Published on 1/4/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $3.25 million autocallable barrier notes on S&P, Russell
By Tali Rackner
Minneapolis, Jan. 4 – HSBC USA Inc. priced $3.25 million of autocallable barrier notes with contingent return due Dec. 29, 2027 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.
If each index closes at or above its coupon trigger, 75% of its initial level, on a quarterly observation date, the notes will pay a contingent coupon that quarter at an annual rate of 6%.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date beginning Dec. 26, 2018.
In each index finishes at or above its 75% coupon trigger, the payout at maturity will be par plus the final contingent coupon.
The payout will be par if either index declines finishes below the coupon trigger but at or above its 60% barrier level. Otherwise, investors will lose 1% for each 1% decline of the lesser-performing index from its initial level.
HSBC Securities (USA) Inc. is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Autocallable barrier notes with contingent return
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| Underlying indexes: | S&P 500 index, Russell 2000 index
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| Amount: | $3,245,000
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| Maturity: | Dec. 29, 2027
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| Coupon: | 6% annualized, payable each quarter that each index closes at or above its coupon trigger on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If each index finishes at or above coupon trigger, par plus contingent coupon; if either index finishes below coupon trigger but above barrier level, par; otherwise 1% loss for each 1% decline of lesser-performing index from initial level
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| Call: | At par if each index closes at or above initial level on any quarterly observation date beginning Dec. 26, 2018
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| Initial index levels: | 2,680.5 for S&P and 1,544.226 for Russell
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| Coupon triggers: | 2,010.375 for S&P and 1,158.1695 for Russell; 75% of initial levels
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| Barrier levels: | 1,608.3 for S&P and 926.5356 for Russell; 60% of initial levels
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| Pricing date: | Dec. 26
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| Settlement date: | Dec. 29
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.5%
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| Cusip: | 40435FNU7
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