HSBC plans contingent return barrier autocallables tied to two indexes

By Susanna Moon

Chicago, April 4 – HSBC USA Inc. plans to price 0% autocallable barrier notes with contingent return due April 30, 2018 linked to the least performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly contingent coupon at an annual rate of at least 6.96% if each index closes at or above its 70% coupon barrier on an observation date for that quarter.

The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any annual call date beginning Oct. 25, 2017.

The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its 70% trigger level during the life of the notes, in which case investors will be fully exposed to any losses of the worse performing index.

HSBC Securities (USA) Inc. is the agent.

The notes will price on April 25 and settle on April 28.

The Cusip number is 40433U2T2.

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