Published on 2/12/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.32 million autocallable barrier notes with contingent return on indexes
By Tali Rackner
Minneapolis, Feb. 12 – HSBC USA Inc. priced $1.32 million of autocallable barrier notes with contingent return due Jan. 28, 2028 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 6.05%.
After one year, 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.
In each index finishes at or above its 75% coupon trigger, the payout at maturity will be par plus the final contingent coupon.
If either index finishes below its coupon trigger but each index finishes at or above its 60% barrier level, the payout will be par. 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 and Russell 2000
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| Amount: | $1,316,000
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| Maturity: | Jan. 28, 2028
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| Coupon: | 6.05% 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 falls below coupon trigger but each finishes above barrier level, par; otherwise, investors will lose 1% for each 1% decline of lesser-performing index from its initial level
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| Call: | At par if each index closes at or above initial level on any quarterly observation date after one year
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| Initial index levels: | 2,872.87 for S&P, 1,608.058 for Russell
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| Coupon trigger levels: | 2,154.6525 for S&P, 1,206.0435 for Russell; 75% of initial levels
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| Barrier levels: | 1,723.722 for S&P, 964.8348 for Russell; 60% of initial levels
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| Pricing date: | Jan. 26
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| Settlement date: | Jan. 31
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| Agent: | HSBC Securities (USA) Inc.
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| Fees: | 3.5%
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| Cusip: | 40435FQQ3
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