By Marisa Wong
Los Angeles, Feb. 2 – HSBC USA Inc. priced $20.25 million of 0% autocallable market-linked step-up notes due Jan. 26, 2024 tied to a basket of three financial sector stocks, according to a 424B2 filing with the Securities and Exchange Commission.
The equally weighted basket is made up of the common stocks of Citigroup, Inc., JPMorgan Chase & Co. and Morgan Stanley.
The notes will be called at par of $10 plus an annualized call premium of 17.3% if the basket closes at or above the initial level on an annual observation date.
If the notes are not called and the basket finishes above the step-up value, 145% of the initial level, the payout at maturity will be par plus the basket gain.
If the basket finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up payment of 45%.
Investors will be fully exposed to any basket decline.
BofA Securities, Inc. is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying basket: | Citigroup, Inc. (NYSE: C), JPMorgan Chase & Co. (NYSE: JPM) and Morgan Stanley (NYSE: MS)
|
| Amount: | $20,253,590
|
| Maturity: | Jan. 26, 2024
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If the basket finishes above the step-up value, par plus basket gain; if the basket finishes at or below the step-up level but at or above the initial level, par plus 45%; full exposure to losses
|
| Call: | Automatically at par plus an annualized call premium of 17.3% if the basket closes at or above the initial level on an annual observation date
|
| Initial basket level: | 100
|
| Step-up basket level: | 145, 145% of initial basket level
|
| Initial share prices: | $60.34 for Citigroup, $130.11 for JPMorgan and $69.32 for Morgan Stanley
|
| Pricing date: | Jan. 28
|
| Settlement date: | Feb. 4
|
| Agent: | BofA Securities, Inc.
|
| Fees: | 2%
|
| Cusip: | 40438Q191
|
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