HSBC plans contingent income autocallable notes linked to Baidu

By Susanna Moon

Chicago, May 1 - HSBC USA Inc. plans to price contingent income autocallable securities due May 8, 2017 linked to Baidu, Inc. American Depositary Shares, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment at an annual rate of 12% if Baidu shares close at or above the 70% barrier level on a determination date for that quarter.

The notes will be redeemed at par of $10 plus the contingent payment if the shares close at or above the initial share price on any of the first 11 quarterly determination dates.

If the notes are not called and the final share price is greater than or equal to the 70% downside threshold level, the payout at maturity will be par plus the contingent payment.

Otherwise, the payout will be a number of Baidu shares equal to $10 divided by the initial share price or, at the issuer's option, a cash equivalent.

HSBC Securities (USA) Inc. is the agent.

The notes will price on May 2 and settle on May 7.

The Cusip number is 40434C634.

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