By Wendy Van Sickle
Columbus, Ohio, June 1 – HSBC USA Inc. priced $5.33 million of 0% autocallable market-linked step-up notes due May 28, 2027 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus a premium of 9.6% 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, 130% of the initial value, the payout at maturity will be par plus the index return.
If the index finishes at or below the step-up value but at or above the initial value, the payout will be par plus the step-up payment of 30%.
Investors will receive par if the index falls by up to 15% and will be exposed to any index decline beyond 15%.
BofA Securities, Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable market-linked step-up notes
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| Underlying index: | Russell 2000 index
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| Amount: | $5,334,720
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| Maturity: | May 28, 2027
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If the index finishes above the step-up value, par plus the index return; if the index finishes at or below the step-up value but at or above the initial value, par plus 30%; par if index falls by up to 15%; exposure to losses beyond 15%
|
| Call: | Automatically at par plus a premium of 9.6% per year if the index closes at or above its initial level on any annual observation date
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| Initial value: | 1,838.238
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| Step-up value: | 2,389.709, 130% of initial value
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| Threshold value: | 1,562.502, 85% of initial value
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| Pricing date: | May 26
|
| Settlement date: | June 3
|
| Underwriter: | BofA Securities, Inc.
|
| Fees: | 2%
|
| Cusip: | 40390L438
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