HSBC plans contingent return autocallable barrier notes tied to funds

By Susanna Moon

Chicago, Feb. 9 – HSBC USA Inc. plans to price autocallable barrier notes with contingent return due May 29, 2018 linked to the least performing of the SPDR S&P 500 ETF Trust and the iShares Russell 2000 exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon at an annualized rate of at least 5.5% if each underling component closes at or above its 70% coupon barrier on an observation date for that quarter.

The notes will be called at par if each component closes at or above its initial level on any call date beginning Aug. 24, 2017.

The payout at maturity will be par unless either component ever closes below its 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worse component.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Feb. 23 and settle on Feb. 28.

The Cusip number is 40435C195.

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