HSBC prices $26.34 million S&P 500-linked notes; Freddie Mac prices $175 million step-up notes

By Sheri Kasprzak

New York, March 2 – It was a busy session for structured products pricing action, with new deals including $26.34 million of zero-coupon autocallable market-linked step-up notes linked to the S&P 500 index from HSBC USA Inc.

The notes are due Feb. 28, 2022 and pay par plus a call premium of 7.6% per year if the index closes at or above its initial level on any annual call observation date, said a filing with the Securities and Exchange Commission.

If the notes are not called and the index finishes above the step-up value – 130% of the initial level – the payout at maturity will be par of $10 plus the index gain.

If the index gains by up to the step-up level, the payout at maturity will be par plus the step-up payment of 30%.

If the index falls by up to 15%, the payout is par. Investors are exposed to any index decline beyond 15%.

BofA Merrill Lynch is the agent for the deal.

Freddie Mac sells notes

Elsewhere during the session, Freddie Mac priced $175 million of three-year non-call 0.25-year step-up medium-term notes at par, the agency’s web site said.

The notes are due March 29, 2019 and have a Bermuda call beginning June 29.

Citigroup Global Markets is the manager.

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