HSBC to price autocallable barrier notes linked to Euro Stoxx, EM ETF

By Devika Patel

Knoxville, Tenn., July 14 – HSBC USA Inc. plans to price 0% autocallable barrier notes with contingent return and step-down call threshold feature due July 28, 2021 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium if each underlier closes at or above its call threshold level on any annual observation date beginning July 25, 2018. The call premium is expected to be 13.25% to 13.75% per year and will be set at pricing. For each underlier, the call threshold level will be 100% of the initial level on the first observation date, 97.5% of the initial level on the second observation date, 95% of the initial level on the third observation date and 92.5% of the initial level on the fourth observation date.

If the notes are not called and the final return of the least-performing underlier is less than its call threshold of 92.5% but greater than or equal to negative 30%, the payout at maturity will be par plus 10%. Otherwise, investors will lose 1% for every 1% that the least-performing underlier’s final level is less than its initial level.

HSBC Securities (USA) Inc. is the underwriter.

The notes (Cusip: 40435FAX5) will price on July 21 and settle on July 28.

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