By Devika Patel
Knoxville, Tenn., March 20 – HSBC USA Inc. priced $16.54 million of 0% autocallable market-linked step-up notes due March 24, 2023 linked to the S&P 500 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 6.1% per year if the index closes at or above the initial index level on any of the five annual call dates.
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%.
Investors will receive par if the index declines by up to 15%.
If the final index level is less than 85% of the initial level, investors will lose 1% for each 1% decline beyond 15%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | S&P 500
|
| Amount: | $16,534,820
|
| Maturity: | March 24, 2023
|
| 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%; par if index declines by up to 15%; 1% loss for each 1% index decline beyond 15%
|
| Call: | At par plus 6.1% per year if index closes at or above initial index level on any of the five annual call dates
|
| Initial index level: | 2,381.38
|
| Step-up value: | 3,214.86, 135% of initial level
|
| Threshold level: | 2,024.17, 85% of initial level
|
| Pricing date: | March 16
|
| Settlement date: | March 24
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 40435H806
|
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