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| Price: | Par of $10
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| Call: | At par plus 11.6% per year if the index closes at or above initial level on any annual observation date
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| Payout at maturity: | If index finishes above step-up level, par plus gain; if index gains by up 30%, par plus 30%; exposure to any losses
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| Initial level: | 1,200.90
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| Step-up level: | 1,561.17, 130% of initial level
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| Pricing date: | Feb. 22
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| Settlement date: | March 1
|
| Agent: | BofA Merrill Lynch
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| Fees: | 2%
|
| Cusip: | 40435J299
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