HSBC plans head start annual income opportunity notes tied to stocks

By Susanna Moon

Chicago, June 25 - HSBC USA Inc. plans to price head start annual income opportunity notes with auto cap due June 29, 2017 linked to a basket of 10 common stocks, according to an FWP filing with the Securities and Exchange Commission.

The underlying companies are American Electric Power Co., AT&T Inc., Biogen Idec Inc., Kimberley-Clark Corp., Lockheed Martin Corp., Mosaic Co., Maxim Integrated Products, Inc., Pfizer Inc., Polo Ralph Lauren Corp. and Silver Wheaton Corp.

Interest is payable annually and will equal the average of the performances of the basket stocks, subject to a floor of zero.

A stock's performance will be equal to the auto cap rate if its return is greater than or equal to negative 10%. The auto cap rate is expected to be at least 6% and will be set at pricing. If a stock's return is less than negative 10%, its performance will be the greater of its return and negative 25%.

HSBC Securities (USA) Inc. is the agent.

The payout at maturity will be par.

The notes will price on June 26 and settle on June 29.

The Cusip number is 4042K1R96.

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