Published on 3/6/2018 in the Prospect News Structured Products Daily.
New Issue: HSBC prices $1.18 million 14% contingent income autocalls tied to funds
By Susanna Moon
Chicago, March 6 – HSBC USA Inc. priced $1.18 million of contingent income autocallable securities due Aug. 18, 2020 linked to the least performing of the SPDR S&P 500 ETF Trust, the iShares Russell 2000 ETF and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 14% if each fund closes at or above its 75% coupon barrier on the determination date that quarter.
The notes will be called at par if each fund closes at or above its initial level on any of the second through ninth determination dates.
The payout at maturity will be par unless any fund finishes below its 75% downside threshold, in which case investors will be fully exposed to any losses of the worst performing fund.
HSBC Securities (USA) Inc. is the agent with distribution through Morgan Stanley Wealth Management.
| Issuer: | HSBC USA Inc.
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | SPDR S&P 500 ETF Trust, iShares Russell 2000 ETF and iShares MSCI Emerging Markets ETF
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| Amount: | $1,175,000
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| Maturity: | Aug. 18, 2020
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| Coupon: | 14% annualized, payable quarterly if each fund closes at or above 75% coupon barrier on determination date for that quarter
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| Price: | Par
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| Payout at maturity: | If each fund finishes at or above downside threshold, par; otherwise, 1% loss for each 1% decline of worst performing fund
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| Call: | At par if each fund closes at or above its initial level on determination date from Aug. 13, 2018 through May 13, 2020
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| Initial levels: | $266.00 for S&P fund, $148.48 for Russell fund and $47.51 for MSCI EM fund
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| Downside thresholds: | $199.50 for S&P fund, $111.36 for Russell fund and $35.6325 for MSCI EM fund; 75% of initial levels
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| Pricing date: | Feb. 13
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| Settlement date: | Feb. 16
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| Agent: | HSBC Securities (USA) Inc. with Morgan Stanley Wealth Management as a distributor
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| Fees: | 2%
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| Cusip: | 40435FUJ4
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