Published on 6/12/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $5.21 million autocallable step-up notes linked to Russell 2000
By Angela McDaniels
Tacoma, Wash., June 12 – HSBC USA Inc. priced $5.21 million of 0% autocallable market-linked step-up notes due June 24, 2022 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 6.55% per year if the index closes at or above the initial index level on June 22, 2018, June 21, 2019, June 19, 2020 or June 18, 2021.
If the notes are not called and the final index level is greater than the step-up value, 135% 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, 35%.
If the final index level is less than the initial level by up to 15%, the payout will be par. Otherwise, investors will lose 1% for each 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: | $5,145,350
|
| Maturity: | June 24, 2022
|
| 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 35%; if final index level is less than initial level but greater than or equal to threshold value, par; otherwise, 1% loss for every 1% that index declines beyond 15%
|
| Call: | At par plus 6.55% per year if index closes at or above initial index level on June 22, 2018, June 21, 2019, June 19, 2020 or June 18, 2021
|
| Initial index level: | 1,415.612
|
| Step-up value: | 1,911.076, 135% of initial level
|
| Threshold value: | 1,203.270, 85% of initial level
|
| Pricing date: | June 8
|
| Settlement date: | June 15
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40435D474
|
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