HSBC plans contingent return barrier autocallables tied to index, fund

By Susanna Moon

Chicago, May 10 – HSBC USA Inc. plans to price autocallable barrier notes with contingent return and step-down call threshold due July 31, 2018 linked to the Euro Stoxx 50 index and the iShares MSCI Emerging Markets exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus an annual call premium of 12% to 14% if each component closes at or above its call threshold on any annual call date beginning May 23, 2018.

The call level will be 100% of the initial level on the first observation date, falling to 97.5% of the initial level on the second observation date, to 95% of the initial level on the third observation date and to 92.5% of the initial level on the fourth observation date.

The payout at maturity will be par a contingent return of 10% unless either component finishes below its 70% barrier, 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 May 19 and settle on May 26.

The Cusip number is 40433U3T1.

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