HSBC to price autocallable barrier notes linked to oil ETF, S&P 500

By Angela McDaniels

Tacoma, Wash., Jan. 3 – HSBC USA Inc. plans to price 0% autocallable barrier notes with contingent return due Jan. 27, 2021 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 automatically called at par plus a call premium if each underlier closes at or above its initial level on Jan. 24, 2018, Jan. 23, 2019, Jan. 22, 2020 or Jan. 22, 2021. The call premium is expected to be 13% to 15% per year and will be set at pricing.

If the notes are not called and the final return of the least-performing underlier is less than zero but greater than or equal to negative 50%, 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 will price Jan. 20.

The Cusip number is 40433UG26.

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