HSBC to price autocallable contingent income barrier notes on indexes

By Devika Patel

Knoxville, Tenn., Sept. 30 – HSBC USA Inc. plans to offer autocallable contingent income barrier notes due Oct. 11, 2024 linked to the least performing of the Dow Jones industrial average, the Russell 2000 index and the Euro Stoxx Banks index, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon if each index closes at or above its coupon trigger level, 70% of its initial level, on the observation date for that month. The contingent coupon rate is expected to fall between 9% and 10.25% per year and will be set at pricing.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly call observation date beginning on Oct. 8, 2020.

If each index finishes at or above the 70% barrier level, the payout at maturity will be par plus the final coupon. If any index finishes below the barrier level but all indexes finish above 60% of their initial levels, the payout will be par.

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.

The notes (Cusip: 40435UYM0) will price on Oct. 8 and settle on Oct. 11.

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