Published on 11/2/2016 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $3.5 million autocallable barrier notes linked to fund, two indexes
By Susanna Moon
Chicago, Nov. 2 – HSBC USA Inc. priced $3.5 million of autocallable barrier notes with contingent return due Oct. 31, 2023 linked to the S&P 500 index, the Russell 2000 index and the S&P Midcap 400 ETF Trust, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.5% if each component closes at or above its coupon trigger, 70% of the initial level, on the observation date for that quarter.
The notes will be called at par plus the contingent coupon if each component closes at or above its initial level on any quarterly observation date after one year.
The payout at maturity will be par plus the contingent coupon unless any after component finishes below the 70% barrier level, in which case investors will be fully exposed to any losses of the worst performing component.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with contingent return
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| Underlying: | S&P 500 index, Russell 2000 index and S&P Midcap 400 ETF Trust
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| Amount: | $3.5 million
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| Maturity: | Oct. 31, 2023
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| Coupon: | 8.5% annualized, payable quarterly if each component closes at or above its 70% coupon trigger level on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon unless any after component finishes below 70% barrier level, in which case full exposure to any losses of worst performing component
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| Call: | At par if each component closes at or above initial level on any quarterly date beginning Oct. 26, 2017
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| Initial level: | 2,133.04 for S&P, 1,189.947 for Russell and $273.35 for midcap fund
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| Trigger levels: | 1,493.128 for S&P, 832.9629 for Russell and $191.345 for midcap fund; 70% of initial levels
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| Pricing date: | Oct. 27
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| Settlement date: | Oct. 31
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| Underwriter: | HSBC Securities (USA) Inc.
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| Fees: | 3.35%
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| Cusip: | 40433UXX9
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