Published on 8/2/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.43 million contingent return barrier autocallables on Russell, S&P 500
By Susanna Moon
Chicago, Aug. 2 – HSBC USA Inc. priced $1.43 million of autocallable barrier notes with contingent return due Oct. 31, 2018 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 5% if each index closes at or above its 70% coupon barrier on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly review date beginning Jan. 26, 2018.
The payout at maturity will be par plus the contingent coupon unless either index finishes below its initial level and ever closes below its 70% trigger during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.
HSBC Securities (USA) Inc. is the underwriter.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with contingent return
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $1,432,000
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| Maturity: | Oct. 31, 2018
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| Coupon: | 5% annualized, payable quarterly if each index closes at or above 70% coupon barrier on review date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless either index falls and ever dips below 70% trigger, in which case full exposure to any losses of worse performing index
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| Call: | At par if each index closes at or above its initial level on any quarterly review date beginning Jan. 26, 2018
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| Initial index levels: | 2,477.83 for S&P and 1,442.279 for Russell
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| Trigger levels: | 1,734.481 for S&P and 1,009.5953 for Russell, 70% of initial levels
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| Pricing date: | July 26
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| Settlement date: | July 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 1.875%
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| Cusip: | 40435FBV8
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