HSBC plans autocallables with contingent return tied to index, fund

By Tali Rackner

Norfolk, Va., Feb. 5 – HSBC USA Inc. plans to price 0% autocallable notes with contingent return due Feb. 26, 2020 linked to the S&P 500 index and the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at par plus an annualized call premium of 18.5% to 21.5% if each component closes at or above the initial level on any annual call date beginning Feb. 17, 2017.

The payout at maturity will be par plus a 10% contingent return payment unless either component finishes below its 70% trigger level, in which case investors will be fully exposed to any losses of the worse performing component.

HSBC Securities (USA) Inc. is the agent.

The notes will price on Feb. 19 and settle on Feb. 26.

The Cusip number is 40433UGN0.

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