Published on 11/16/2015 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $19.94 million autocallable step-up notes linked to Russell 2000
By Angela McDaniels
Tacoma, Wash., Nov. 16 – HSBC USA Inc. priced $19.94 million of 0% autocallable market-linked step-up notes due Nov. 30, 2020 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call premium of 7.5% per year if the index closes at or above the initial index level on any of four annual observation dates.
If the notes are not called and the final index level is greater than the step-up value, 130% 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 initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 30%.
If the final index level is less than the initial level but greater than or equal to the threshold level, 85% of the initial index level, the payout will be par.
If the final index level is less than the threshold level, investors will lose 1% for every 1% that the index declines beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000
|
| Amount: | $19,942,610
|
| Maturity: | Nov. 30, 2020
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| 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 initial level but less than or equal to step-up value, par plus 30%; if final index level is less than initial level but greater than or equal to threshold level, par; otherwise, 1% loss for every 1% that index declines beyond 15%
|
| Call: | At par plus 7.5% per year if index closes at or above initial index level on Nov. 18, 2016, Nov. 17, 2017, Nov. 16, 2018 or Nov. 15, 2019
|
| Initial index level: | 1,154.809
|
| Step-up value: | 1,501.252, 130% of initial level
|
| Threshold level: | 981.588, 85% of initial level
|
| Pricing date: | Nov. 12
|
| Settlement date: | Nov. 19
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40434E325
|
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