HSBC plans six-year contingent absolute return notes linked to S&P 500

By Susanna Moon

Chicago, June 19 – HSBC USA Inc. plans to price 0% contingent absolute return performance securities due June 30, 2020 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index finishes at or above the initial level, the payout at maturity will be par plus 100% to 105% of the gain, with the exact participation rate to be set at pricing.

If the index falls by up to the 65% trigger level, the payout will be par plus the absolute value of the return.

Otherwise, investors will be fully exposed to any losses.

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

The notes will price on June 24 and settle on June 27.

The Cusip number is 40434C352.

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