By Susanna Moon
Chicago, Dec. 28 – HSBC USA Inc. priced $31.61 million of 0% autocallable market-linked step-up notes due Dec. 21, 2018 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus a call premium of 11.1% per year if the index closes at or above its initial level on any annual call observation date.
If the notes are not called and the index finishes above the step-up value – 125% of the initial level – the payout at maturity will be par of $10.00 plus the index gain.
If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 25%.
Otherwise, investors will be exposed to any losses.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable market-linked step-up notes
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| Underlying index: | Russell 2000
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| Amount: | $31,608,010
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| Maturity: | Dec. 21, 2018
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| Coupon: | 0%
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| Price: | Par of $10.00
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| Payout at maturity: | If index finishes above step-up value, par plus index gain; if index gains by up to step-up level, par plus 25%; exposure to any losses
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| Call: | At par plus a call premium of 11.1% per year if the index closes at or above its initial level on Dec. 23, 2016 or Dec. 15, 2017
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| Initial level: | 1,137.686
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| Step-up value: | 1,422.108, 125% of initial level
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| Pricing date: | Dec. 22
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| Settlement date: | Dec. 30
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2%
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| Cusip: | 40434K412
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