Published on 2/26/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.07 million 6.5% contingent market-linked autocalls on indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 26 – HSBC USA Inc. priced $1.07 million of market-linked securities due Feb. 22, 2021 – autocallable with contingent coupon and contingent downside linked to the least performing of the S&P 500 index, the Euro Stoxx 50 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 6.5% if each index closes at or above its 65% threshold on the observation date for that quarter.
The notes will be called at par if each index closes at or above its initial level on any quarterly observation date one year.
The payout at maturity will be par unless any index finishes below its 65% threshold, in which case the payout will be par plus the return of the worst performing index with full exposure to any losses.
HSBC Securities (USA) Inc. and Wells Fargo Securities LLC is the agent.
| Issuer: | HSBC USA Inc.
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| Issue: | Market-linked securities – autocallable with contingent coupon and contingent downside
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| Underlying indexes: | S&P 500, Euro Stoxx 50 and Russell 2000
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| Amount: | $1.07 million
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| Maturity: | Feb. 22, 2021
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| Coupon: | 6.5% annualized, payable quarterly if each index closes at or above 65% threshold on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any index falls by more than 35%, in which case 1% loss per 1% decline of worst performing index
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| Call: | At par if each index closes at or above its initial level on any interest payment date beginning Feb. 22, 2019
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| Initial levels: | 2,732.22 for S&P, 3,426.80 for Stoxx, 1,543.551 for Russell
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| Thresholds: | 1,775.943 for S&P, 2,227.42 for Stoxx, 1,003.30815 for Russell; 65% of initial levels
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| Pricing date: | Feb. 16
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| Settlement date: | Feb. 22
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| Agent: | HSBC Securities (USA) Inc. and Wells Fargo Securities LLC
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| Fees: | 2.475%
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| Cusip: | 40435FTU1
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