HSBC plans four-year contingent return autocalls on Stoxx, EM fund

By Susanna Moon

Chicago, June 5 – HSBC USA Inc. plans to price autocallable barrier notes with contingent return and step-down call threshold due June 29, 2022 linked to the least performing of the Euro Stoxx 50 index and the iShares MSCI Emerging Markets ETF, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus 11.5% to 12.5% if each asset closes at or above its initial level on any review date after one year. The call threshold will be 100% of the initial level on the first observation date, stepping down to 97.5% on the second date, to 95% on the third date and to 92.5% on the fourth date.

The payout at maturity will be par plus 10% unless either underlying asset finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing index or fund.

HSBC Securities (USA) Inc. is the agent.

The notes will price on June 22 and settle on June 29.

The Cusip number is 40435FB97.

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