HSBC plans contingent income autocallable notes linked to Baidu

By Marisa Wong

Madison, Wis., Feb. 19 – HSBC USA Inc. plans to price contingent income autocallable securities due March 3, 2016 linked to Baidu, Inc. American Depositary Shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annual rate of at least 11.5% if the shares close at or above the downside threshold level, 80% of the initial share price, on a determination date for that quarter.

The notes will be called at par of $10 plus the contingent coupon if the shares close at or above the initial share price on any of the first three determination dates.

If the stock finishes at or above the downside threshold level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will receive a number of Baidu shares equal to $10 divided by the initial share price or, at the issuer’s option, the cash equivalent.

HSBC Securities (USA) Inc. is the agent. Morgan Stanley Wealth Management is handling distribution.

The notes will price on Feb. 27 and settle on March 4.

The Cusip number is 40434F231.

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