HSBC plans contingent income autocallables on Russell, S&P, Stoxx

By Devika Patel

Knoxville, Tenn., Jan. 8 – HSBC USA Inc. plans to price contingent income autocallable securities due July 14, 2020 linked to the worse performing of the Russell 2000 index, the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent quarterly payment if each index closes at or above its coupon barrier level, 80% of its initial index level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 10% per annum and will be set at pricing.

Beginning April 9, 2018, HSBC may call the notes at par of $1,000 plus the contingent coupon on any of the first nine quarterly determination dates if the closing level of each index is greater than or equal to its initial level.

If each index finishes at or above its downside threshold level, 80% of its initial index level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will lose 1% for each 1% decline of the worst performing index from its initial level.

HSBC Securities (USA) Inc. is the agent and Morgan Stanley Wealth Management is a dealer.

The notes (Cusip: 40435FRC3) will price on Jan. 9 and settle on Jan. 12.

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