Published on 12/21/2017 in the Prospect News Structured Products Daily.
New Issue: HSBC sells $2.18 million contingent income autocalls tied to ETFs
By Wendy Van Sickle
Columbus, Ohio, Dec. 21 – HSBC USA Inc. priced $2.18 million of contingent income autocallable securities due June 18, 2020 linked to the worst performing of the SPDR S&P 500 ETF trust, the iShares Russell 2000 ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 9.6% if each fund closes at or above its 75% downside threshold on the determination date that quarter.
The notes will be called at par plus the contingent coupon if each fund closes at or above its initial level on any determination date other than the final date.
The payout at maturity will be par unless any fund finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worst performing fund.
HSBC Securities (USA) Inc. is the agent with distribution through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying funds: | SPDR S&P 500 ETF trust, iShares Russell 2000 ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $2,178,000
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| Maturity: | June 18, 2020
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| Coupon: | 9.6% per year, payable quarterly if each fund closes at or above downside threshold on determination date that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worse performing fund
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| Call: | At par if each fund closes at or above initial level on any quarterly call date other than final date
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| Initial levels: | $266.51 for SPDR S&P 500, $152.24 for iShares Russell, $46.17 for iShares MSCI Emerging Markets
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| Downside thresholds: | $199.8825 for SPDR S&P 500, $114.18 for iShares Russell, $34.6275 for iShares MSCI Emerging Markets, 75% of initial levels
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| Pricing date: | Dec. 15
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| Settlement date: | Dec. 20
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| Agent: | HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2.5%
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| Cusip: | 40435FPF8
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