Published on 2/15/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $10.56 million market-linked step-up notes on index basket
By Marisa Wong
Morgantown, W.Va., Feb. 15 – HSBC USA Inc. priced $10.56 million of market-linked step-up notes due Jan. 28, 2022 linked to an international equity index basket, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the Euro Stoxx 50 index with an initial weight of 30%, the MSCI Emerging markets index with an initial weight of 25%, the FTSE 100 index with an initial weight of 15%, the Nikkei Stock Average index with an initial weight of 15%, the Swiss Market index with an initial weight of 5.63%, the S&P/ASX 200 index with an initial weight of 5.63% and the Hang Seng index with an initial weight of 3.74%.
If the basket finishes above the step-up level – 136.25% of the initial level – the payout at maturity will be par of $10 plus the basket gain.
If the basket gains by up to the step-up level, the payout will be par plus the step-up payment of 36.25%.
If the basket falls by up to 10%, the payout will be par. Investors will be exposed to any basket decline beyond 10%.
BofA Merrill Lynch is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Market-linked step-up notes
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| Basket components: | Euro Stoxx 50 index (30% weight), MSCI Emerging markets index (25% weight), FTSE 100 index (15% weight), Nikkei Stock Average index (15% weight), Swiss Market index (5.63% weight), S&P/ASX 200 index (5.63% weight) and Hang Seng index (3.74% weight)
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| Amount: | $10,563,680
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| Maturity: | Jan. 28, 2022
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| Coupon: | 0%
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| Price: | Par of $10
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| Payout at maturity: | If basket finishes above the step-up level, par plus the gain; if basket gains up to the step-up level, par plus 36.25%; if basket falls by up to 10%, par; exposure to any basket decline beyond 10%
|
| Initial levels: | 3,478.77 for Euro Stoxx, 1,209.34 for MSCI EM, 7,334.98 for FTSE, 22,682.08 for Nikkei, 9,100.39 for Swiss, 6,026.231 for S&P/ASX, 32,245.22 for Hang Seng
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| Step-up value: | 136.25% of initial basket level
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| Pricing date: | Feb. 5
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| Settlement date: | Feb. 12
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| Underwriter: | BofA Merrill Lynch
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| Fees: | 2.5%
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| Cusip: | 40435J315
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