HSBC plans trigger autocallable contingent yield notes tied to indexes

By Angela McDaniels

Tacoma, Wash., March 27 – HSBC USA Inc. plans to price trigger autocallable contingent yield notes due March 31, 2027 linked to the lesser performing of the Euro Stoxx 50 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at the rate of 10% per year if each index closes at or above its coupon barrier, 70% of its initial level, on the observation date for that quarter.

Beginning March 27, 2018, the notes will be automatically called at par of $10 if each index closes at or above its initial level on any quarterly observation date.

The payout at maturity will be par unless either index finishes below its downside threshold, in which case investors will be fully exposed to the decline of the lesser-performing index. The downside threshold for each index is expected to be 50% to 53% of its initial level and will be set at pricing.

UBS Financial Services Inc. and HSBC Securities (USA) Inc. are the agents.

The notes will price March 29.

The Cusip number is 40435D854.

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