Barclays prices $1.95 million S&P Dynamic Veqtor-linked notes; HSBC plans several buffered AMPs

By Sheri Kasprzak

New York, Jan. 5 - Among the deals announced Thursday, Barclays Bank plc came to market with $1.95 million of global medium-term notes linked to the S&P 500 Dynamic Veqtor Total Return index.

One market insider asked about the index on Thursday said it has some major advantages, including a stop-loss feature when the index reaches a certain level over a period of time.

"It's an interesting index given that there are some built-in protections inherent in the index," the sellside source said.

The index seeks to provide investors with broad equity market exposure with an implied volatility hedge by dynamically allocating its notional investments among three components: equity, volatility and cash. The stop-loss feature moves the index into a 100% cash position if the value of the index has fallen by 2% or more over the preceding five business days.

"[The notes] have a fairly long term, so these protections are a definite bonus," the source said.

The notes are due Jan. 6, 2017.

Investors will receive at maturity a cash payment equal to the closing indicative note value, which is equal to the closing indicative note value on the immediately preceding calendar day times the daily index factor on such calendar day minus the investor fee on such calendar day.

The investor fee on the initial valuation date is equal to zero. On each subsequent calendar day until maturity or early redemption, the investor fee is equal to 1.25% times the closing indicative note value on the immediately preceding calendar day times the daily index factor on that day divided by 365.

If the notes are redeemed before maturity, the investors will receive a cash payment equal to the closing indicative note value on the applicable valuation date.

HSBC plans several AMPs

Amid the new influx of structured products offerings, HSBC USA Inc. is heading to the market with a few offerings of buffered Accelerated Market Participation Securities.

The bank intends to price six issues of buffered AMPs on Jan. 24: two linked to the S&P 500 index, two linked to the Russell 2000 index and two linked to the iShares MSCI Emerging Markets index fund, according to filings with the Securities and Exchange Commission.

All of the securities will provide double exposure to any positive return in the relevant reference asset, subject to a maximum return, which will be set at pricing.

All of the AMPs have an 18-month term and are protected from the first 10% of any losses in the underlyings, subject to the credit risk of HSBC.

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