Published on 8/23/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $1.85 million contingent return barrier autocallables tied to index, fund
By Susanna Moon
Chicago, Aug. 23 – HSBC USA Inc. priced $1.85 million of 0% autocallable barrier notes with contingent return and step-down call threshold due Aug. 25, 2021 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annualized call premium of 11.5% if each component closes at or above its call level on any call date after one year.
The call threshold will be 100% of initial level on the first observation date, stepping down to 97.5% of the initial level on the second observation date, to 95% of the initial level on the third observation date and to 92.5% of the initial level on the fourth observation date.
The payout at maturity will be par plus a 10% contingent return unless either component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with contingent return and step-down call threshold
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| Underlying: | Euro Stoxx 50 index, iShares MSCI Emerging Markets ETF
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| Amount: | $1,845,000
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| Maturity: | Aug. 25, 2021
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% unless either underlying finishes below its trigger level, in which case investors will be fully exposed to any losses of the worst performing component
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| Call: | At par plus an annualized call premium of 11.5% if each component closes at or above the call level on any annual call date beginning Aug. 22, 2018; call threshold will be 100% of initial level on the first observation date, stepping down by 2.5% on each subsequent date to 92.5% of the initial level on the fourth observation date
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| Initial levels: | 3,446.03 for Stoxx, $43.67 for EM fund
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| Trigger levels: | 2,412.221 for Stoxx, $30.569 for EM fund; 70% of initial levels
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| Pricing date: | Aug. 18
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| Settlement date: | Aug. 25
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 40435FCU9
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