HSBC plans autocallable plus notes on Russell 2000, biotech fund

By Jennifer Chiou

New York, Dec. 24 – HSBC USA Inc. plans to price autocallable plus notes due Dec. 31, 2015 linked to the least performing of the Russell 2000 index and the iShares Nasdaq Biotechnology exchange-traded fund, according to an FWP with the Securities and Exchange Commission.

Each quarter, the notes will pay a coupon at the rate of 15% per year if each asset closes at or above its coupon trigger, 80% of its initial level, on the observation date for that quarter.

If each asset closes at or above its initial level on any quarterly observation date beginning on June 30, 2015, the notes will be automatically called at par plus the contingent coupon.

If the notes are not called and the final return of the least-performing asset is greater than or equal to negative 20%, the payout at maturity will be par plus the final coupon.

If the final return of the least-performing asset is less than negative 20%, investors will be fully exposed to the decline of the least-performing asset.

The notes (Cusip: 40433BWF1) will price on Dec. 26 and settle on Dec. 31.

HSBC Securities (USA) Inc. is the underwriter.

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