By Sarah Lizee
Olympia, Wash., Oct. 2 – HSBC USA Inc. priced $14.01 million of 0% autocallable market-linked step-up notes due Sept. 29, 2023 linked to the Russell 2000 index, according to a 424B2 with the Securities and Exchange Commission.
The notes will be called at an annual call premium of 6.2% if the index closes at or above its initial level on any annual call date.
If the index finishes at or above the step-up value – 135% of the initial level – the payout at maturity will be par of $10 plus the index 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 35%.
If the index falls by up to 15%, the payout will be par.
Investors will be exposed to any index decline beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | Russell 2000 index
|
| Amount: | $14,006,430
|
| Maturity: | Sept. 29, 2023
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If the index finishes above the step-up level, par plus the index gain; if the index gains up to the step-up level, par plus 35%; if the index falls by up to 15%, par; 1% loss for each 1% decline beyond 15%
|
| Call: | At par plus 6.2% per year if the index closes at or above its initial level on any annual observation date
|
| Initial level: | 1,690.526
|
| Step-up value: | 2,282.210, 135% of initial level
|
| Pricing date: | Sept. 27
|
| Settlement date: | Oct. 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40435X397
|
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