HSBC plans contingent income autocallables linked to S&P, Russell

By Angela McDaniels

Tacoma, Wash., Oct. 7 – HSBC USA Inc. plans to price contingent income autocallable securities due Oct. 26, 2021 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 75% of its initial index level, on the determination date for that quarter. The contingent coupon rate is expected to be at least 6.8% per year and will be set at pricing.

Beginning a year after issuance, the notes will be automatically called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any determination date other than the final one.

If each index finishes at or above its downside threshold level, 55% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If the final level of either index is less than its downside threshold level, investors will be fully exposed to the decline of the lesser-performing index.

HSBC Securities (USA) Inc. is the agent. Distribution is through Morgan Stanley Wealth Management.

The notes will price Oct. 21.

The Cusip number is 40433UXS0.

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