Published on 1/24/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $2.01 million contingent return barrier autocalls tied to index, fund
By Susanna Moon
Chicago, Jan. 24 – HSBC USA Inc. priced $2.01 million of autocallable barrier notes with contingent return and step-down call threshold due Jan. 26, 2022 linked to the lesser performing of the iShares MSCI Emerging Markets exchange-traded fund and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be called at par plus an annual call premium of 12.5% if each underlying component closes at or above its redemption threshold on any review date after one year. The call threshold will be 100% of the initial level on the first review date, stepping down to 97.5% on the second review date and to 95% on the final review date.
The payout at maturity will be par plus the contingent coupon unless either component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing fund or 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 assets: | iShares MSCI Emerging Markets ETF and Euro Stoxx 50 index
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| Amount: | $2.01 million
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| Maturity: | Jan. 26, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus 10% unless either component falls below 70% trigger, in which case full exposure to any losses of worse performing index or fund
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| Call option: | At par plus 12.5% if each component closes at or above its call level on any review date; call threshold will be 100% of initial level on Jan. 23, 2019, 97.5% on Jan. 22, 2020, 95% on Jan. 21, 2021 and 92.5% on Jan. 21, 2022
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| Initial levels: | $50.44 for fund, 3,649.07 for Stoxx
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| Trigger levels: | $35.308 for fund, 2,554.349 for Stoxx, 70% of initial levels
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| Pricing date: | Jan. 19
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| Settlement date: | Jan. 26
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 2.25%
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| Cusip: | 40435FPU5
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