HSBC plans autocallable barrier notes linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Jan. 31 – HSBC USA Inc. plans to price 0% autocallable barrier notes with step-up premium and contingent return feature due March 8, 2023 linked to the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium if each index closes at or above its initial level on any annual observation date. The call premium is expected to be at least 11.5% per year.

If the notes are not called and the final return of the least-performing index is less than zero but greater than or equal to negative 30%, the payout at maturity will be par plus the contingent return payment, which is expected to be at least 10%. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is less than its initial level.

The exact call premium and contingent return payment will be set at pricing.

HSBC Securities (USA) Inc. is the underwriter.

The notes will price Feb. 15.

The Cusip number is 40435UES9.

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