US Wrap: Reverse convertible issuance predicts market rally

The S&P 500 underpinned a raft of new products including both autocallable and accelerated growth structures. HSBC issued a two-year product which kicks out after one year if the index is at 90% of its level at strike with an 18% return. However, capital loss is 1:1.11 for every percentage point slip below the 90% level by maturity. The product has two more autocall opportunities six months after the first observation date with higher payouts, although the index must be at 100% of its strike

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