By Susanna Moon
Chicago, Sept. 3 – HSBC USA Inc. priced $32.11 million of 0% market-linked step-up notes due Aug. 31, 2018 linked to a basket of two equally weighted indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying indexes are the S&P 500 index and the Euro Stoxx 50 index.
If the notes are not called and the basket finishes above the step-up value – 126.2% of the initial level – the payout at maturity will be par plus the index 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 return of 26.2%.
Investors will receive par if the basket falls by up to 10% and will be exposed to any losses beyond 10%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Market-linked step-up notes
|
| Underlying basket: | S&P 500 index, Euro Stoxx 50 index, equally weighted
|
| Amount: | $32,114,880
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| Maturity: | Aug. 31, 2018
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If basket finishes above step-up value, par plus return; if basket finishes at or below step-up value but at or above initial level, par plus 26.2%; full exposure to any losses
|
| Step-up level: | 126.2% of initial level
|
| Buffer level: | 90% of initial level
|
| Pricing date: | Aug. 28
|
| Settlement date: | Sept. 5
|
| Underwriter: | BofA Merrill Lynch
|
| Fees: | 2.5%
|
| Cusip: | 40434D830
|
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