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

By Angela McDaniels

Tacoma, Wash., July 11 – HSBC USA Inc. plans to price 0% autocallable barrier notes with step-up premium and contingent return feature due July 31, 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 6.6% per year and will be set at pricing.

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

HSBC Securities (USA) Inc. is the underwriter.

The notes will price July 26.

The Cusip number is 40435URC0.

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