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HSBC plans autocallable market-linked step-up notes on index basket
By Sarah Lizee
Olympia, Wash., Jan. 3 – HSBC USA Inc. plans to price autocallable market-linked step-up notes due January 2024 linked to an index basket, according to an FWP filed with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 40%, the FTSE 100 index with an initial weight of 20%, the Nikkei Stock Average index with an initial weight of 20%, the Swiss Market index with an initial weight of 7.5%, the S&P/ASX 200 index with an initial weight of 7.5% and the Hang Seng index with an initial weight of 5%.
The notes will be called at an annual call premium of 9.5% to 10.5% if the basket closes at or above its initial level on either annual call date. The exact premium will be set at pricing.
If the basket finishes at or above the step-up value – 150% of the initial level – the payout at maturity will be par of $10 plus the basket gain.
If the index is unchanged or gains by up to the step-up level, the payout will be par plus the step-up payment of 50%.
Investors will receive par if the basket declines by up to 15% and will lose 1% for each 1% decline of the basket beyond 15%.
BofA Merrill Lynch is the agent.
The notes will price and settle in January.
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